Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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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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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
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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
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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
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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
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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
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Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift
Palczewski, J., Poulsen, Rolf, Schenk-Hoppe, K. R. & Wang, H., 2015, In: European Journal of Operational Research. 243, 3, p. 921–931Research output: Contribution to journal › Journal article › Research › peer-review
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Financial planning for young households
Pedersen, A. M. B., Weissensteiner, A. & Poulsen, Rolf, 2013, In: Annals of Operations Research. 205, 1, p. 55-76 22 p.Research output: Contribution to journal › Journal article › Research › peer-review
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This Is Not Sparta: A Joint Effort
Poulsen, Rolf, 2018, In: Wilmott. 98, p. 36-37Research output: Contribution to journal › Comment/debate › Communication
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Barrier Options and Lumpy Dividends
Poulsen, Rolf, Siven, J. & Suchanecki, M., 2009, In: Wilmott Journal. 1, 3, p. 167-171Research 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
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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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230
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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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