Professoren
Prof. Dr. rer. nat. Rüdiger Kiesel

Prof. Dr. rer. nat. Rüdiger Kiesel

1. Financial Mathematics and Stochastics

Articels:

[1] Semi-parametric methods in finance: Theoretical foundations (with N.H. Bingham), Quantitative Finance, 2002. p 241--250.

[2] Estimation of transition matrices for sovereign credit risk (with Y.-T. Hu and W. Perraudin), Journal of Banking and Finance (2002), 26(7), 1383-1406.

[3] Dimensions of credit risk (with U.Stadtmüller), Proceedings 25th Annual Conference of the GfKl, (2002).

[4] Sensitivity analysis of credit portfolio models (with T.Kleinow), Applied Quantitative Finance, eds: W. Härdle, T. Kleinow, G. Stahl. (2002), p.140-152. (electronic book)

[5] Credit and interest rate risk (with W. Perraudin and A.Taylor),
Risk Management: Value at risk and beyond, eds.: M.A.H. Dempster and H.K.Moffat,Cambridge University Press (2002), p.129-144

[6] Nonparametric statistical methods and the pricing of derivative securities,
Journal of Applied Mathematics & Decision Sciences (2002), 6 (1),1-22.

[7] Modelling asset returns with hyperbolic distributions (with N.H. Bingham),
Asset return distributions, eds. J.Knight and S.Satchell, Butterworth-Heinemann (2001), p.1-20

[8] Hyperbolic and semi-parametric models in finance, (with N.H. Bingham), in
Disordered and Complex Systems, eds. P.Sollich, A.C.C.Coolen, L.P.Houghston, and R.F.Streater (2001),

[9] Estimating volatility for long holding periods (with W.Perraudin and A.Taylor), Measuring Risk in Complex Systems, eds. W.Härdle, J.Franke, G.Stahl, Springer (2000), p.19-30.

[10] Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten
in Kreditportfoliomodellen (with B.Schmid, Risklab, Germany), in Kreditrisikomanagement, ed.K.Oehler, Schäffer-Poeschel Verlag (2000), p.51-83.

Accepted:

[11] An extremes analysis of VaRs for emerging market benchmark bonds (with W. Perraudin and A.Taylor), Proceedings of the 6.Econometrics Workshop, Karlsruhe.

[12] The structure of credit risk: Spread volatility and ratings transitions (with W.Perraudin and A. Taylor), Journal of Risk.

Submitted:

[13] A semi-parametric approach to risk management (with N.H. Bingham, R.Schmidt). Quantitative Finance (pdf-file)


Preprints/Working Papers:

[14] Structural models of default from a semimartigale characteristics point of view. (with B.Schmid, Risklab, Germany), 2002

[15] Judgmental Versus Quantitative Credit Risk Measures for Sovereigns,
(with Hu, Y.-T, W.Perraudin, G.Stahl), 2002 (pdf-file)


Book:

Risk Neutral Valuation: An Introduction to the Pricing and Hedging of Financial Derivatives, Springer, (1998, reprint 2000), (with N.H. Bingham),
Second Edition and German Translation in Preparation.


2. Probability Theory:


[1] Power series methods and almost sure convergence,
Math. Proc. Camb. Phil. Soc. (1993), 113, 195-204. [MR93i:60061].

[2] The law of the iterated logarithm for certain power series and
generalized Nörlund methods, Math. Proc. Camb. Phil. Soc. ,(1996), 120, 735-753. [MR97j:60056].

[3] Erdös-Rényi-Shepp laws and weighted sums of independent identically distributed random variables, Journal of Theoretical Probability,
(1996), 9 (4), 961-982, (with U.Stadtmüller). [MR97m:60035].

[4] Strong laws and summability for sequences of -mixing random variables taking values in Banach spaces, Electronic Communications in Probability, (1997), 2, 27-41.

[5] Strong laws and summability for -mixing sequences of random variables, Journal of Theoretical Probability, (1998), 11 (1), 209-224.
[MR99c:60069].

[6] Erdös-Rényi-Shepp laws for -mixing sequences of random variables,
Studia Scientarium Math. Hungarian, (1998), 34, 1-7, (with U.Stadtmüller).

[7] Large deviations for weighted sums of independent identically distributed random variables, Journal of Mathematical Analysis and Applications, (2000), 251, 929-939, (with U.Stadtmüller).


3. Analysis:

[1] Tauberian theorems for general power series methods,
Math. Proc. Camb. Phil. Soc. (1991), 110, 483-490,
(with U.Stadtmüller). [MR92m:40008].

[2] General Nörlund transforms and power series methods,
Math. Zeitschrift (1993), 214, 273-286. [MR96e:40005].

[3] Weighted means and summability by generalized Nörlund and other methods, Journal Math. Analysis and Applications (1994), 184 (3),
607-619, (with D.Borwein). [MR95g:40013].

[4] Tauberian- and convexity theorems for certain (N,p,q)-methods,
Canadian Journal of Mathematics (1994), 46 (5), 982-994
(with U.Stadtmüller). [MR95m:40009].

[5] Absolute -convergence factors with a power, Journal of Analysis (1994), 2, 116-122, (with S.Baron). [MR95h:40006].

[6] On scales of summability methods, Mathematische Nachrichten, (1995), 176, 129-138. [MR97b:40004].

[7] Absolute -summability factors with a power for -methods,
Analysis (1995), 15, 311-324, (with S.Baron). [MR97f:40004].


4. Further Publications:

Taubersätze und Starke Gesetze für Potenzreihenverfahren, Dissertation, Universität Ulm, (1990).

Starke Gesetze für gewichtete Summen von Zufallsvariablen, Habilitationsschrift,Universität Ulm, (1995).

Pricing contingent claims in incomplete markets: A quadratic utility approach, Research Report 15, Department of Statistics, Birkbeck College, (1996).


5. Book Reviews:

4 Reviews (A.W. van der Vaart, J.A. Wellner: Weak Convergence and Empirical Processes, A.N.Shiryaev: Probability, O.Kallenberg: Foundations of Probability Theory, C.Loader: Local Regression and Likelihood (to appear 2001)) in Journal of the Royal Statistical Society, Series D.

More than 40 contributions to Mathematical Reviews (starting from 5/97).

Nutzungshinweise: Jede natürliche Person darf sich nur mit einer E-Mail Adresse bei WiWi-Online registrieren lassen. Die Nutzung der Daten die WiWi-Online bereitstellt ist nur für den privaten Gebrauch bestimmt - eine gewerbliche Nutzung ist verboten. Eine automatisierte Nutzung von WiWi-Online und dessen Inhalte, z.B. durch Offline-Browser, Download-Manager oder Webseiten etc. ist ausdrücklich strengstens untersagt. Zuwiderhandlungen werden straf- und zivilrechtlich verfolgt.