Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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A Simple Regime Switching Term Structure Model
Poulsen, Rolf & Hansen, A., 2000, In: Finance and Stochastics. 4, 4, p. 409-429Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A Tragedy of Errors: Tales of Innumeracy
Poulsen, Rolf, May 2020, In: Wilmott. 107, p. 9-11Research output: Contribution to journal › Comment/debate › Communication
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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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All Quiet on the Quant Front?
Poulsen, Rolf, 2020, In: Wilmott. 106, p. 8-9Research output: Contribution to journal › Comment/debate › Communication
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American π: Piece of Cake?
Poulsen, Rolf, 2017, In: Wilmott. 91, p. 12-13Research output: Contribution to journal › Comment/debate › Communication
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Amerikanske optioner og finansielle beregninger
Poulsen, Rolf, 2011, In: FAMØS. 21, 2, p. 34-54 21 p.Research output: Contribution to journal › Journal article › Communication
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Approximation Behooves Calibration
da Silva Ribeiro, A. M. & Poulsen, Rolf, 2013, In: Quantitative Finance Letters. 1, 1, p. 36-40Research output: Contribution to journal › Journal article › Research › peer-review
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Auto-Static for the People: Risk-Minimizing Hedges of Barrier Options
Poulsen, Rolf & Siven, J., 2009, In: Review of Derivatives Research. 12, 3, p. 193-211Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
Barrier Options and Their Static hedges: Simple Derivations and Extensions
Poulsen, Rolf, 2006, In: Quantitative Finance. 6(4), p. 327-335Research output: Contribution to journal › Journal article › Research › peer-review
ID: 5165
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469
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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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262
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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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228
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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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