Rolf Poulsen

Rolf Poulsen

Professor

ORCID: 0000-0001-8242-0954

Publication year:
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1 - 25 out of 37Page size: 25
  1. 2022
  2. Published

    Delta Force: Option Pricing with Differential Machine Learning

    Frandsen, M. G., Pedersen, T. C. & Poulsen, Rolf, 2022, In: Digital Finance. 4, p. 1-15

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. 2020
  4. Published

    How does the volatility of volatility depend on volatility?

    Rømer, Sigurd Emil & Poulsen, Rolf, 2020, In: Risks. 8, 2, p. 1-18 59.

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. 2019
  6. Published

    The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

    Hanke, M., Poulsen, Rolf & Weissensteiner, A., 2 Jan 2019, In: Quantitative Finance. 19, 1, p. 1-11

    Research output: Contribution to journal › Journal article › Research › peer-review

  7. Published

    Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

    Hanke, M., Poulsen, Rolf & Weissensteiner, A., 2019, In: Journal of Derivatives. 26, 4, p. 128-143

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. 2018
  9. Published

    Volatility is log-normal -- but not for the reason you think

    Tegnér, M. & Poulsen, Rolf, Jun 2018, In: Risks. 6, 2, 16 p., 46.

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. 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. 2663-2683

    Research output: Contribution to journal › Journal article › Research › peer-review

  11. 2017
  12. Published

    Risk-minimisation in electricity markets: Fixed price, unknown consumption

    Tegner, M., Ernstsen, R. R., Skajaa, A. & Poulsen, Rolf, Oct 2017, In: Energy Economics. 68, p. 423-439

    Research output: Contribution to journal › Journal article › Research › peer-review

  13. Published

    The Fed Isn’t Federal – And Other Odd Things in Finance

    Poulsen, Rolf, 2017, In: Wilmott. 88, p. 34-45

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. 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. 515–529

    Research output: Contribution to journal › Journal article › Research › peer-review

  15. 2015
  16. Published

    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. 921–931

    Research output: Contribution to journal › Journal article › Research › peer-review

  17. Published

    Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?

    Hanke, M., Poulsen, Rolf & Weissensteiner, A., 2015, In: Journal of Futures Markets. 35, 12, p. 1103–1116,

    Research output: Contribution to journal › Journal article › Research › peer-review

  18. 2014
  19. Published

    Can Household Benefit from Stochastic Programming Models? An Empirical Study of Mortgage Refinancing in Demark

    Rasmussen, K. M., Madsen, C. A. & Poulsen, Rolf, 2014, In: Computational Management Science. 11, p. 5-23

    Research output: Contribution to journal › Journal article › Research › peer-review

  20. 2013
  21. Published

    Approximation Behooves Calibration

    da Silva Ribeiro, A. M. & Poulsen, Rolf, 2013, In: Quantitative Finance Letters. 1, 1, p. 36-40

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. Published

    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

  23. 2012
  24. Published

    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

  25. Published

    Risikospredning med tolagsbelåning

    Rasmussen, Kourosh Marjani, Poulsen, Rolf & Kyhl, S., 2012, In: Finans/Invest. 8, p. 15-17 3 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  26. 2011
  27. Published

    Realkreditrådgivning: et studie af danskernes valg af realkreditlån og konverteringspraksis

    Rasmussen, K. M., Madsen, C. & Poulsen, Rolf, 2011, København: Boligøkonomisk Videncenter. 228 p.

    Research output: Book/Report › Report › Research

  28. 2010
  29. 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

  30. Published

    Static Hedging

    Poulsen, Rolf, 2010, Encyclopedia of Quantitative Finance. Wiley, Vol. 4. p. 1690-1682 3 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  31. Published

    The Margrabe Formula

    Poulsen, Rolf, 2010, Encyclopedia of Quantitative Finance. Wiley, Vol. 3. p. 1118-1120 3 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  32. 2009
  33. 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. 193-211

    Research output: Contribution to journal › Journal article › Research › peer-review

  34. Published

    Barrier Options and Lumpy Dividends

    Poulsen, Rolf, Siven, J. & Suchanecki, M., 2009, In: Wilmott Journal. 1, 3, p. 167-171

    Research output: Contribution to journal › Journal article › Research › peer-review

  35. 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. 693-704

    Research output: Contribution to journal › Journal article › Research › peer-review

  36. 2008
  37. 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

  38. 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

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