Prof. Dr.  Rüdiger Kiesel


Prof. Dr. Rüdiger Kiesel

R09 R00 H33
+49 201 183-4963
+49 201 183-4974
Nach Vereinbarung


My main research areas are the risk management for power utility companies, bank, and insurance companies, modeling of electricity markets, valuation and hedging of derivatives (interest-rate, credit- and energy-related), methods of risk transfer and structuring of risk (securitization).

You can access my papers on the Social Science Research Network (SSRN) here.


 “Big risks”: perceptions, management and neuralgic societal risks in the 21st century (with Achim Goerres and Andreas Niederberger)

This project is about the ways in which the public deals with neuralgic societal risks such as climate change, demographic change and state deficits in the 21st century (“big risks”). It aims to answer overarching questions from the three disciplinary perspectives of practical philosophy, political sociology and financial mathematics, all based at the interdisciplinary research cluster “Transformation of Contemporary Societies” at the University Duisburg-Essen.

Practical philosophy considers the epistemic difficulties of “knowing” risks and offers normative risk assessments and reactions to them. Political sociology studies the intersection between the political and the societal spheres and is equipped to deal with the effects of social and political positions on individual perceptions. Financial mathematics offers tools for the risk management of quantifiable risks and allows designing instruments for diversification and hedging of risks.

Whereas risk is a central concept in economics and business studies, its manifestations in a broader sense are rarely studied from a rigorous multi-disciplinary angle.


Analytics and Empirics of Intraday Trading of Electricity

(with Karsten Urban and Christoph Weber)

This project studies the empirics of electricity intraday markets using data on quarter-hour products. We will discuss the development of trading strategies and the construction of optimal portfolios for different market participants. We also aim to develop real-time trading strategies for practical applications. In addition, regulatory aspects for the generation of an efficient electricity markets will be investigated.


Model Risk in Energy Markets

While model risk has been studied in some detail in the context of financial mathematics model risk in the context of energy markets has been widely neglected. The aim of the project is to raise awareness of model risk and to provide tools for its quantification in energy markets. In particular, we consider the valuation of energy spread options which represent the financial alternative to investing in a (gas – or coal-fired) power plant. The valuation of such plants is important for the German market as they are regarded as bridging technology to provide capacity until electricity generated from renewable sources can be stored efficiently. We intend to apply our approach to other pricing question within the electricity market with a focus on short-term trading.


Structural Equilibrium Pricing Models

The aim of the project is the development and use of structural models for electricity prices, which will allow quantitative analysis for pricing and hedging of various electricity derivatives. We will also use the modeling approach to study the effect of market coupling on the prices of  these derivatives.



Current Working Papers






Publikationsliste herunterladen

  • 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, 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, 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, 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
  • 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
  • R. Kiesel : Martingales. In: Lovric, M. (Hrsg.): International Encyclopedia of Statistical Science. Springer, 2011, S. 779-781.
  • 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
  • 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.
  • 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
  • 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
  • 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. 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
  • 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, 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, 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, R. Schmidt: A survey of dependency modelling: Copulas, tail dependence and estimation. In: W.Perraudin (Hrsg.): Structured Credit Products. RISK Book, 2005.
  • R. Kiesel, T.Kleinow: Fair Value-basierende Optionspreisbewertung, R. Heyd, H. Bieg (Hrsg.), Vahlen, 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. Börger and R. Kiesel: Finanzmathematische Modelle für Strompreise. In: emw (2004) Nr. 6.
  • 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, 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.
  • 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, 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, : 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, T.Kleinow: Sensitivity analysis of credit portfolio models. In: in G. Stahl W. Härdle, T. Kleinow (Hrsg.): Applied Quantitative Finance. Springer, 2002.
  • 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, 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, 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, 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
  • (Hrsg.): Mathematical framework for integrating market and credit risk, .


Lehrveranstaltungen im WS