Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2022
- Published
Delta Force: Option Pricing with Differential Machine Learning
Frandsen, M. G., Pedersen, T. C. & Poulsen, Rolf, 2022, In: Digital Finance. 4, p. 1-15Research output: Contribution to journal › Journal article › Research › peer-review
- 2020
- 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
- 2019
- 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. 1-11Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes
Hanke, M., Poulsen, Rolf & Weissensteiner, A., 2019, In: Journal of Derivatives. 26, 4, p. 128-143Research output: Contribution to journal › Journal article › Research › peer-review
- 2018
- 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
- 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
- 2017
- 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. 423-439Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Fed Isn’t Federal – And Other Odd Things in Finance
Poulsen, Rolf, 2017, In: Wilmott. 88, p. 34-45Research 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
- 2015
- 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. 921–931Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 2014
- 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. 5-23Research output: Contribution to journal › Journal article › Research › peer-review
- 2013
- Published
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
- 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
- 2012
- 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
- 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
- 2011
- 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
- 2010
- 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
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
- 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
- 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
- 2002
- 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
Planning Your Own Debt
Poulsen, Rolf & Nielsen, S., 2002, In: European Financial Management. 8, 2, p. 193-210Research 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
- 2001
- Published
Monte Carlo Improvement of Estimates of the Mean Reverting Constant Elasticity of Variance Interest Rate Diffusion
Poulsen, Rolf & Christensen, B. J., 2001, In: Monte Carlo Methods and Applications. 7, 1-2, p. 111-123Research output: Contribution to journal › Journal article › Research › peer-review
- 2000
- Published
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
Should He Stay or Should He Go? Estimating the Effect of Sacking the Manager in Soccer
Poulsen, Rolf, 2000, In: Chance. 13, 2, p. 29-32Research output: Contribution to journal › Journal article › Research
- 1998
- Published
Eight Valuation Methods in Financial Mathematics: The Black-Scholes Formula as an Example
Andreasen, J., Jensen, B. & Poulsen, Rolf, 1998, In: Mathematical Scientist. 23, 1, p. 18-40Research output: Contribution to journal › Journal article › Research › peer-review
ID: 5165
Most downloads
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466
downloads
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
downloads
Volatility is log-normal -- but not for the reason you think
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
227
downloads
How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
Published