Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2009
- Published
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
Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance
Poulsen, Rolf, Schenk-Hoppe, K. R. & Ewald, C., 2009, In: Quantitative Finance. 9, 6, p. 693-704Research output: Contribution to journal › Journal article › Research › peer-review
- 2008
- Published
Financial Giffen Goods: Examples and Counterexamples
Rasmussen, K. M. & Poulsen, Rolf, 2008, In: European Journal of Operational Research. 191, 2, p. 571-575 5 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Long and Short of Static Hedging with Frictions
Poulsen, Rolf & Siven, J., 2008, In: Wilmott. 38, p. 62-67 6 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
Four Things You Might not Know About the Black-Scholes Formula
Poulsen, Rolf, 2007, In: Journal of Derivatives. 15, 2, p. 77-82Research output: Contribution to journal › Journal article › Research › peer-review
- 2006
- 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
- 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
- 2004
- 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
ID: 5165
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466
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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 -
256
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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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227
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How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
Published