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/

  • University of Duisburg-Essen - Faculty of Economic Science

SCHOLARLY PAPERS

28

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TOTAL CITATIONS
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Top 15,870

in Total Papers Citations

101

Scholarly Papers (28)

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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
Reik H. Boerger, Álvaro Cartea, Ruediger Kiesel and Gero Schindlmayr
RWE AG, University of Oxford, University of Duisburg-Essen - Faculty of Economic Science and affiliation not provided to SSRN
Downloads 2,086 (15,689)

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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 1,963 (17,286)
Citation 2

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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 1,866 (18,789)
Citation 18

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

4.

Carbon Default Swap -Disentangling the Exposure to Carbon Risk Through CDS

Downloads 1,749 (20,748)
Citation 13

Carbon Default Swap -Disentangling the Exposure to Carbon Risk Through CDS

Number of pages: 67 Posted: 03 Jun 2021 Last Revised: 08 Jun 2024
Alexander Blasberg, Ruediger Kiesel and Luca Taschini
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and University of Edinburgh Business School
Downloads 1,555 (24,376)
Citation 8

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Carbon Risk;, Climate Change, Climate Finance, Credit Risk, Transition Risk.

Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS

CESifo Working Paper No. 10016
Number of pages: 69 Posted: 28 Oct 2022
Alexander Blasberg, Ruediger Kiesel and Luca Taschini
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and University of Edinburgh Business School
Downloads 194 (317,106)
Citation 5

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climate change, carbon risk, credit risk, Credit Default Swap spreads

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 932 (52,041)
Citation 8

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

6.

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 872 (57,039)
Citation 9

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

7.

Conceptualizing Robustness in Risk Management

Number of pages: 23 Posted: 24 May 2012 Last Revised: 01 Oct 2015
Ruediger Kiesel, Robin Rühlicke, Gerhard Stahl and Jinsong Zheng
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 523 (110,304)
Citation 14

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risk management, robustness, Wasserstein Metric, risk measures

8.

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
Marcel Kremer, Fred Espen Benth, Björn Felten and Ruediger Kiesel
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 439 (136,196)
Citation 1

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

9.

An Uncertainty-based Risk Management Framework for Climate-Change Risk

Number of pages: 33 Posted: 20 Oct 2022 Last Revised: 04 Aug 2023
Ruediger Kiesel and Gerhard Stahl
University of Duisburg-Essen - Faculty of Economic Science and HDI Group
Downloads 383 (159,124)
Citation 1

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systemic risk, climate risk, model uncertainty, precommitment approach, resilience

10.

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 357 (172,033)
Citation 10

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

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 302 (205,937)
Citation 3

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Electricity Markets, Hybrid Models, Market Coupling

12.

Model Risk and Power Plant Valuation

Number of pages: 28 Posted: 04 May 2013
Karl Bannor, Ruediger Kiesel, Anna Nazarova and Matthias A. Scherer
Technische Universität München (TUM), University of Duisburg-Essen - Faculty of Economic Science, University of Oslo and Technische Universität München (TUM)
Downloads 290 (214,953)
Citation 4

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Power Plant Valuation, Spread Options, Model Risk

13.

Electricity Options and Additional Information

Number of pages: 25 Posted: 21 Jul 2012
Richard Biegler-König, Fred Espen Benth and Ruediger Kiesel
STEAG GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 239 (261,199)

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

14.

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 235 (265,430)
Citation 2

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

15.

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 190 (324,138)
Citation 5

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

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 185 (332,159)
Citation 2

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

17.

An Empirical Study of the Information Premium on Electricity Markets

Number of pages: 48 Posted: 21 Jul 2012
Richard Biegler-König, Fred Espen Benth and Ruediger Kiesel
STEAG GmbH, University of Oslo and University of Duisburg-Essen - Faculty of Economic Science
Downloads 176 (347,277)
Citation 7

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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

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 149 (400,234)

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

19.

Actuaries of the 6th kind -individuals with qualities

Number of pages: 13 Posted: 12 Aug 2024
Ruediger Kiesel and Gerhard Stahl
University of Duisburg-Essen - Faculty of Economic Science and HDI Group
Downloads 123 (465,374)

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climate risk, systemic risks, uncertainty, resiliency

20.

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 111 (502,780)
Citation 2

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

21.

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

Number of pages: 27 Posted: 10 May 2018
Andrea von Avenarius, Devaraja Settygowda and Ruediger Kiesel
University of Duisburg-Essen, University of Mysore and University of Duisburg-Essen - Faculty of Economic Science
Downloads 80 (621,481)

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

22.

A Probabilistic Approach of Assessing and Ranking Firm's Transition Efforts 

Number of pages: 16 Posted: 12 Dec 2024
Ruediger Kiesel, Kateryna Chekriy and Gerhard Stahl
University of Duisburg-Essen - Faculty of Economic Science, University of Duisburg-Essen and HDI Group
Downloads 75 (643,650)

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23.

Climate Transition Matrix: Assessing Carbon Performance of Companies

Number of pages: 24 Posted: 12 Dec 2024
Andrej Bajic and Ruediger Kiesel
Deloitte & Touche GmbH and University of Duisburg-Essen - Faculty of Economic Science
Downloads 50 (782,714)

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Climate change, transition probability, carbon metrics

24.

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

Posted: 23 Feb 2021 Last Revised: 05 Sep 2023
Andrej Bajic, Ruediger Kiesel and Martin Hellmich
Deloitte & Touche GmbH, University of Duisburg-Essen - Faculty of Economic Science and Frankfurt School of Finance & Management

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Company-level Emissions Data, Carbon Disclosure,Data Quality, Carbon Risk

25.

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

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Hourly Price Forward Curves, modelling, electricity markets

26.

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

27.

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

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

28.

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

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Hedge funds, NIG distribution, Risk management