Ruediger Kiesel

University of Duisburg-Essen - Faculty of Economic Science

Chair of Energy and Finance

Essen, 45117

Germany

http://www.lef.wiwi.uni-due.de/

SCHOLARLY PAPERS

25

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SSRN CITATIONS
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SSRN RANKINGS

Top 16,540

in Total Papers Citations

33

CROSSREF CITATIONS

33

Scholarly Papers (25)

1.

Cross-Commodity Analysis and Applications to Risk Management

Journal of Futures Markets, Vol. 29, No. 3, January 2009
Number of pages: 20 Posted: 18 Apr 2007 Last Revised: 16 Nov 2009
RWE AG, University of Oxford, University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 2,010 (11,457)

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Commodity, Hedging, Risk Management, Power Plant

2.

Efficient Pricing of CMS Spread Options in a Stochastic Volatility LMM

Number of pages: 25 Posted: 13 Jun 2009 Last Revised: 16 Feb 2010
Matthias Lutz and Ruediger Kiesel
Barclays and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1,789 (13,764)
Citation 2

Abstract:

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Libor market model, stochastic volatility, displaced Heston, integrated CIR, Laplace transform, optimal contour, CMS spread options, correlation calibration.

3.

Pricing Forward Contracts in Power Markets By the Certainty Equivalence Principle: Explaining the Sign of the Market Risk Premium

Journal of Banking and Finance 32, Issue 10, (2008), pp. 2006-2021
Number of pages: 29 Posted: 01 Nov 2006 Last Revised: 11 Mar 2013
Fred Espen Benth, Álvaro Cartea and Ruediger Kiesel
University of Oslo, University of Oxford and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1,730 (14,507)
Citation 18

Abstract:

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Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias

4.

Econometric Analysis of 15-Minute Intraday Electricity Prices

University of St.Gallen, School of Finance Research Paper No. 2015/21
Number of pages: 44 Posted: 10 Oct 2015 Last Revised: 23 Nov 2016
Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 758 (47,855)
Citation 9

Abstract:

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intraday electricity prices, bidding behavior, renewable energy, forecasting model

5.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, 379(2202):20190624, 2021
Number of pages: 27 Posted: 31 Dec 2019 Last Revised: 17 Sep 2021
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 693 (54,011)
Citation 6

Abstract:

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Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

6.

Climate Default Swap – Disentangling the Exposure to Transition Risk Through CDS

Number of pages: 38 Posted: 03 Jun 2021
Alexander Blasberg, Ruediger Kiesel and Luca Taschini
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment
Downloads 575 (68,425)

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Climate Change, Transition Risk, Credit Risk, CDS Spreads

7.

Conceptualizing Robustness in Risk Management

Number of pages: 23 Posted: 24 May 2012 Last Revised: 01 Oct 2015
University of Duisburg-Essen - Faculty of Economic Science, University of Duisburg-Essen - Department of Economics and Business Administration, European Union - Committee of the Regions and Talanx AG
Downloads 464 (89,091)
Citation 13

Abstract:

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risk management, robustness, Wasserstein Metric, risk measures

8.

Pricing CO2 Permits Using Approximation Approaches

Number of pages: 24 Posted: 23 Dec 2009
Georg Gruell and Ruediger Kiesel
University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 330 (130,959)
Citation 8

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CO2 emission allowances, Equilibrium model, Approximation (Moment matching)

9.

Volatility and Liquidity on High-frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

International Journal of Theoretical and Applied Finance, 23(4):2050027, 2020
Number of pages: 34 Posted: 17 Jun 2019 Last Revised: 03 Aug 2020
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 301 (144,224)
Citation 1

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Volatility, Liquidity, Electricity futures, High-frequency prices, Stochastic modeling, Monte Carlo simulation, Time-weighted realized variance

10.

Model Risk and Power Plant Valuation

Number of pages: 28 Posted: 04 May 2013
Technische Universität München (TUM), University of Duisburg-Essen - Faculty of Economic Science, University of Oslo and Technische Universität München (TUM)
Downloads 257 (169,355)
Citation 4

Abstract:

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Power Plant Valuation, Spread Options, Model Risk

11.

Structural Models for Coupled Electricity Markets

Number of pages: 56 Posted: 26 Sep 2014 Last Revised: 21 Oct 2015
Ruediger Kiesel and Michael Kustermann
University of Duisburg-Essen - Faculty of Economic Science and Universität Duisburg-Essen
Downloads 247 (175,955)
Citation 3

Abstract:

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Electricity Markets, Hybrid Models, Market Coupling

12.

Electricity Options and Additional Information

Number of pages: 25 Posted: 21 Jul 2012
University of Duisburg-Essen - Department of Economics and Business AdministrationEvonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 204 (210,872)

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Information premium, Electricity markets, Forwards, Options, Enlargement of Filtrations

13.

Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting

Number of pages: 54 Posted: 03 Oct 2015
Ruediger Kiesel and Florentin Rahe
University of Duisburg-Essen - Faculty of Economic Science and Ulm University
Downloads 197 (217,577)
Citation 2

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Pricing kernel, Option pricing, Implied risk premium, Value-at-Risk forecast

14.

Handle with Care: Challenges and Opportunities of using Company-Level Emissions Data for Assessing Financial Risks from Climate Change

Number of pages: 44 Posted: 23 Feb 2021
Andrej Bajic, Ruediger Kiesel and Martin Hellmich
Deloitte & Touche GmbH, University of Duisburg-Essen - Faculty of Economic Science and Frankfurt School of Finance & Management
Downloads 143 (284,562)
Citation 1

Abstract:

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Company-level emissions data, Winsorizing, Carbon risk

15.

An Empirical Study of the Information Premium on Electricity Markets

Number of pages: 48 Posted: 21 Jul 2012
University of Duisburg-Essen - Department of Economics and Business AdministrationEvonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 140 (289,326)
Citation 5

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Electricity markets, risk premium, information premium,spot-forward relationship, enlargement of filtrations, Gaussian and non-Gaussian Ornstein-Uhlenbeck processes, Hilbert space representation

16.

Modeling Market Order Arrivals on the German Intraday Electricity Market With the Hawkes Process

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Nikolaus Graf von Luckner and Ruediger Kiesel
University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 138 (292,656)
Citation 3

Abstract:

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Hawkes process, model selection, parameter interpretation, contemporaneous relationship, intraday electricity market

17.

A Critical Empirical Study of Three Electricity Spot Price Models

Number of pages: 54 Posted: 13 Feb 2013
Fred Espen Benth, Ruediger Kiesel and Anna Nazarova
University of Oslo - Department of Mathematics, University of Duisburg-Essen - Faculty of Economic Science and University of Oslo
Downloads 138 (292,656)
Citation 2

Abstract:

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Electricty spot price, mean-reversion, spikes, jump-diffusion, Ornstein-Uhlenbeck process, electricity forwards, forward risk premium

18.

Intraday Electricity Pricing of Night Contracts

Energies, 13(17):4501, 2020
Number of pages: 16 Posted: 16 Sep 2020 Last Revised: 07 Oct 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 113 (338,861)

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Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

19.

Exogenous Factors for Order Arrivals on the Intraday Electricity Market

Number of pages: 28 Posted: 26 Mar 2020
Anke Kramer and Ruediger Kiesel
University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 61 (486,720)
Citation 1

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intraday electricity market, order arrivals, exogenous factors, self-exciting, point process, maximum likelihood estimation

20.

An Empirical Comparison of Carbon Credit Projects Under the Clean Development Mechanism and Verified Carbon Standard

Number of pages: 27 Posted: 10 May 2018
University of Duisburg-Essen, University of Mysore and University of Duisburg-Essen - Faculty of Economic Science
Downloads 42 (571,113)

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Clean Development Mechanism, Certified Emission Reduction, Verified Carbon Standard, Verified Carbon Unit

21.

The Application of Structural Electricity Models for Dynamic Hedging

Journal of Energy Markets, Forthcoming
Number of pages: 30 Posted: 10 Feb 2017
Cord Harms and Ruediger Kiesel
University of Duisburg-Essen - Faculty of Economic Science and University of Duisburg-Essen - Faculty of Economic Science
Downloads 2 (896,535)
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Abstract:

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virtual power plant, structural model, electricity, delta hedging, merit order

22.

On the Construction of Hourly Price Forward Curves for Electricity Prices

Posted: 30 Sep 2016 Last Revised: 01 Mar 2018
Ruediger Kiesel, Florentina Paraschiv and Audun Sætherø
University of Duisburg-Essen - Faculty of Economic Science, Zeppelin University, Chair of Finance and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hourly Price Forward Curves, modelling, electricity markets

23.

Alternative Investments and Strategies

ALTERNATIVE INVESTMENTS AND STRATEGIES, World Scientific Publishing, 2010
Posted: 28 Jul 2010
Ruediger Kiesel, Rudi Zagst and Matthias A. Scherer
University of Duisburg-Essen - Faculty of Economic Science, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM)

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Alternative Investments, Portfolio Selection, Trading Strategy, Product Innovations, CPPI, Portfolio Optimization, Portfolio Insurance

24.

A Two-Factor Model for the Electricity Forward Market

Quantitative Finance, Vol. 9, No. 3, 2009
Posted: 02 May 2007 Last Revised: 16 Nov 2009
Ruediger Kiesel, Gero Schindlmayr and Reik H. Boerger
University of Duisburg-Essen - Faculty of Economic Science, affiliation not provided to SSRN and RWE AG

Abstract:

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Energy derivatives, Futures, Option, Two-Factor Model, Volatility Term Structure

25.

A Fully Parametric Approach to Return Modelling and Risk Management of Hedge Funds

Financial Markets and Portfolio Management, Vol. 20, No. 4, pp. 472-491, 2006
Posted: 23 Jan 2007
Stefan Kassberger and Ruediger Kiesel
Frankfurt School of Finance & Management and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hedge funds, NIG distribution, Risk management