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Rüdiger Kiesel
Rüdiger Kiesel
Professor, University Duisburg-Essen, House of Energy Markets and Finance
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Risk-neutral valuation: Pricing and hedging of financial derivatives
NH Bingham, R Kiesel
Springer Science & Business Media, 2013
8702013
The estimation of transition matrices for sovereign credit ratings
YT Hu, R Kiesel, W Perraudin
Journal of Banking & Finance 26 (7), 1383-1406, 2002
2742002
Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
FE Benth, Á Cartea, R Kiesel
Journal of banking & finance 32 (10), 2006-2021, 2008
2312008
Econometric analysis of 15-minute intraday electricity prices
R Kiesel, F Paraschiv
Energy Economics 64, 77-90, 2017
2212017
Semi-parametric modelling in finance: theoretical foundations
NH Bingham, R Kiesel
Quantitative Finance 2 (4), 241, 2002
1462002
A critical empirical study of three electricity spot price models
FE Benth, R Kiesel, A Nazarova
Energy Economics 34 (5), 1589-1616, 2012
1422012
A two-factor model for the electricity forward market
R Kiesel, G Schindlmayr, RH Börger
Quantitative Finance 9 (3), 279-287, 2009
1292009
Risk-neutral valuation of participating life insurance contracts
D Bauer, R Kiesel, A Kling, J Ruß
Insurance: Mathematics and Economics 39 (2), 171-183, 2006
1282006
The structure of credit risk: spread volatility and ratings transitions
R Kiesel, W Perraudin, A Taylor
Bank of England, 2001
772001
Modelling asset returns with hyperbolic distributions
NH Bingham, R Kiesel
Return distributions in finance, 1-20, 2001
572001
On the risk-neutral valuation of life insurance contracts with numerical methods in view
D Bauer, D Bergmann, R Kiesel
ASTIN Bulletin: The Journal of the IAA 40 (1), 65-95, 2010
552010
Modeling the forward surface of mortality
D Bauer, FE Benth, R Kiesel
SIAM Journal on Financial Mathematics 3 (1), 639-666, 2012
532012
A semi-parametric approach to risk management
NH Bingham, R Kiesel, R Schmidt
Quantitative Finance 3 (6), 426, 2003
472003
Fair valuation of insurance contracts under Lévy process specifications
S Kassberger, R Kiesel, T Liebmann
Insurance: Mathematics and Economics 42 (1), 419-433, 2008
462008
An empirical study of the information premium on electricity markets
FE Benth, R Biegler-König, R Kiesel
Energy Economics 36, 55-77, 2013
402013
A multivariate commodity analysis and applications to risk management
Á Cartea, R Kiesel, G Schindlmayr
Birkbeck, Department of Economics, Mathematics & Statistics, 2007
39*2007
A fully parametric approach to return modelling and risk management of hedge funds
S Kassberger, R Kiesel
Financial markets and portfolio management 20, 472-491, 2006
392006
The structure of credit risk
R Kiesel, W Perraudin, A Taylor
Birkbeck College, London 1, 1999
381999
The Wasserstein metric and robustness in risk management
R Kiesel, R Rühlicke, G Stahl, J Zheng
Risks 4 (3), 32, 2016
342016
Structural models for coupled electricity markets
R Kiesel, M Kusterman
Journal of Commodity Markets 3 (1), 16-38, 2016
312016
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Artículos 1–20