Publikationen

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  • 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. Volltext RIS Download Details
  • M. Kremer, A.P. Becker, I. Vodenska, H.E. Stanley; R. Schäfer: Economic and political effects on currency clustering dynamics. In: Quantitative Finance, Jg. 19 (2019) Nr. 5, S. 705-716. doi:10.1080/14697688.2018.1532101 Volltext RIS Download Details
  • R. Kiesel; F. Paraschiv: Econometric analysis of 15-minute intraday electricity prices. In: Energy Economics, Jg. 64 (2017), S. 77-90. Volltext RIS Download Details
  • M. Wollschläger; R. Schäfer: Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns. In: Journal of Risk, Jg. 19 (2016) Nr. 1, S. 1-23. doi:10.21314/JOR.2016.342 Volltext RIS Download 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 RIS Download 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, Jg. 4 (2016) Nr. 32. doi:10.3390/risks4030032 RIS Download Details
  • Kollenberg; S.; Taschini; L. : Dynamic Supply Adjustment and Banking Under Uncertainty - The Market Stability Reserve. Working Paper. 2016. Volltext RIS Download Details
  • R. Kiesel; F. Rahe: Option pricing under time-varying risk aversion with applications to risk forecasting. In: Journal of Banking and Finance, Jg. 76 (2016) Nr. 3, S. 120-138. Volltext RIS Download Details
  • R.Kiesel, M. Mroz,; U. Stadtmu ̈ller: Time-Varying Copula Models for Financial Time Series. In: Probability, Analysis and Number Theory, Jg. 48 (2016), S. 159-180. Volltext RIS Download Details
  • R. Kiesel; M. Kustermann: Structural Models for Coupled Electricity Markets. In: Journal of Commodity Finance, Jg. 3 (2016) Nr. 1, S. 1638. Volltext RIS Download Details
  • D. Chetalova, M. Wollschläger; R. Schäfer: Dependence structure of market states. In: Journal of Statistical Mechanics: Theory and Experiment (2015) Nr. P08012, S. 1-19. doi:10.1088/1742-5468/2015/08/P08012 Volltext RIS Download 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 (Hrsg.), London 2015. Volltext RIS Download 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. Volltext RIS Download Details
  • C. Harms; R. Kiesel: Application of electricity bid stack models for dynamic hedging purposes. In: Journal of Energy Markets, Jg. 10 (2015) Nr. 1, S. 1-29. RIS Download Details
  • R. Kiesel; Ya, Wen: Modelling the market price of risk for emission allowance certificates. In: G. Di Nunno; F. E. Benth (Hrsg.): Stochastics of environmental and financial economics. Springer Proceedings in Mathematics & Statistics, 2015. RIS Download Details
  • S. Ebbeler, F. E. Benth; R. Kiesel: Indifference Pricing of Weather Derivatives based on Electricity Futures. In: M. Prokopczuk (Hrsg.): Energy Pricing Models: Recent Advances, Methods, and Tools. Palgrave Macmillan, New York 2014. RIS Download Details
  • R. Kiesel; M. Kustermann: Structural Models for Coupled Electricity Markets. Essen 2014. Volltext RIS Download Details
  • K. Bannor; R. Kiesel; A. Nazarova; M. A. Scherer: Model Risk and Power Plant Valuation. 2014. Volltext RIS Download 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 (Hrsg.), 2014. Volltext RIS Download Details
  • R. Kiesel, A. Rupp; K. Urban: Valuation of structured financial products by adaptive multilevel. In: S. Dalhlke et. al. (Hrsg.): Extraction of Quantifiable Information from Complex Systems. Springer, Heidelberg 2014. RIS Download Details
  • F. E. Benth, R. Kiesel; A. Nazarova: A critical empirical study of three electricity spot price models. In: Energy Economics journal, Jg. 34 (2013) Nr. 5, S. 1589-1616. doi:10.1016/j.eneco.2011.11.012 Volltext RIS Download Details
  • R. Biegler-König, F. E. Benth; R. Kiesel: Electricity Options and Additional Information. Working Paper. F. E. Benth, V. Kholodnyi; P. Laurence (Hrsg.), Quantitative Energy Finance, Springer 2013. RIS Download 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. Volltext RIS Download 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, Jg. 37 (2013) Nr. 2, S. 107-126. doi:10.1007/s12398-012-0102-4 Volltext RIS Download Details
  • G. Grüll; R. Kiesel: Quantifying the CO2 Permit Price Sensitivity. In: Zeitschrift für Energiewirtschaft, Jg. 36 (2012) Nr. 2, S. 101-111. doi:10.1007/s12398-012-0082-4 Volltext RIS Download Details
  • Gerhard Stahl; Jinsong Zheng; Rüdiger Kiesel; Robin Rühlicke: Conceptualizing Robustness in Risk Management. 2012. doi:10.2139/ssrn.2065723 Volltext RIS Download 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, Jg. 3 (2012) Nr. 1, S. 639-666. doi:10.1137/100818261 Volltext RIS Download Details
  • G. Grüll; L. Taschini: Cap-and-Trade Properties Under Different Scheme Designs. In: Journal of Environmental Economics and Management (2011) Nr. 61, S. 107-108. RIS Download Details

    Paper available at:

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

  • R. Kiesel : Martingales. In: Lovric, M. (Hrsg.): International Encyclopedia of Statistical Science. 1. Auflage. Springer, 2011, S. 779-781. RIS Download Details
  • M. Hess: Pricing Temperature Derivatives under Future Weather Information. Working Paper. 2011. RIS Download Details
  • J. Gernard, R. Kiesel; S.-O. Stoll: Valuation of Commodity-Based Swing Options. In: Journal of Energy Markets (2010) Nr. 3, S. 91-112. Volltext RIS Download Details
  • G. Grüll, R. Kiesel: Pricing CO2 Permits Using Approximation Approaches. In: Preprint (2010). RIS Download 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) Nr. 64 (3), S. 352-366. Volltext RIS Download Details
  • R. Kiesel; P. Scherer: The Freight Market and its Derivatives. In: R. Kiesel, M. Scherer; Rudi Zagst (Hrsg.): Alternative Assets and Strategies. World Scientific, 2010, S. 71-90. RIS Download Details
  • R. Kiesel; M. Scherer: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. All , 2010. RIS Download Details
  • G. Grüll, L. Taschini: Linking Emission Trading Schemes. In: Preprint (2010). RIS Download 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, Jg. 14 (2010) Nr. 3, S. 37-72. Volltext RIS Download 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). RIS Download 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) Nr. 40, S. 65-95. Volltext RIS Download Details
  • M. Hess: A Forward-Looking Multi-Factor Ornstein-Uhlenbeck Model for Pricing Electricity Risk. Working Paper. 2010. RIS Download Details
  • M. Hess: Explicit Pricing Measures for Commodity Forwards in a Heath-Jarrow-Morton-Framework with Jumps. Working Paper. 2010. RIS Download Details
  • M. Hess: Nonlinear Double-Jump Stochastic Filtering Using Generalized Levy-Type Processes. Working Paper. 2010. RIS Download Details
  • Georg Grüll, Luca Taschini: A Comparison of Reduced-Form Permit Price Models and Their Empirical Performances. In: MIT CEEPR Working Paper Series (2009). RIS Download 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, Jg. 9 (2009) Nr. 3, S. 279-287. Volltext RIS Download Details
  • R. Kiesel; A. Cartea; R. Börger; G. Schindlmayr: Cross-Commodity Analysis and Applications to Risk Management. In: Journal of Futures Markets (2009) Nr. 29, S. 197-217. RIS Download Details
  • R. Börger, A. Cartea, R. Kiesel; G. Schindelmayer: A multivariate commodity analysis and applications to risk management. In: Journal of Future Markets (2009) Nr. 29 (3), S. 197-217. Volltext RIS Download Details
  • S. Ebbeler, R. Kiesel; K. Metka: Empirical comparison of future pricing models. In: Working Paper (2009). RIS Download 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, Jg. 32 (2008) Nr. 10, S. 2006-2021. doi:10.1016/j.jbankfin.2007.12.022 Volltext RIS Download Details
  • R. Kiesel, L. Veraart: Asset-based Estimates for Default Probabilities for Commercial Banks. In: Journal of Credit Risk, Jg. 4 (2008) Nr. 2. Volltext RIS Download Details
  • R. Kiesel; T. Liebmann; S. Kassberger: Fair valuation of insurance contracts under Lévy process specifications. In: Insurance: Mathematics and Economics, Jg. 42 (2007) Nr. 1, S. 419-433. Volltext RIS Download Details
  • R. Kiesel, S. Kassberger: A fully parametric approach to return modelling and risk management for hedge funds. In: Financial Markets and Portfolio Management, Jg. 4 (2006), S. 472-491. Volltext RIS Download Details
  • R. Kiesel; D. Bauer; A. Kling; J. Ruß: Risk neutral valuation of with profit life insurance contracts. In: Insurance: Mathematics and Economics, Jg. 39 (2006), S. 171-183. Volltext RIS Download Details
  • R. Kiesel; G.Stahl; T.Liebmann: Mathematical framework for integrating market and credit risk. In: M. Ong (Hrsg.): Risk Management. 2005. RIS Download Details
  • R. Kiesel, R. Schmidt: A survey of dependency modelling: Copulas, tail dependence and estimation. In: W.Perraudin (Hrsg.): Structured Credit Products. RISK Book, 2005. RIS Download Details
  • R. Kiesel; M. Lesko; C. Prestele: Modellierung von Abhängigkeiten bei der Bewertung von Verbriefungen. In: H. Braun; J. Gruber; W. Gruber (Hrsg.): Praktiker-Handbuch – Asset-Backed-Securities und Kreditderivate. Schäffer-Poeschel Verlag, Stuttgart 2005. RIS Download Details
  • R. Kiesel, T.Kleinow: Fair Value-basierende Optionspreisbewertung. R. Heyd, H. Bieg (Hrsg.), Vahlen, 2005. RIS Download Details
  • R. Börger; R. Kiesel: Finanzmathematische Modelle für Strompreise. In: emw (2004) Nr. 6. RIS Download Details
  • Nicholas H. Bingham, Rüdiger Kiesel: Risk-neutral valuation (3). 2. Auflage. Springer, New-York 2004. RIS Download Details
  • R. Kiesel, H.Höfling; G. Löffler: Understanding the Corporate Bond Yield Curve. In: The Pension Forum, Jg. 15 (2004), S. 2-34. RIS Download Details
  • R. Kiesel, S. Kassberger: F. Black und M.Scholes als Aktuare: Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik. In: K. Spremann (Hrsg.): Versicherung im Umbruch. Springer, 2004. RIS Download Details
  • R. Kiesel, W. Perraudin; A.Taylor: An extremes analysis of VaRs for emerging market benchmark bonds. In: G. Bol et al. (Hrsg.): Credit Risk: Measurement, Evaluation and Management. Physica-Verlag, 2004. RIS Download Details
  • R. Kiesel, N.H. Bingham: Risk Neutral Valuation: An Introduction to the Pricing and Hedging of Financial Derivatives (3). 2. Auflage. Springer, 2004. RIS Download Details
  • R. Kiesel; N.H. Bingham; R.Schmidt: A semi-parametric approach to risk management. In: Quantitative Finance, Jg. 3 (2003), S. 426-441. Volltext RIS Download Details
  • R. Kiesel, W.Perraudin; A. Taylor: The structure of credit risk: Spread volatility and ratings transitions. In: Journal of Risk, Jg. 6 (2003), S. 1-27. RIS Download Details
  • R. Kiesel, N.H. Bingham: Semi-parametric methods in finance: Theoretical foundations. In: Quantitative Finance (2002), S. 241-250. RIS Download Details
  • R. Kiesel, Y.-T. Hu; W. Perraudin: Estimation of transition matrices for sovereign credit risk. In: Journal of Banking and Finance, Jg. 26 (2002) Nr. 7, S. 1383-1406. Volltext RIS Download 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 (Hrsg.): Exploratory Data Analysis in Empirical Research. Springer, 2002. RIS Download Details
  • R. Kiesel, T.Kleinow: Sensitivity analysis of credit portfolio models. In: in G. Stahl W. Härdle, T. Kleinow (Hrsg.): Applied Quantitative Finance. Springer, 2002. RIS Download 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), S. 129-144. RIS Download Details
  • R. Kiesel: Nonparametric statistical methods and the pricing of derivative securities. In: Journal of Applied Mathematics & Decision Sciences, Jg. 6 (2002) Nr. 1, S. 1-22. Volltext RIS Download Details
  • R. Kiesel; Hu; Y.-T; W.Perraudin; G.Stahl: Judgmental versus quantitative credit risk measures for sovereigns. In: Preprint (2002). RIS Download Details
  • N.H. Bingham; R. Kiesel: Semi-parametric modelling in finance: theoretical foundations. In: Quantitative Finance, Jg. 2 (2002), S. 241-250. Volltext RIS Download Details
  • R. Kiesel, N.H. Bingham: Modelling asset returns with hyperbolic distributions. In: J. Knight; S. Satchel (Hrsg.): Asset return distributions. Butterworth-Heinemann, 2001, S. 1-20. RIS Download 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 (Hrsg.): Disordered and Complex Systems. 2001. RIS Download 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), S. 19-30. RIS Download Details
  • R. Kiesel; B.Schmid; Risklab; Germany: Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen. In: Kreditrisikomanagement, ed.K.Oehler, Schäffer-Poeschel Verlag (2000), S. 51-83. Volltext RIS Download Details
  • R. Kisel, U. Stadtmüller: Large deviations for weighted sums of independent identically distributed random variables. In: Journal of Mathematical Analysis and Applications, Jg. 251 (2000), S. 929-939. RIS Download Details
  • R. Kiesel: Strong laws and summability for phi-mixing sequences of random variables. In: Journal of Theoretical Probability, Jg. 11 (1998) Nr. 1, S. 209-224. RIS Download Details
  • R. Kiesel, U. Stadtmüller: Erdös-Rényi-Shepp laws for phi-mixing sequences of random variables. In: Studia Scientarium Math. Hungarian, Jg. 34 (1998), S. 1-7. RIS Download Details
  • R. Kiesel: Strong laws and summability for sequences of phi-mixing random variables taking values in Banach spaces. In: Electronic Communications in Probability, Jg. 2 (1997), S. 27-41. RIS Download Details
  • R. Kiesel: The law of the iterated logarithm for certain power series and generalized Nörlund methods. In: Math. Proc. Camb. Phil. Soc., Jg. 120 (1996), S. 735-753. RIS Download Details
  • R. Kiesel, U. Stadtmüller: Erdös-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. RIS Download Details
  • R. Kiesel: Pricing contingent claims in incomplete markets: A quadratic utility approach. 15. Department of Statistics, Birkbeck College 1996. RIS Download Details
  • R. Kiesel: Taubersätze und Starke Gesetze für Potenzreihenverfahren (1). Universität Ulm 1995. RIS Download Details
  • R. Kiesel: On scales of summability methods. In: Mathematische Nachrichten, Jg. 176 (1995), S. 129-138. RIS Download Details
  • R. Kiesel, S. Baron: Absolute *-summability factors with a power for -methods. In: Analysis, Jg. 15 (1995), S. 311-324. RIS Download Details
  • R. Kiesel, D. Borwein: Weighted means and summability by generalized Nörlund and other methods. In: Journal Math. Analysis and Applications, Jg. 183 (1994) Nr. 3, S. 607-619. RIS Download Details
  • R. Kiesel, U. Stadtmüller: Tauberian- and convexity theorems for certain (N,p,q)-methods. In: Canadian Journal of Mathematics , Jg. 46 (1994) Nr. 5, S. 982-994. RIS Download Details
  • R. Kiesel, S. Baron: Absolute *-convergence factors with a power. In: Journal of Analysis, Jg. 2 (1994), S. 116-122. RIS Download Details
  • R. Kiesel: Power series methods and almost sure convergence. In: Math. Proc. Camb. Phil. Soc., Jg. 113 (1993), S. 195-204. RIS Download Details
  • R. Kiesel: General Nörlund transforms and power series methods. In: Math. Zeitschrift, Jg. 214 (1993), S. 273-286. RIS Download Details
  • R. Kiesel, U.Stadtmüller: Tauberian theorems for general power series methods. In: Math. Proc. Camb. Phil. Soc., Jg. 110 (1991), S. 483-490. RIS Download Details
  • (Hrsg.): Mathematical framework for integrating market and credit risk. . RIS Download Details
  • K. Bannör; R. Kiesel; A. Nazarova; M. Scherer: Model Risk for Energy Markets. In: Energy Economics, Jg. 59, S. 423-434. doi:10.1016/j.eneco.2016.08.004 RIS Download Details