Prof. Dr. rer. nat. Rüdiger Kiesel
Professor - aktiv
 Semi-parametric methods in finance: Theoretical foundations (with N.H. Bingham), Quantitative Finance, 2002. p 241--250.
 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.
 Dimensions of credit risk (with U.Stadtmüller), Proceedings 25th Annual Conference of the GfKl, (2002).
 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)
 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
 Nonparametric statistical methods and the pricing of derivative securities,
Journal of Applied Mathematics & Decision Sciences (2002), 6 (1),1-22.
 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
 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),
 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.
 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.
 An extremes analysis of VaRs for emerging market benchmark bonds (with W. Perraudin and A.Taylor), Proceedings of the 6.Econometrics Workshop, Karlsruhe.
 The structure of credit risk: Spread volatility and ratings transitions (with W.Perraudin and A. Taylor), Journal of Risk.
 A semi-parametric approach to risk management (with N.H. Bingham, R.Schmidt). Quantitative Finance (pdf-file)
 Structural models of default from a semimartigale characteristics point of view. (with B.Schmid, Risklab, Germany), 2002
 Judgmental Versus Quantitative Credit Risk Measures for Sovereigns,
(with Hu, Y.-T, W.Perraudin, G.Stahl), 2002 (pdf-file)
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:
 Power series methods and almost sure convergence,
Math. Proc. Camb. Phil. Soc. (1993), 113, 195-204. [MR93i:60061].
 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].
 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].
 Strong laws and summability for sequences of -mixing random variables taking values in Banach spaces, Electronic Communications in Probability, (1997), 2, 27-41.
 Strong laws and summability for -mixing sequences of random variables, Journal of Theoretical Probability, (1998), 11 (1), 209-224.
 Erdös-Rényi-Shepp laws for -mixing sequences of random variables,
Studia Scientarium Math. Hungarian, (1998), 34, 1-7, (with U.Stadtmüller).
 Large deviations for weighted sums of independent identically distributed random variables, Journal of Mathematical Analysis and Applications, (2000), 251, 929-939, (with U.Stadtmüller).
 Tauberian theorems for general power series methods,
Math. Proc. Camb. Phil. Soc. (1991), 110, 483-490,
(with U.Stadtmüller). [MR92m:40008].
 General Nörlund transforms and power series methods,
Math. Zeitschrift (1993), 214, 273-286. [MR96e:40005].
 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].
 Tauberian- and convexity theorems for certain (N,p,q)-methods,
Canadian Journal of Mathematics (1994), 46 (5), 982-994
(with U.Stadtmüller). [MR95m:40009].
 Absolute -convergence factors with a power, Journal of Analysis (1994), 2, 116-122, (with S.Baron). [MR95h:40006].
 On scales of summability methods, Mathematische Nachrichten, (1995), 176, 129-138. [MR97b:40004].
 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).