Publications

Filter:
  • M. Kremer, F.E. Benth, B. Felten; R. Kiesel: Volatility and liquidity on high-frequency electricity futures markets: Empirical analysis and stochastic modeling. Working Paper, 2019. Full text Citation Details
  • M. Kremer, A.P. Becker, I. Vodenska, H.E. Stanley; R. Schäfer: Economic and political effects on currency clustering dynamics. In: Quantitative Finance, Vol 19 (2019) No 5, p. 705-716. doi:10.1080/14697688.2018.1532101 Full text Citation Details
  • R. Kiesel; F. Paraschiv: Econometric analysis of 15-minute intraday electricity prices. In: Energy Economics, Vol 64 (2017), p. 77-90. Full text Citation Details
  • M. Wollschläger; R. Schäfer: Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns. In: Journal of Risk, Vol 19 (2016) No 1, p. 1-23. doi:10.21314/JOR.2016.342 Full text Citation Details
  • Kollenberg; S.; Taschini; L.: Emissions trading systems with cap adjustments. In: Journal of Environmental Economics and Management (2016). doi:10.1016/j.jeem.2016.09.003 Citation Details

    Emissions Trading Systems (ETSs) with fixed caps lack provisions to address systematic imbalances in the supply and demand of permits due to changes in the state of the regulated economy. We propose a mechanism which adjusts the allocation of permits based on the current bank of permits. The mechanism spans the spectrum between a pure quantity instrument and a pure price instrument. We solve the firms' emissions control problem and obtain an explicit dependency between the key policy stringency parameter – the adjustment rate – and the firms' abatement and trading strategies. We present an analytical tool for selecting the optimal adjustment rate under both risk-neutrality and risk-aversion, which provides an analytical basis for the regulator's choice of a responsive ETS policy.

  • Stahl, G., J. Zheng, R. Kiesel; R. Ru ̈hlicke: The Wasserstein Metric and Robustness in Risk Management. In: Risks, Vol 4 (2016) No 32. doi:10.3390/risks4030032 Citation Details
  • Kollenberg; S.; Taschini; L. : Dynamic Supply Adjustment and Banking Under Uncertainty - The Market Stability Reserve. Working Paper. 2016. Full text Citation Details
  • R. Kiesel; F. Rahe: Option pricing under time-varying risk aversion with applications to risk forecasting. In: Journal of Banking and Finance, Vol 76 (2016) No 3, p. 120-138. Full text Citation Details
  • R.Kiesel, M. Mroz,; U. Stadtmu ̈ller: Time-Varying Copula Models for Financial Time Series. In: Probability, Analysis and Number Theory, Vol 48 (2016), p. 159-180. Full text Citation Details
  • R. Kiesel; M. Kustermann: Structural Models for Coupled Electricity Markets. In: Journal of Commodity Finance, Vol 3 (2016) No 1, p. 1638. Full text Citation Details
  • D. Chetalova, M. Wollschläger; R. Schäfer: Dependence structure of market states. In: Journal of Statistical Mechanics: Theory and Experiment (2015) No P08012, p. 1-19. doi:10.1088/1742-5468/2015/08/P08012 Full text Citation Details
  • Neuhoff; K.; Acworth; W.; Betz; R.; Burtraw; D.; Cludius; J.; Fell; H.; Hepburn; C.; Holt; C.; Jotzo; F.; Kollenberg; S.; Landis; F.; Salant; S.; Schopp; A.; Shobe; W.; Taschini; L.; Trotignon; R.: Is a Market Stability Reserve Likely to Improve the Functioning of the EU ETS? - Evidence from a Model Comparison Exercise. Climate Strategies (Ed.), London 2015. Full text Citation Details
  • Gilbert; A. ; Lam L.; Sachweh; C.; Smith; M. (Ecofys); Taschini; L. (LSE); Kollenberg; S. (UDE) : Assessing Design Options for a Market Stability Reserve in the EU ETS. 2015. Full text Citation Details
  • C. Harms; R. Kiesel: Application of electricity bid stack models for dynamic hedging purposes. In: Journal of Energy Markets, Vol 10 (2015) No 1, p. 1-29. Citation Details
  • R. Kiesel; Ya, Wen: Modelling the market price of risk for emission allowance certificates. In: G. Di Nunno; F. E. Benth (Ed.): Stochastics of environmental and financial economics. Springer Proceedings in Mathematics & Statistics, 2015. Citation Details
  • S. Ebbeler, F. E. Benth; R. Kiesel: Indifference Pricing of Weather Derivatives based on Electricity Futures. In: M. Prokopczuk (Ed.): Energy Pricing Models: Recent Advances, Methods, and Tools. Palgrave Macmillan, New York 2014. Citation Details
  • R. Kiesel; M. Kustermann: Structural Models for Coupled Electricity Markets. Essen 2014. Full text Citation Details
  • K. Bannor; R. Kiesel; A. Nazarova; M. A. Scherer: Model Risk and Power Plant Valuation. 2014. Full text Citation Details
  • Taschini; L.; Kollenberg; S.; Duffy; C.: System Responsiveness and the European Union Emissions Trading System - Policy Paper . CCCEP ; London School of Economics; Political Science (Ed.), 2014. Full text Citation Details
  • R. Kiesel, A. Rupp; K. Urban: Valuation of structured financial products by adaptive multilevel. In: S. Dalhlke et. al. (Ed.): Extraction of Quantifiable Information from Complex Systems. Springer, Heidelberg 2014. Citation Details
  • F. E. Benth, R. Kiesel; A. Nazarova: A critical empirical study of three electricity spot price models. In: Energy Economics journal, Vol 34 (2013) No 5, p. 1589-1616. doi:10.1016/j.eneco.2011.11.012 Full text Citation Details
  • R. Biegler-König, F. E. Benth; R. Kiesel: Electricity Options and Additional Information. Working Paper. F. E. Benth, V. Kholodnyi; P. Laurence (Ed.), Quantitative Energy Finance, Springer 2013. Citation Details

    Paper available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2114177

  • R. Biegler-König, F. E. Benth; R. Kiesel: An Empirical Study of the Information Premium on Electricity Markets. 36:55-77. Energy Economics, 2013. Full text Citation Details

    Paper available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2114196

  • R. Kiesel; K. Metka: A Multivariate Commodity Analysis with Time-Dependent Volatility - Evidence from the German Energy Market. In: Zeitschrift für Energiewirtschaft, Vol 37 (2013) No 2, p. 107-126. doi:10.1007/s12398-012-0102-4 Full text Citation Details
  • G. Grüll; R. Kiesel: Quantifying the CO2 Permit Price Sensitivity. In: Zeitschrift für Energiewirtschaft, Vol 36 (2012) No 2, p. 101-111. doi:10.1007/s12398-012-0082-4 Full text Citation Details
  • Gerhard Stahl; Jinsong Zheng; Rüdiger Kiesel; Robin Rühlicke: Conceptualizing Robustness in Risk Management. 2012. doi:10.2139/ssrn.2065723 Full text Citation Details

    Working Paper, available at ssrn.com/abstract=2065723

  • D. Bauer, F. E. Benth; R. Kiesel : Modelling the forward surface of mortality. In: SIAM Journal on Financial Mathematics, Vol 3 (2012) No 1, p. 639-666. doi:10.1137/100818261 Full text Citation Details
  • G. Grüll; L. Taschini: Cap-and-Trade Properties Under Different Scheme Designs. In: Journal of Environmental Economics and Management (2011) No 61, p. 107-108. Citation Details

    Paper available at:

    www.sciencedirect.com/science/article/pii/S0095069610001051

  • R. Kiesel : Martingales. In: Lovric, M. (Ed.): International Encyclopedia of Statistical Science. 1st Edition. Springer, 2011, p. 779-781. Citation Details
  • M. Hess: Pricing Temperature Derivatives under Future Weather Information. Working Paper. 2011. Citation Details
  • J. Gernard, R. Kiesel; S.-O. Stoll: Valuation of Commodity-Based Swing Options. In: Journal of Energy Markets (2010) No 3, p. 91-112. Full text Citation Details
  • G. Grüll, R. Kiesel: Pricing CO2 Permits Using Approximation Approaches. In: Preprint (2010). Citation Details

    Paper available at:

    papers.ssrn.com/sol3/papers.cfm

  • N.H. Bingham, J. M. Fry; R. Kiesel : Multivariate elliptical processes. In: Statistica Neerlandica (2010) No 64 (3), p. 352-366. Full text Citation Details
  • R. Kiesel; P. Scherer: The Freight Market and its Derivatives. In: R. Kiesel, M. Scherer; Rudi Zagst (Ed.): Alternative Assets and Strategies. World Scientific, 2010, p. 71-90. Citation Details
  • R. Kiesel; M. Scherer: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. All , 2010. Citation Details
  • G. Grüll, L. Taschini: Linking Emission Trading Schemes. In: Preprint (2010). Citation Details

    Paper available at:

    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1546105

  • R. Kiesel; M. Lutz: Efficient pricing of CMS spread options in a stochastic volatility LMM. In: Journal of Computational Finance, Vol 14 (2010) No 3, p. 37-72. Full text Citation Details

    Working Paper available at:

    papers.ssrn.com/sol3/papers.cfm

  • R. Kiesel, M. Scherer: Dynamic credit portfolio modelling in structural models with jumps. In: Preprint (2010). Citation Details
  • D. Bauer, D. Bergmann; R. Kiesel: On the risk-neutral valuation of life insurance contracts with numerical methods in view. In: Astin Bulletin (2010) No 40, p. 65-95. Full text Citation Details
  • M. Hess: A Forward-Looking Multi-Factor Ornstein-Uhlenbeck Model for Pricing Electricity Risk. Working Paper. 2010. Citation Details
  • M. Hess: Explicit Pricing Measures for Commodity Forwards in a Heath-Jarrow-Morton-Framework with Jumps. Working Paper. 2010. Citation Details
  • M. Hess: Nonlinear Double-Jump Stochastic Filtering Using Generalized Levy-Type Processes. Working Paper. 2010. Citation Details
  • Georg Grüll, Luca Taschini: A Comparison of Reduced-Form Permit Price Models and Their Empirical Performances. In: MIT CEEPR Working Paper Series (2009). Citation Details

    Paper available at:

    http://web.mit.edu/ceepr/www/publications/workingpapers/2009-018.pdf

  • R. Kiesel, R.Börger; G. Schindlmayr: A two-factor model for the electricity forward market. In: Quantitative Finance, Vol 9 (2009) No 3, p. 279-287. Full text Citation Details
  • R. Kiesel; A. Cartea; R. Börger; G. Schindlmayr: Cross-Commodity Analysis and Applications to Risk Management. In: Journal of Futures Markets (2009) No 29, p. 197-217. Citation Details
  • R. Börger, A. Cartea, R. Kiesel; G. Schindelmayer: A multivariate commodity analysis and applications to risk management. In: Journal of Future Markets (2009) No 29 (3), p. 197-217. Full text Citation Details
  • S. Ebbeler, R. Kiesel; K. Metka: Empirical comparison of future pricing models. In: Working Paper (2009). Citation Details
  • F.E. Benth, A. Cartea; R. Kiesel: 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, Vol 32 (2008) No 10, p. 2006-2021. doi:10.1016/j.jbankfin.2007.12.022 Full text Citation Details
  • R. Kiesel, L. Veraart: Asset-based Estimates for Default Probabilities for Commercial Banks. In: Journal of Credit Risk, Vol 4 (2008) No 2. Full text Citation Details
  • R. Kiesel; T. Liebmann; S. Kassberger: Fair valuation of insurance contracts under Lévy process specifications. In: Insurance: Mathematics and Economics, Vol 42 (2007) No 1, p. 419-433. Full text Citation Details
  • R. Kiesel, S. Kassberger: A fully parametric approach to return modelling and risk management for hedge funds. In: Financial Markets and Portfolio Management, Vol 4 (2006), p. 472-491. Full text Citation Details
  • R. Kiesel; D. Bauer; A. Kling; J. Ruß: Risk neutral valuation of with profit life insurance contracts. In: Insurance: Mathematics and Economics, Vol 39 (2006), p. 171-183. Full text Citation Details
  • R. Kiesel; G.Stahl; T.Liebmann: Mathematical framework for integrating market and credit risk. In: M. Ong (Ed.): Risk Management. 2005. Citation Details
  • R. Kiesel, R. Schmidt: A survey of dependency modelling: Copulas, tail dependence and estimation. In: W.Perraudin (Ed.): Structured Credit Products. RISK Book, 2005. Citation Details
  • R. Kiesel; M. Lesko; C. Prestele: Modellierung von Abhängigkeiten bei der Bewertung von Verbriefungen. In: H. Braun; J. Gruber; W. Gruber (Ed.): Praktiker-Handbuch – Asset-Backed-Securities und Kreditderivate. Schäffer-Poeschel Verlag, Stuttgart 2005. Citation Details
  • R. Kiesel, T.Kleinow: Fair Value-basierende Optionspreisbewertung. R. Heyd, H. Bieg (Ed.), Vahlen, 2005. Citation Details
  • R. Börger; R. Kiesel: Finanzmathematische Modelle für Strompreise. In: emw (2004) No 6. Citation Details
  • Nicholas H. Bingham, Rüdiger Kiesel: Risk-neutral valuation (3). 2nd Edition. Springer, New-York 2004. Citation Details
  • R. Kiesel, H.Höfling; G. Löffler: Understanding the Corporate Bond Yield Curve. In: The Pension Forum, Vol 15 (2004), p. 2-34. Citation Details
  • R. Kiesel, S. Kassberger: F. Black und M.Scholes als Aktuare: Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik. In: K. Spremann (Ed.): Versicherung im Umbruch. Springer, 2004. Citation Details
  • R. Kiesel, W. Perraudin; A.Taylor: An extremes analysis of VaRs for emerging market benchmark bonds. In: G. Bol et al. (Ed.): Credit Risk: Measurement, Evaluation and Management. Physica-Verlag, 2004. Citation Details
  • R. Kiesel, N.H. Bingham: Risk Neutral Valuation: An Introduction to the Pricing and Hedging of Financial Derivatives (3). 2nd Edition. Springer, 2004. Citation Details
  • R. Kiesel; N.H. Bingham; R.Schmidt: A semi-parametric approach to risk management. In: Quantitative Finance, Vol 3 (2003), p. 426-441. Full text Citation Details
  • R. Kiesel, W.Perraudin; A. Taylor: The structure of credit risk: Spread volatility and ratings transitions. In: Journal of Risk, Vol 6 (2003), p. 1-27. Citation Details
  • R. Kiesel, N.H. Bingham: Semi-parametric methods in finance: Theoretical foundations. In: Quantitative Finance (2002), p. 241-250. Citation Details
  • R. Kiesel, Y.-T. Hu; W. Perraudin: Estimation of transition matrices for sovereign credit risk. In: Journal of Banking and Finance, Vol 26 (2002) No 7, p. 1383-1406. Full text Citation Details
  • R. Kiesel, U.Stadtmüller: Dimensions of credit risk - Proceedings of the 25th Annual Conference of the Gesellschaft für Klassifikation e.V. In: M.Schwaiger; O.Opitz (Ed.): Exploratory Data Analysis in Empirical Research. Springer, 2002. Citation Details
  • R. Kiesel, T.Kleinow: Sensitivity analysis of credit portfolio models. In: in G. Stahl W. Härdle, T. Kleinow (Ed.): Applied Quantitative Finance. Springer, 2002. Citation Details
  • R. Kiesel, W. Perraudin; A.Taylor: Credit and interest rate risk. In: Risk Management: Value at risk and beyond, eds.: M.A.H. Dempster and H.K.Moffat,Cambridge University Press (2002), p. 129-144. Citation Details
  • R. Kiesel: Nonparametric statistical methods and the pricing of derivative securities. In: Journal of Applied Mathematics & Decision Sciences, Vol 6 (2002) No 1, p. 1-22. Full text Citation Details
  • R. Kiesel; Hu; Y.-T; W.Perraudin; G.Stahl: Judgmental versus quantitative credit risk measures for sovereigns. In: Preprint (2002). Citation Details
  • N.H. Bingham; R. Kiesel: Semi-parametric modelling in finance: theoretical foundations. In: Quantitative Finance, Vol 2 (2002), p. 241-250. Full text Citation Details
  • R. Kiesel, N.H. Bingham: Modelling asset returns with hyperbolic distributions. In: J. Knight; S. Satchel (Ed.): Asset return distributions. Butterworth-Heinemann, 2001, p. 1-20. Citation Details
  • R. Kiesel, N.H. Bingham: Hyperbolic and semi-parametric models in finance. In: P.Sollich,A.C.C.Coolen,L.P.Houghston,; R.F.Streater (Ed.): Disordered and Complex Systems. 2001. Citation Details
  • R. Kiesel, W.Perraudin; A.Taylor: Estimating volatility for long holding periods. In: Measuring Risk in Complex Systems, eds. W.Härdle,J.Franke,G.Stahl, Springer (2000), p. 19-30. Citation Details
  • R. Kiesel; B.Schmid; Risklab; Germany: Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen. In: Kreditrisikomanagement, ed.K.Oehler, Schäffer-Poeschel Verlag (2000), p. 51-83. Full text Citation Details
  • R. Kisel, U. Stadtmüller: Large deviations for weighted sums of independent identically distributed random variables. In: Journal of Mathematical Analysis and Applications, Vol 251 (2000), p. 929-939. Citation Details
  • R. Kiesel: Strong laws and summability for phi-mixing sequences of random variables. In: Journal of Theoretical Probability, Vol 11 (1998) No 1, p. 209-224. Citation Details
  • R. Kiesel, U. Stadtmüller: Erdös-Rényi-Shepp laws for phi-mixing sequences of random variables. In: Studia Scientarium Math. Hungarian, Vol 34 (1998), p. 1-7. Citation Details
  • R. Kiesel: Strong laws and summability for sequences of phi-mixing random variables taking values in Banach spaces. In: Electronic Communications in Probability, Vol 2 (1997), p. 27-41. Citation Details
  • R. Kiesel: The law of the iterated logarithm for certain power series and generalized Nörlund methods. In: Math. Proc. Camb. Phil. Soc., Vol 120 (1996), p. 735-753. Citation Details
  • R. Kiesel, U. Stadtmüller: Erdös-Rényi-Shepp laws and weighted sums of independent identically distributed random variables. In: Journal of Theoretical Probability, Vol 9 (1996) No 4, p. 961-982. Citation Details
  • R. Kiesel: Pricing contingent claims in incomplete markets: A quadratic utility approach. 15. Department of Statistics, Birkbeck College 1996. Citation Details
  • R. Kiesel: Taubersätze und Starke Gesetze für Potenzreihenverfahren (1). Universität Ulm 1995. Citation Details
  • R. Kiesel: On scales of summability methods. In: Mathematische Nachrichten, Vol 176 (1995), p. 129-138. Citation Details
  • R. Kiesel, S. Baron: Absolute *-summability factors with a power for -methods. In: Analysis, Vol 15 (1995), p. 311-324. Citation Details
  • R. Kiesel, D. Borwein: Weighted means and summability by generalized Nörlund and other methods. In: Journal Math. Analysis and Applications, Vol 183 (1994) No 3, p. 607-619. Citation Details
  • R. Kiesel, U. Stadtmüller: Tauberian- and convexity theorems for certain (N,p,q)-methods. In: Canadian Journal of Mathematics , Vol 46 (1994) No 5, p. 982-994. Citation Details
  • R. Kiesel, S. Baron: Absolute *-convergence factors with a power. In: Journal of Analysis, Vol 2 (1994), p. 116-122. Citation Details
  • R. Kiesel: Power series methods and almost sure convergence. In: Math. Proc. Camb. Phil. Soc., Vol 113 (1993), p. 195-204. Citation Details
  • R. Kiesel: General Nörlund transforms and power series methods. In: Math. Zeitschrift, Vol 214 (1993), p. 273-286. Citation Details
  • R. Kiesel, U.Stadtmüller: Tauberian theorems for general power series methods. In: Math. Proc. Camb. Phil. Soc., Vol 110 (1991), p. 483-490. Citation Details
  • (Ed.): Mathematical framework for integrating market and credit risk. . Citation Details
  • K. Bannör; R. Kiesel; A. Nazarova; M. Scherer: Model Risk for Energy Markets. In: Energy Economics, Vol 59, p. 423-434. doi:10.1016/j.eneco.2016.08.004 Citation Details