Personensuche

Personensuche

Bitte geben Sie den Namen der gesuchten Person ein.

Es wurde 1 Person gefunden.

WiWi / IBES

Anschrift
Universitätsstr 2
45117 Essen
Raum
R11 T07 D39

Funktionen

  • Universitätsprofessor/in, Energiehandel und Finanzdienstleistungen

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Kiesel, Rüdiger; Stahl, Gerhard
    An uncertainty-based risk management framework for climate change risk
    In: Annals of Actuarial Science Jg. 17 (2023) Nr. 3, S. 420 - 437
  • Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina
    An econometric model for intraday electricity trading
    In: Philosophical Transactions of the Royal Society of London A: Mathematical, Physical and Engineering Sciences Jg. 379 (2021) Nr. 2202, S. 20190624
  • Kramer, Anke; Kiesel, Rüdiger
    Exogenous factors for order arrivals on the intraday electricity market
    In: Energy Economics Jg. 97 (2021) S. 105186
  • Graf von Luckner, Nikolaus; Kiesel, Rüdiger
    Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process
    In: Journal of Risk and Financial Management Jg. 14 (2021) Nr. 4, 161
  • Kremer, Marcel; Kiesel, Rüdiger; Paraschiv, Florentina
    Intraday electricity pricing of night contracts
    In: Energies Jg. 13 (2020) Nr. 17, S. 4501
  • Glas, Silke; Kiesel, Rüdiger; Kolkmann, Sven; Kremer, Marcel; Graf von Luckner, Nikolaus; Ostmeier, Lars; Urban, Karsten; Weber, Christoph
    Intraday renewable electricity trading : advanced modeling and numerical optimal control
    In: Journal of Mathematics in Industry Jg. 10 (2020) Nr. 1, S. 3
  • Kremer, Marcel; Benth, Fred E.; Felten, Björn; Kiesel, Rüdiger
    Volatility and liquidity on high-frequency electricity futures markets : Empirical analysis and stochastic modeling
    In: International Journal of Theoretical and Applied Finance Jg. 23 (2020) Nr. 4, S. 2050027
  • Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun
    On the construction of hourly price forward curves for electricity prices
    In: Computational Management Science Jg. 16 (2019) Nr. 1-2, S. 345 - 369
  • Harms, Cord; Kiesel, Rüdiger
    Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
    In: Applied Mathematical Finance Jg. 26 (2019) Nr. 5, S. 475 - 522
  • von Avenarius, Andrea; Devaraja, Thattekere Settygowda; Kiesel, Rüdiger
    An empirical comparison of carbon credit projects under the clean development mechanism and verified carbon standard
    In: Climate Jg. 6 (2018) Nr. 2, S. 49
  • Fischbach, Björn; Mahayni, Antje; Kiesel, Rüdiger
    Verschiedene Unsicherheitsstufen : Methoden der Entscheidungstheorie im Rahmen der Klimapolitik
    In: Unikate: Berichte aus Forschung und Lehre (2018) Nr. 52: Risikoforschung - Interdisziplinäre Perspektiven und neue Paradigmen, S. 30 - 41
  • Kiesel, Rüdiger; Paraschiv, Florentina
    Econometric analysis of 15-minute intraday electricity prices
    In: Energy Economics Jg. 64 (2017) S. 77 - 90
  • Kiesel, Rüdiger; Rahe, Florentin
    Option pricing under time-varying risk-aversion with applications to risk forecasting
    In: Journal of Banking and Finance Jg. 76 (2017) S. 120 - 138
  • Harms, Cord; Kiesel, Rüdiger
    The application of structural electricity models for dynamic hedging
    In: The Journal of Energy Markets Jg. 10 (2017) Nr. 1, S. 49 - 78
  • Bannör, Karl; Kiesel, Rüdiger; Nazarova, Anna; Scherer, Matthias
    Parametric model risk and power plant valuation
    In: Energy Economics Jg. 59 (2016) S. 423 - 434
  • Kiesel, Rüdiger; Kusterman, Michael
    Structural models for coupled electricity markets
    In: Journal of commodity markets: JCM Jg. 3 (2016) Nr. 1, S. 16 - 38
  • Kiesel, Rüdiger; Rühlicke, Robin; Stahl, Gerhard; Zheng, Jinsong
    The Wasserstein Metric and Robustness in Risk Management
    In: Risks Jg. 4 (2016) 32
  • Kiesel, Rüdiger; Mroz, Magda; Stadtmüller, Ulrich
    Time-varying copula models for financial time series
    In: Advances in Applied Probability Jg. 48 (2016) S. 159 - 180
  • Kiesel, Rüdiger; Metka, Kevin
    A Multivariate Commodity Analysis with Time-Dependent Volatility—Evidence from the German Energy Market
    In: Zeitschrift für Energiewirtschaft (ZfE) Jg. 37 (2013) Nr. 2, S. 107 - 126
  • Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger
    An empirical study of the information premium on electricity markets
    In: Energy Economics Jg. 36 (2013) S. 55 - 77
  • Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna
    A critical empirical study of three electricity spot price models
    In: Energy Economics Jg. 34 (2012) Nr. 5, S. 1589 - 1616
  • Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
    Modeling the forward surface of mortality
    In: SIAM Journal on Financial Mathematics Jg. 3 (2012) Nr. 1, S. 639 - 666
  • Grüll, Georg; Kiesel, Rüdiger
    Quantifying the CO2 Permit Price Sensitivity
    In: Zeitschrift für Energiewirtschaft (ZfE) Jg. 36 (2012) Nr. 1, S. 101 - 111
  • Kiesel, Rüdiger; Lutz, Matthias
    Efficient pricing of CMS spread options in a stochastic volatility LMM
    In: Journal of Computational Finance Jg. 14 (2011) Nr. 4, S. 37 - 72
  • Bingham, N.H.; Fry, John M.; Kiesel, Rüdiger
    Multivariate elliptic processes
    In: Statistica Neerlandica Jg. 64 (2010) Nr. 3, S. 352 - 366
  • Bauer, Daniel; Bergmann, Daniela; Kiesel, Rüdiger
    On the risk-neutral valuation of life insurance contracts with numerical methods in view
    In: ASTIN Bulletin Jg. 40 (2010) Nr. 1, S. 65 - 95
  • Gernhard, Jochen; Kiesel, Rüdiger; Stoll, Sven-Olaf
    Valuation of Commodity-based Swing Options
    In: Journal of Energy Markets Jg. 3 (2010) Nr. 3, S. 91 - 112
  • Börger, Reik H.; Cartea, Alvaro; Kiesel, Rüdiger; Schindlmayr, Gero
    A Multivariate Commodity Analysis and Applications to Risk Management
    In: The Journal of Futures Markets Jg. 29 (2009) Nr. 3, S. 197 - 217
  • Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik
    A two-factor model for the electricity forward market
    In: Quantitative Finance Jg. 9 (2009) Nr. 3, S. 279 - 287
  • Börger, Reik; Cartea, Alvaro; Kiesel, Rüdiger; Schindlmayr, Gero
    Cross-commodity analysis and applications to risk management
    In: Journal of Futures Markets Jg. 29 (2009) Nr. 3, S. 197 - 217
  • Kiesel, Rüdiger; Veraart, Luitgard
    A note on the survival probability in CreditGrades
    In: The Journal of Credit Risk Jg. 4 (2008) Nr. 2, S. 65 - 74
  • Kassberger, Stefan; Kiesel, Rüdiger; Liebmann, Thomas
    Fair valuation of insurance contracts under Lévy process specifications
    In: Insurance: Mathematics and Economics Jg. 42 (2008) Nr. 1, S. 419 - 433
  • Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger
    Pricing forward contracts in power markets by the certainty equivalence principle : Explaining the sign of the market risk premium
    In: Journal of Banking and Finance Jg. 32 (2008) Nr. 10, S. 2006 - 2021
  • Kassberger, Stefan; Kiesel, Rüdiger
    A fully parametric approach to return modelling and risk management of hedge funds
    In: Financial Markets and Portfolio Management Jg. 20 (2006) Nr. 4, S. 472 - 491
  • Bauer, Daniel; Kiesel, Rüdiger; Kling, Alexander; Ruß, Jochen
    Risk-neutral valuation of participating life insurance contracts
    In: Insurance: Mathematics and Economics Jg. 39 (2006) Nr. 2, S. 171 - 183
  • Börger, Reik H.; Kiesel, Rüdiger
    Finanzmathematische Modelle für Strompreise
    In: Emw: Zeitschrift für Energie, Markt, Wettbewerb (2004) Nr. 6,
  • Kiesel, Rüdiger; Höfling, H.; Löffler, G.
    Understanding the Corporate Bond Yield Curve
    In: The Pension Forum Jg. 15 (2004) S. 2 - 34
  • Bingham, N.H.; Kiesel, Rüdiger; Schmidt, Rafael
    A semi-parametric approach to risk management
    In: Quantitative Finance Jg. 3 (2003) Nr. 6, S. 426 - 441
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    The structure of credit risk: spread volatility and ratings transitions
    In: The Journal of Risk Jg. 6 (2003) Nr. 1, S. 1 - 37
  • Kiesel, Rüdiger
    Nonparametric Statistical Methods and the Pricing of Derivative Securities
    In: Journal of Applied Mathematics and Decision Sciences Jg. 6 (2002) Nr. 1, S. 1 - 22
  • Bingham, N.H.; Kiesel, Rüdiger
    Semi-parametric modelling in finance : Theoretical foundations
    In: Quantitative Finance Jg. 2 (2002) Nr. 4, S. 241 - 250
  • Hu, Yen-Ting; Kiesel, Rüdiger; Perraudin, William
    The estimation of transition matrices for sovereign credit ratings
    In: Journal of Banking and Finance Jg. 26 (2002) Nr. 7, S. 1383 - 1406
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    A Large Deviation Principle for Weighted Sums of Independent Identically Distributed Random Variables
    In: Journal of Mathematical Analysis and Applications Jg. 251 (2000) Nr. 2, S. 929 - 939
  • Kiesel, Rüdiger; Stadtmüller, U.
    Erdös-Rényi-Shepp laws for phi-mixing sequences of random variables
    In: Studia Scientiarum Mathematicarum Hungarica Jg. 34 (1998) Nr. 1, S. 1 - 7
  • Kiesel, Rüdiger
    Strong Laws and Summability for φ-mixing Sequences of Random Variables
    In: Journal of Theoretical Probability Jg. 11 (1998) Nr. 1, S. 209 - 224
  • Kiesel, Rüdiger
    Strong laws and summability for sequences of φ-mixing random variables in banach spaces
    In: Electronic Communications in Probability Jg. 2 (1997) Nr. 3, S. 27 - 41
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    Erdos-Rényi-Shepp laws and weighted sums of independent identically distributed random variables
    In: Journal of Theoretical Probability Jg. 9 (1996) Nr. 4, S. 961 - 982
  • Kiesel, Rüdiger
    The law of the iterated logarithm for certain power series and generalized Nörlund methods
    In: Mathematical Proceedings of the Cambridge Philosophical Society Jg. 120 (1996) Nr. 4, S. 735 - 753
  • Baron, Simson; Kiesel, Rüdiger
    Absolute φ -Summability Factors with a Power for Aa-Methods *
    In: Analysis: International Mathematical Journal of Analysis and its Applications Jg. 15 (1995) Nr. 4, S. 311 - 324
  • Kiesel, Rüdiger
    On Scales of Summability Methods
    In: Mathematische Nachrichten Jg. 176 (1995) Nr. 1, S. 129 - 138
  • Kiesel, Rüdiger; Baron, S.
    Absolute *-convergence factors with a power
    In: The Journal of Analysis Jg. 2 (1994) S. 116 - 122
  • Kiesel, Rüdiger; Stadtmüller, Ulrich
    Tauberian- and Convexity Theorems for Certain (N,p,q)-Means
    In: Canadian Journal of Mathematics Jg. 46 (1994) Nr. 5, S. 982 - 994
  • Borwein, David; Kiesel, Rüdiger
    Weighted Means and Summability by Generalized Nörlund and Other Methods
    In: Journal of Mathematical Analysis and Applications Jg. 184 (1994) Nr. 3, S. 607 - 619
  • Kiesel, Rüdiger
    General Nörlund transforms and power series methods
    In: Mathematische Zeitschrift Jg. 214 (1993) Nr. 2, S. 273 - 286
  • Kiesel, Rüdiger
    Power series methods and almost sure convergence
    In: Mathematical Proceedings of the Cambridge Philosophical Society Jg. 113 (1993) Nr. 1, S. 195 - 204
  • Kiesel, Rüdiger; Stadtmüller, U.
    Tauberian theorems for general power series methods
    In: Mathematical Proceedings of the Cambridge Philosophical Society Jg. 110 (1991) Nr. 3, S. 483 - 490
  • Beiträge in Sammelwerken und Tagungsbänden

  • Glas, Silke; Kiesel, Rüdiger; Kolkmann, Sven; Kremer, Marcel; Luckner, Nikolaus Graf von; Ostmeier, Lars; Urban, Karsten; Weber, Christoph
    Intraday Renewable Electricity Trading : Advanced Modeling and Optimal Control
    In: Progress in Industrial Mathematics at ECMI 2018 / Faragó, István; The 20th European Conference on Mathematics for Industry, ECMI 2018, Budapest from 18th to 22nd June 2018 2019, S. 469 - 475
  • Blasberg, Alexander; Graf Von Luckner, Nikolaus; Kiesel, Rüdiger
    Modeling the Serial Structure of the Hawkes Process Parameters for Market Order Arrivals on the German Intraday Power Market
    In: 16th International Conference on the European Energy Market (EEM): Proceedings / 16th International Conference on the European Energy Market (EEM), 18-20 September 2019 Ljubljana, Slovenia 2019
  • Wen, Ya; Kiesel, Rüdiger
    Pricing options on EU ETS certificates with a time-varying market price of risk model
    In: Springer Proceedings in Mathematics and Statistics / Conference on Stochastics for Environmental and Financial Economics, Oslo, Norway, 2015 / Benth, Fred Espen (Hrsg.) Jg. 138 2016, S. 341 - 360
  • Benth, Fred E.; Biegler-König, Richard; Kiesel, Rüdiger
    Electricity options and additional information
    In: Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets / Benth, Fred Espen; Kholodnyi, Valery A.; Laurence, Peter 2014, S. 285 - 305
  • Benth, Fred Espen; Ebbeler, Stephen; Kiesel, Rüdiger
    Indifference Pricing of Weather Futures Based on Electricity Futures
    In: Energy Pricing Models: Recent Advances, Methods, and Tools / Prokopczuk, Marcel (Hrsg.) 2014, S. 223.268
  • Kiesel, Rüdiger; Rupp, Andreas; Urban, Karsten
    Valuation of structured financial products by adaptive multiwavelet methods in high dimensions
    In: Extraction of Quantifiable Information from Complex Systems / Dahlke, Stephan; Dahmen, Wolfgang; Griebel, Michael (Hrsg.) 2014, S. 321 - 345
  • Kiesel, Rüdiger; Scherer, Matthias A.
    The freight market and its derivatives
    In: Alternative investments and strategies / Kiesel, Rüdiger; Scherer, Matthias A.; Zagst, Rudi (Hrsg.) 2010, S. 71 - 90
  • Kiesel, Rüdiger; Kleinow, Torsten
    Fair Value-basierte Optionspreisbewertung
    In: Fair Value: Bewertung in Rechnungswesen, Controlling und Finanzwirtschaft / Bieg, Hartmut (Hrsg.) 2005, S. 763 - 778
  • Kassberger, Stefan; Kiesel, Rüdiger
    Fischer Black und Myron Scholes als Aktuare — Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik
    In: Versicherungen im Umbruch: Werte schaffen, Risiken managen, Kunden gewinnen 2005, S. 375 - 398
  • Kiesel, Rüdiger; Liebmann, Thomas; Stahl, Gerhard
    Mathematical Framework for Integrating Market and Credit Risk
    In: Risk management: a modern perspective 2005, S. 367 - 389
  • Kiesel, Rüdiger
    Modellierung von Abhängigkeiten bei der Bewertung von Verbriefungen
    In: Praktiker-Handbuch Asset-backed-Securities und Kreditderivate: Strukturen, Preisbildung, Anwendungsmöglichkeiten, aufsichtliche Behandlung / Gruber, Josef (Hrsg.) 2005, S. 153 - 172
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    An extreme analysis of VaRs for emerging market benchmark bonds
    In: Credit Risk: Measurement, Evaluation and Management / 8th Econometric Workshop, March 13th - 15th 2002, Karlsruhe / Bol, Georg; Nakhaeizadeh, Gholamreza; Rachev, Svetlozar T.; Ridder, Thomas; Vollmer, Karl-Heinz (Hrsg.) 2003, S. 111 - 137
  • Kiesel, Rüdiger; Stadtmüller, U.
    Dimensions of Credit Risk
    In: Exploratory Data Analysis in Empirical Research: Proceedings of the 25th Annual Conference of the Gesellschaft für Klassifikation e.V / 25th Annual Conference of the Gesellschaft für Klassifikation e.V., University of Munich, March 14–16, 2001 / Schwaiger, Manfred; Opitz, Otto (Hrsg.) 2003, S. 463 - 471
  • Kiesel, Rüdiger; Perraudin, W.; Taylor, A.
    Credit and interest rate risk
    In: Risk management: value at risk and beyond 2002, S. 129 - 144
  • Kiesel, Rüdiger; Kleinow, Torsten
    Sensitivity analysis of credit portfolio models
    In: Applied Quantitative Finance: Theory and Computational Tools / Härdle, Wolfgang; Kleinow, Torsten; Stahl, Gerhard 2002, S. 111 - 124
  • Bingham, N.H.; Kiesel, Rüdiger
    Modelling asset returns with hyperbolic distributions
    In: Return Distributions in Finance / Knight, John (Hrsg.) 2001, S. 1 - 20
  • Kiesel, Rüdiger; Schmid, Bernd
    Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen
    In: Kreditrisikomanagement 2000, S. 51 - 83
  • Kiesel, Rüdiger; Perraudin, William; Taylor, Alex
    Estimating Volatility for Long Holding Periods
    In: Measuring Risk in Complex Stochastic Systems / Franke, Jürgen; Stahl, Gerhard; Härdle, Wolfgang (Hrsg.) 2000, S. 19 - 31
  • Bingham, N. H.; Kiesel, Rüdiger
    Hyperbolic and semi-parametric models in finance
    In: Disordered and Complex Systems / Disordered and Complex Systems, 10-14 July 2000, London, United Kingdom / Coolen, A. C. C. (Hrsg.) 2000
  • Bücher/Sammelwerke/Tagungsbände

  • Kiesel, Rüdiger; Scherer, Matthias; Zagst, Rudi (Hrsg.)
    Alternative investments and strategies
    Singapore (u.a.) (2010) 414 S.
  • Bingham, Nicholas H.; Kiesel, Rüdiger
    Risk-Neutral Valuation : Pricing and Hedging of Financial Derivatives
    London (u.a.) (2004) 455 S. (Springer Finance)
  • Dissertation

  • Kiesel, Rüdiger
    Taubersätze und starke Gesetze für Potenzreihenverfahren
    Ulm (1990) 191 S.
  • Forschungsberichte

  • Perraudin, William Robert Maurice; Hu, Yen-Ting; Kiesel, Rüdiger; Stahl, Gerhard
    Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
    (2011) 20 S.
  • Working Paper

  • Kustermann, Michael Martin; Kiesel, Rüdiger
    Structural Models for Coupled Electricity Markets
    (2014) 56 S.
  • Bannor, Karl; Kiesel, Rüdiger; Nazarova, Anna; Scherer, Matthias A.
    Model Risk and Power Plant Valuation
    (2013) 28 S.
  • Lexikoneinträge

  • Kiesel, Rüdiger
    Martingales
    In: International Encyclopedia of Statistical Science: Teil: Vol. 2., G - P / Lovric, Miodrag (Hrsg.) 2011
  • Kiesel, Rüdiger; Scherer, Matthias A.
    Structural default risk models
    In: Encyclopedia of Quantitative Finance 2010