University of Duisburg-Essen
Rüdiger Kiesel heads the chair for “Energy Trading and Financial Services” at the University Duisburg-Essen. He is also a Visiting Professor at the Department of Mathematics at the University of Oslo. Previously he has been Director of the Institute for Mathematical Finance at the University of Ulm. He also held positions as Lecturer and Reader for actuarial science and financial mathematics at Birkbeck College, University of London and London School of Economics.
His main research areas are risk management for power utility companies, modeling of electricity markets, quantitative climate finance, valuation and hedging of derivatives (interest-rate, credit- and energy-related), methods of risk transfer and structuring of risk (securitization).
He is Co-author of the Springer Finance monograph Risk-Neutral Valuation (now in its second edition) and has written more than fifty published research papers.
He is a frequent speaker at international conferences and organized several conferences and practitioner seminars. Professor Kiesel also consults financial institutions, utilities and regulators on (credit- and energy-) risk management, derivative pricing models and asset allocation.
His research interests are: Climate Finance, Risk Management, and Financial Mathematics.
Articles by Rüdiger Kiesel
The application of structural electricity models for dynamic hedging
The authors formulate a general structural model for an energy market in order to analyze the dynamic hedging of contingent claims on spot electricity prices.