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  • M. Kremer; R. Kiesel; F. Paraschiv: A fundamental model for continuous intraday electricity trading. Working Paper, 2019. Volltext BIB Download Details
  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and optimal control. In: I. Faragó; F. Izsák; P. Simon (Hrsg.): Progress in Industrial Mathematics at ECMI 2018. Mathematics in Industry, vol 30. Springer, Cham, 2019, S. 469-475. doi:10.1007/978-3-030-27550-1_59 Volltext BIB Download Details
  • S. Glas; R. Kiesel; S. Kolkmann; M. Kremer; N. Graf von Luckner; L. Ostmeier; K. Urban; C. Weber: Intraday renewable electricity trading: Advanced modeling and numerical optimal control. Working Paper, 2019. Volltext BIB Download Details
  • 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 BIB 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 BIB Download Details
  • R. Kiesel; F. Paraschiv: Econometric analysis of 15-minute intraday electricity prices. In: Energy Economics, Jg. 64 (2017), S. 77-90. Volltext BIB 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 BIB 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 BIB 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 BIB Download Details
  • Kollenberg; S.; Taschini; L. : Dynamic Supply Adjustment and Banking Under Uncertainty - The Market Stability Reserve. Working Paper. 2016. Volltext BIB 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 BIB 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 BIB 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 BIB 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 BIB 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 BIB 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 BIB 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. BIB 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. BIB 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. BIB Download Details
  • R. Kiesel; M. Kustermann: Structural Models for Coupled Electricity Markets. Essen 2014. Volltext BIB Download Details
  • K. Bannor; R. Kiesel; A. Nazarova; M. A. Scherer: Model Risk and Power Plant Valuation. 2014. Volltext BIB 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 BIB 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. BIB 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 BIB 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. BIB 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 BIB 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 BIB 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 BIB Download Details
  • Gerhard Stahl; Jinsong Zheng; Rüdiger Kiesel; Robin Rühlicke: Conceptualizing Robustness in Risk Management. 2012. doi:10.2139/ssrn.2065723 Volltext BIB 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 BIB 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. BIB 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. BIB Download Details
  • M. Hess: Pricing Temperature Derivatives under Future Weather Information. Working Paper. 2011. BIB 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 BIB Download Details
  • G. Grüll, R. Kiesel: Pricing CO2 Permits Using Approximation Approaches. In: Preprint (2010). BIB 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 BIB 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. BIB Download Details
  • R. Kiesel; M. Scherer: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, Ltd. All , 2010. BIB Download Details
  • G. Grüll, L. Taschini: Linking Emission Trading Schemes. In: Preprint (2010). BIB 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 BIB 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). BIB 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 BIB Download Details
  • M. Hess: A Forward-Looking Multi-Factor Ornstein-Uhlenbeck Model for Pricing Electricity Risk. Working Paper. 2010. BIB Download Details
  • M. Hess: Explicit Pricing Measures for Commodity Forwards in a Heath-Jarrow-Morton-Framework with Jumps. Working Paper. 2010. BIB Download Details
  • M. Hess: Nonlinear Double-Jump Stochastic Filtering Using Generalized Levy-Type Processes. Working Paper. 2010. BIB 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). BIB 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 BIB 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. BIB 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 BIB Download Details
  • S. Ebbeler, R. Kiesel; K. Metka: Empirical comparison of future pricing models. In: Working Paper (2009). BIB 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 BIB 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 BIB 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 BIB 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 BIB 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 BIB Download Details
  • R. Kiesel; G.Stahl; T.Liebmann: Mathematical framework for integrating market and credit risk. In: M. Ong (Hrsg.): Risk Management. 2005. BIB 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. BIB 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. BIB Download Details
  • R. Kiesel, T.Kleinow: Fair Value-basierende Optionspreisbewertung. R. Heyd, H. Bieg (Hrsg.), Vahlen, 2005. BIB Download Details
  • R. Börger; R. Kiesel: Finanzmathematische Modelle für Strompreise. In: emw (2004) Nr. 6. BIB Download Details
  • Nicholas H. Bingham, Rüdiger Kiesel: Risk-neutral valuation (3). 2. Auflage. Springer, New-York 2004. BIB Download Details
  • R. Kiesel, H.Höfling; G. Löffler: Understanding the Corporate Bond Yield Curve. In: The Pension Forum, Jg. 15 (2004), S. 2-34. BIB 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. BIB 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. BIB 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. BIB 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 BIB 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. BIB Download Details
  • R. Kiesel, N.H. Bingham: Semi-parametric methods in finance: Theoretical foundations. In: Quantitative Finance (2002), S. 241-250. BIB 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 BIB 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. BIB 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. BIB 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. BIB 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 BIB Download Details
  • R. Kiesel; Hu; Y.-T; W.Perraudin; G.Stahl: Judgmental versus quantitative credit risk measures for sovereigns. In: Preprint (2002). BIB Download Details
  • N.H. Bingham; R. Kiesel: Semi-parametric modelling in finance: theoretical foundations. In: Quantitative Finance, Jg. 2 (2002), S. 241-250. Volltext BIB 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. BIB 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. BIB 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. BIB 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 BIB 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. BIB 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. BIB 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. BIB 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. BIB 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. BIB 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. BIB Download Details
  • R. Kiesel: Pricing contingent claims in incomplete markets: A quadratic utility approach. 15. Department of Statistics, Birkbeck College 1996. BIB Download Details
  • R. Kiesel: Taubersätze und Starke Gesetze für Potenzreihenverfahren (1). Universität Ulm 1995. BIB Download Details
  • R. Kiesel: On scales of summability methods. In: Mathematische Nachrichten, Jg. 176 (1995), S. 129-138. BIB Download Details
  • R. Kiesel, S. Baron: Absolute *-summability factors with a power for -methods. In: Analysis, Jg. 15 (1995), S. 311-324. BIB 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. BIB 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. BIB Download Details
  • R. Kiesel, S. Baron: Absolute *-convergence factors with a power. In: Journal of Analysis, Jg. 2 (1994), S. 116-122. BIB Download Details
  • R. Kiesel: Power series methods and almost sure convergence. In: Math. Proc. Camb. Phil. Soc., Jg. 113 (1993), S. 195-204. BIB Download Details
  • R. Kiesel: General Nörlund transforms and power series methods. In: Math. Zeitschrift, Jg. 214 (1993), S. 273-286. BIB 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. BIB Download Details
  • (Hrsg.): Mathematical framework for integrating market and credit risk. . BIB 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 BIB Download Details