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Biography

Prof. Rüdiger Kiesel

University of Duisburg-Essen, Germany

Center for Mathematics for Applications

Oslo University, Norway


Email: ruediger.kiesel@uni-due.de


Qualifications

1995 Ph.D., Ulm University, Germany

1990 Ph.D., Ulm University, Germany

1988 M.Sc., Ulm University, Germany

1987 M.Sc., Syracuse University, USA


Publications (Selected)

  1. F.E. Benth, R. Biegler-König and R. Kiesel, 2013, An empirical study of the information premium in electricity markets, Energy Economics,36, 55-77.
  2. F.E. Benth, R. Biegler-König and R. Kiesel, 2013, Electricity options and additional information, eds. F.E. Benth; V. Kholodnyi.; P. Laurence; Quantitative Energy Finance, Springer Verlag.
  3. R Kiesel and K. Metka, 2013, A Multivariate Commodity Analysis with Time-Dependent Volatility: Evidence from the German Energy Market, ZeitschriftfürEnergiewirtschaft, 37, (2), 107-126.
  4. D.Bauer, F.E. Benth and R.Kiesel, 2012, Modelling the forward surface of mortality. Siam Journal of Fin. Math., 3, 639-666.
  5. F.E. Benth, R. Kiesel and A. Nazarova, 2012, A critical empirical study of three electricityspot price models, Energy Economics, 34, (5), 1589-1616.
  6. G. Grüll and R. Kiesel, 2012, Quantifying the CO2 permit price sensitivity, ZeitschriftfürEnergiewirtschaft, 36, (2) ,101-111.
  7. R. Kiesel and M. Lutz, 2011, Efficient pricing of CMS spread options in a stochastic volatility LMM, J. Comp. Finance,14(3), 37-72.
  8. J.Gernhard, R. Kiesel and S.-O. Stoll, 2010, Valuation of Commodity-based Swing Options. J. Energy Markets, 3 (3), 91-112.
  9. D. Bauer, D. Bergmann and R. Kiesel, 2010, On the risk-neutral valuation of life insurance contracts with numerical methods in view, Astin Bulletin, 40, 65-95.
  10. R.Börger, R. Kiesel, and G.Schindlmayr, 2009, A two-factor model for the electricity forward market, Quantitative Finance, 9 (3), 279-287.
  11. R.Börger, A.Cartea, R.Kiesel, and G.Schindlmayr, 2009, A multivariate commodity analysis and applications to risk management. Journal of Futures Markets, 29 (3), 197-217.


Profile Details
http://www.lef.wiwi.uni-due.de/en/