Publikationen

  • M. Wollschläger, A.P. Becker, I. Vodenska, H.E. Stanley and R. Schäfer: Economic and Political Effects on Currency Clustering Dynamics. Working Paper, 2017. Details
  • R. Kiesel, and F. Paraschiv: Econometric analysis of 15-minute intraday electricity prices. In: Energy Economics, Jg. 64 (2017), S. 77-90. Details
  • M. Wollschläger and 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 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 Details
  • Stahl, G., J. Zheng, R. Kiesel and R. Ru ̈hlicke: The Wasserstein Metric and Robustness in Risk Management. In: Risks, Jg. 4 (2016) Nr. 32. doi:10.3390/risks4030032
  • Kollenberg, S., Taschini, L. : Dynamic Supply Adjustment and Banking Under Uncertainty - The Market Stability Reserve. Working Paper. 2016. Details
  • R. Kiesel and 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. Details
  • R.Kiesel, M. Mroz, and U. Stadtmu ̈ller: Time-Varying Copula Models for Financial Time Series. In: Probability, Analysis and Number Theory, Jg. 48 (2016), S. 159-180. Details
  • R. Kiesel, and M. Kustermann: Structural Models for Coupled Electricity Markets. In: Journal of Commodity Finance, Jg. 3 (2016) Nr. 1, S. 1638. Details
  • D. Chetalova, M. Wollschläger and 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 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. 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. Details
  • C. Harms and 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.
  • R. Kiesel and Ya, Wen: Modelling the market price of risk for emission allowance certificates. In: G. Di Nunno and F. E. Benth (Hrsg.): Stochastics of environmental and financial economics. Springer Proceedings in Mathematics & Statistics, 2015.
  • S. Ebbeler, F. E. Benth and 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.
  • R. Kiesel and M. Kustermann: Structural Models for Coupled Electricity Markets. Essen 2014. Details
  • K. Bannor, R. Kiesel, A. Nazarova, M. A. Scherer: Model Risk and Power Plant Valuation. 2014. Details
  • Taschini, L., Kollenberg, S., Duffy, C.: System Responsiveness and the European Union Emissions Trading System - Policy Paper . CCCEP / London School of Economics and Political Science (Hrsg.), 2014. Details
  • R. Kiesel, A. Rupp and 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.
  • F. E. Benth, R. Kiesel and 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 Details
  • R. Biegler-König, F. E. Benth and R. Kiesel: Electricity Options and Additional Information. Working Paper. F. E. Benth, V. Kholodnyi and P. Laurence (Hrsg.), Quantitative Energy Finance, Springer 2013. Details
  • R. Biegler-König, F. E. Benth and R. Kiesel: An Empirical Study of the Information Premium on Electricity Markets. 36:55-77. Energy Economics, 2013. Details
  • R. Kiesel and 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 Details
  • G. Grüll and 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 Details
  • Gerhard Stahl, Jinsong Zheng, Rüdiger Kiesel, Robin Rühlicke: Conceptualizing Robustness in Risk Management. 2012. doi:10.2139/ssrn.2065723 Details
  • D. Bauer, F. E. Benth and 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 Details
  • G. Grüll and L. Taschini: Cap-and-Trade Properties Under Different Scheme Designs. In: Journal of Environmental Economics and Management (2011) Nr. 61, S. 107-108. Details
  • R. Kiesel : Martingales. In: Lovric, M. (Hrsg.): International Encyclopedia of Statistical Science. 1. Auflage. Springer, 2011, S. 779-781.
  • M. Hess: Pricing Temperature Derivatives under Future Weather Information. Working Paper. 2011.
  • J. Gernard, R. Kiesel and S.-O. Stoll: Valuation of Commodity-Based Swing Options. In: Journal of Energy Markets (2010) Nr. 3, S. 91-112. Details
  • G. Grüll, R. Kiesel : Pricing CO2 Permits Using Approximation Approaches . In: Preprint (2010). Details
  • N.H. Bingham, J. M. Fry and R. Kiesel : Multivariate elliptical processes. In: Statistica Neerlandica (2010) Nr. 64 (3), S. 352-366. Details
  • R. Kiesel and P. Scherer: The Freight Market and its Derivatives. In: R. Kiesel, M. Scherer and Rudi Zagst (Hrsg.): Alternative Assets and Strategies. World Scientific, 2010, S. 71-90.
  • R. Kiesel and M. Scherer: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. All , 2010.
  • G. Grüll, L. Taschini: Linking Emission Trading Schemes. In: Preprint (2010). Details
  • R. Kiesel and 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. Details
  • R. Kiesel, M. Scherer: Dynamic credit portfolio modelling in structural models with jumps. In: Preprint (2010).
  • D. Bauer, D. Bergmann and 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. Details
  • M. Hess: A Forward-Looking Multi-Factor Ornstein-Uhlenbeck Model for Pricing Electricity Risk. Working Paper. 2010.
  • M. Hess: Explicit Pricing Measures for Commodity Forwards in a Heath-Jarrow-Morton-Framework with Jumps. Working Paper. 2010.
  • M. Hess: Nonlinear Double-Jump Stochastic Filtering Using Generalized Levy-Type Processes. Working Paper. 2010.
  • Georg Grüll, Luca Taschini: A Comparison of Reduced-Form Permit Price Models and Their Empirical Performances. In: MIT CEEPR Working Paper Series (2009). Details
  • R. Kiesel, R.Börger and G. Schindlmayr: A two-factor model for the electricity forward market. In: Quantitative Finance, Jg. 9 (2009) Nr. 3, S. 279-287. 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.
  • R. Börger, A. Cartea, R. Kiesel and G. Schindelmayer: A multivariate commodity analysis and applications to risk management. In: Journal of Future Markets (2009) Nr. 29 (3), S. 197-217. Details
  • S. Ebbeler, R. Kiesel and K. Metka: Empirical comparison of future pricing models. In: Working Paper (2009).
  • F.E. Benth, A. Cartea and 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 Details
  • R. Kiesel, L. Veraart: Asset-based Estimates for Default Probabilities for Commercial Banks. In: Journal of Credit Risk, Jg. 4 (2008) Nr. 2. 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. 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. 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. Details
  • R. Kiesel, G.Stahl, T.Liebmann: Mathematical framework for integrating market and credit risk. In: M. Ong (Hrsg.): Risk Management. 2005.
  • R. Kiesel, R. Schmidt: A survey of dependency modelling: Copulas, tail dependence and estimation. In: W.Perraudin (Hrsg.): Structured Credit Products. RISK Book, 2005.
  • 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.
  • R. Kiesel, T.Kleinow: Fair Value-basierende Optionspreisbewertung. R. Heyd, H. Bieg (Hrsg.), Vahlen, 2005.
  • R. Börger and R. Kiesel: Finanzmathematische Modelle für Strompreise. In: emw (2004) Nr. 6.
  • Nicholas H. Bingham, Rüdiger Kiesel: Risk-neutral valuation. 2. Auflage. Springer, New-York 2004.
  • R. Kiesel, H.Höfling and G. Löffler: Understanding the Corporate Bond Yield Curve. In: The Pension Forum, Jg. 15 (2004), S. 2-34.
  • 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.
  • R. Kiesel, W. Perraudin and 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.
  • R. Kiesel, N.H. Bingham: Risk Neutral Valuation: An Introduction to the Pricing and Hedging of Financial Derivatives. 2. Auflage. Springer, 2004.
  • R. Kiesel, N.H. Bingham, R.Schmidt: A semi-parametric approach to risk management . In: Quantitative Finance, Jg. 3 (2003), S. 426-441. Details
  • R. Kiesel, W.Perraudin and A. Taylor: The structure of credit risk: Spread volatility and ratings transitions. In: Journal of Risk, Jg. 6 (2003), S. 1-27.
  • R. Kiesel, N.H. Bingham: Semi-parametric methods in finance: Theoretical foundations. In: Quantitative Finance (2002), S. 241-250.
  • R. Kiesel, Y.-T. Hu and W. Perraudin: Estimation of transition matrices for sovereign credit risk. In: Journal of Banking and Finance, Jg. 26 (2002) Nr. 7, S. 1383-1406. 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 and O.Opitz (Hrsg.): Exploratory Data Analysis in Empirical Research. Springer, 2002.
  • R. Kiesel, T.Kleinow: Sensitivity analysis of credit portfolio models. In: in G. Stahl W. Härdle, T. Kleinow (Hrsg.): Applied Quantitative Finance. Springer, 2002.
  • R. Kiesel, W. Perraudin and 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.
  • 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. Details
  • R. Kiesel, Hu, Y.-T, W.Perraudin, G.Stahl: Judgmental versus quantitative credit risk measures for sovereigns. In: Preprint (2002).
  • N.H. Bingham and R. Kiesel: Semi-parametric modelling in finance: theoretical foundations. In: Quantitative Finance, Jg. 2 (2002), S. 241-250. Details
  • R. Kiesel, N.H. Bingham: Modelling asset returns with hyperbolic distributions. In: J. Knight and S. Satchel (Hrsg.): Asset return distributions. Butterworth-Heinemann, 2001, S. 1-20.
  • R. Kiesel, N.H. Bingham: Hyperbolic and semi-parametric models in finance. In: P.Sollich,A.C.C.Coolen,L.P.Houghston, and R.F.Streater (Hrsg.): Disordered and Complex Systems. 2001.
  • R. Kiesel, W.Perraudin and 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.
  • 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. 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • R. Kiesel: Pricing contingent claims in incomplete markets: A quadratic utility approach. 15. Department of Statistics, Birkbeck College 1996.
  • R. Kiesel: Taubersätze und Starke Gesetze für Potenzreihenverfahren (Dissertation). Universität Ulm 1995.
  • R. Kiesel: On scales of summability methods. In: Mathematische Nachrichten, Jg. 176 (1995), S. 129-138.
  • R. Kiesel, S. Baron: Absolute *-summability factors with a power for -methods. In: Analysis, Jg. 15 (1995), S. 311-324.
  • 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.
  • 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.
  • R. Kiesel, S. Baron: Absolute *-convergence factors with a power. In: Journal of Analysis, Jg. 2 (1994), S. 116-122.
  • R. Kiesel: Power series methods and almost sure convergence. In: Math. Proc. Camb. Phil. Soc., Jg. 113 (1993), S. 195-204.
  • R. Kiesel: General Nörlund transforms and power series methods. In: Math. Zeitschrift, Jg. 214 (1993), S. 273-286.
  • R. Kiesel, U.Stadtmüller: Tauberian theorems for general power series methods. In: Math. Proc. Camb. Phil. Soc., Jg. 110 (1991), S. 483-490.
  • (Hrsg.): Mathematical framework for integrating market and credit risk. .
  • 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