Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
A Two-Factor, Stochastic Programming Model of Danish Mortgage-Backed Securities
Nielsen, S. & Poulsen, Rolf, 2004, In: Journal of Economic Dynamics and Control. 28, 7, p. 1267-1289Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments
Nielsen, S. E., Jönsson, M. & Poulsen, Rolf, 2017, In: Quantitative Finance. 17, 4, p. 515–529Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Capital Allocation for Insurance Companies: Issues and Methods
Nielsen, J. P., Poulsen, Rolf & Mumford, P., 2010, In: Belgian Actuarial Bulletin. 9, p. 1-7 7 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Static Hedging and Model Risk for Barrier Options
Nalholm, M. & Poulsen, Rolf, 2006, In: Journal of Futures Markets. 26, 5, p. 449-463Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Static Hedging of Barrier Options under General Asset Dynamics: Unification and Application
Nalholm, M. & Poulsen, Rolf, 2006, In: Journal of Derivatives. 13, 4, p. 46-60Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Lecture Notes for Finance 1 (and More).
Lando, D., Nielsen, S. E. & Poulsen, Rolf, 2015, University of Copenhagen. 176 p.Research output: Book/Report › Compendium/lecture notes › Education
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Empirical Performance of Models for Barrier Option Valuation
Jessen, C. & Poulsen, Rolf, 2012, In: Quantitative Finance. 13, 1, p. 1-11 11 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques
Jensen, B. & Poulsen, Rolf, 2002, In: Journal of Derivatives. 9, 4, p. 18-32Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Option Pricing With Excel
Honore, P. & Poulsen, Rolf, 2002, Programming languages and systems in computational economics and Finance. Boston: Kluwer Law International, Vol. 18. p. 369-402Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Hanke, M., Poulsen, Rolf & Weissensteiner, A., 2018, In: Journal of Financial and Quantitative Analysis. 53, 6, p. 2663-2683Research output: Contribution to journal › Journal article › Research › peer-review
ID: 5165
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Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
263
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Volatility is log-normal -- but not for the reason you think
Research output: Contribution to journal › Journal article › Research › peer-review
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229
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How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
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