Prof. Rüdiger Kiesel
University of Duisburg-Essen, Germany
Center for Mathematics for Applications
Oslo University, Norway
1995 Ph.D., Ulm University, Germany
1990 Ph.D., Ulm University, Germany
1988 M.Sc., Ulm University, Germany
1987 M.Sc., Syracuse University, USA
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.
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.
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.
D.Bauer, F.E. Benth and R.Kiesel, 2012, Modelling the forward surface of mortality. Siam Journal of Fin. Math., 3, 639-666.
F.E. Benth, R. Kiesel and A. Nazarova, 2012, A critical empirical study of three electricityspot price models, Energy Economics, 34, (5), 1589-1616.
G. Grüll and R. Kiesel, 2012, Quantifying the CO2 permit price sensitivity, ZeitschriftfürEnergiewirtschaft, 36, (2) ,101-111.
R. Kiesel and M. Lutz, 2011, Efficient pricing of CMS spread options in a stochastic volatility LMM, J. Comp. Finance,14(3), 37-72.
J.Gernhard, R. Kiesel and S.-O. Stoll, 2010, Valuation of Commodity-based Swing Options. J. Energy Markets, 3 (3), 91-112.
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.
R.Börger, R. Kiesel, and G.Schindlmayr, 2009, A two-factor model for the electricity forward market, Quantitative Finance, 9 (3), 279-287.
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.