Rolf Poulsen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 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
- 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
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
- 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
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
- 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
- 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
- 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
- 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
- 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
ID: 5165
Most downloads
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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
Published -
262
downloads
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
downloads
How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
Published