Rolf Poulsen
Rolf Poulsen
Professor of Mathematical Finance, University of Copenhagen
Verificeret mail på math.ku.dk
Citeret af
Citeret af
Transition densities of diffusion processes: numerical comparison of approximation techniques
B Jensen, R Poulsen
Journal of Derivatives 9 (4), 18, 2002
Risk minimization in stochastic volatility models: model risk and empirical performance
R Poulsen, KR Schenk-Hoppé, CO Ewald
Quantitative Finance 9 (6), 693-704, 2009
Approximate maximum likelihood estimation of discretely observed diffusion processes
R Poulsen, R Poulsen
CAF, Centre for Analytical Finance, University of Aarhus, 1999
A simple regime switching term structure model
AT Hansen, R Poulsen
Finance and Stochastics 4, 409-429, 2000
Static hedging and model risk for barrier options
M Nalholm, R Poulsen
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2006
Static hedging of barrier options under general asset dynamics: Unification and application
M Nalholm, R Poulsen
Journal of Derivatives 13 (4), 46, 2006
Barrier options and their static hedges: simple derivations and extensions
R Poulsen
Quantitative Finance 6 (4), 327-335, 2006
Dynamic portfolio optimization with transaction costs and state-dependent drift
J Palczewski, R Poulsen, KR Schenk-Hoppé, H Wang
European journal of operational research 243 (3), 921-931, 2015
Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?
M Hanke, R Poulsen, A Weissensteiner
Journal of Futures Markets 35 (12), 1103-1116, 2015
A two-factor, stochastic programming model of Danish mortgage-backed securities
SS Nielsen, R Poulsen
Journal of Economic Dynamics and Control 28 (7), 1267-1289, 2004
Risk-minimisation in electricity markets: Fixed price, unknown consumption
M Tegnér, RR Ernstsen, A Skajaa, R Poulsen
Energy Economics 68, 423-439, 2017
Empirical performance of models for barrier option valuation
C Jessen, R Poulsen
Quantitative Finance 13 (1), 1-11, 2013
Event-related exchange-rate forecasts combining information from betting quotes and option prices
M Hanke, R Poulsen, A Weissensteiner
Journal of Financial and Quantitative Analysis 53 (6), 2663-2683, 2018
Approximation behoves calibration
A Ribeiro, R Poulsen
Quantitative Finance Letters 1 (1), 36-40, 2013
A comparison of approximation techniques for transition densities of diffusion processes
B Jensen, R Poulsen
CAF Centre for Analytical Finance, University of Aarhus, AarhusSchool of …, 1999
Financial planning for young households
AMB Pedersen, A Weissensteiner, R Poulsen
Annals of Operations Research 205, 55-76, 2013
Should he stay or should he go? Estimating the effect of firing the manager in soccer
R Poulsen
Chance 13 (2), 29-32, 2000
Margrabe formula
R Poulsen
Encyclopedia of Quantitative Finance, 2010
Auto-static for the people: risk-minimizing hedges of barrier options
J Siven, R Poulsen
Review of Derivatives Research 12, 193-211, 2009
The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach
M Hanke, R Poulsen, A Weissensteiner
Quantitative Finance 19 (1), 1-11, 2019
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