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

24

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SSRN CITATIONS
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SSRN RANKINGS

Top 16,234

in Total Papers Citations

33

CROSSREF CITATIONS

30

Scholarly Papers (24)

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 1,974 (8,580)

Abstract:

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Commodity, Hedging, Risk Management, Power Plant

2.

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 1,664 (11,292)
Citation 19

Abstract:

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

3.

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 1,644 (11,502)
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.

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 Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 679 (42,122)
Citation 8

Abstract:

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

5.

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 426 (75,998)
Citation 12

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risk management, robustness, Wasserstein Metric, risk measures

6.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, Forthcoming
Number of pages: 26 Posted: 31 Dec 2019 Last Revised: 03 Aug 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 422 (76,818)
Citation 5

Abstract:

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

7.

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 308 (109,926)
Citation 8

Abstract:

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

8.

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 245 (139,669)
Citation 4

Abstract:

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Power Plant Valuation, Spread Options, Model Risk

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 244 (140,186)
Citation 1

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

10.

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 222 (153,575)
Citation 2

Abstract:

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Electricity Markets, Hybrid Models, Market Coupling

11.

Electricity Options and Additional Information

Number of pages: 25 Posted: 21 Jul 2012
Evonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 189 (178,376)

Abstract:

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

12.

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 University of Ulm
Downloads 179 (187,164)
Citation 2

Abstract:

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

13.

An Empirical Study of the Information Premium on Electricity Markets

Number of pages: 48 Posted: 21 Jul 2012
Evonik Steag GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 126 (249,597)
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

14.

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 124 (252,665)
Citation 2

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

15.

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 61 (391,699)
Citation 2

Abstract:

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

16.

Blocktrades in OTC Options Markets: Price Impact and Liquidity Effects

Number of pages: 26 Posted: 26 Jun 2019 Last Revised: 02 Jul 2019
Ruediger Kiesel and Alessio Pietrobono
University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 31 (511,706)

Abstract:

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OTC Derivatives, Black Scholes Model, Financial Crisis

17.

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 30 (516,931)

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

18.

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 29 (522,292)
Citation 1

Abstract:

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

19.

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 Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 27 (545,503)

Abstract:

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

20.

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 1 (719,848)
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Abstract:

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

21.

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, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hourly Price Forward Curves, modelling, electricity markets

22.

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

23.

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

24.

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 gemeinnützige GmbH and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hedge funds, NIG distribution, Risk management