Simon Nielsen

University of Copenhagen - Department of Mathematical Sciences

PhD Candidate

Copenhagen

Denmark

SCHOLARLY PAPERS

2

DOWNLOADS

785

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

The Fundamental Theorem of Derivative Trading - Exposition, Extensions, and Experiments

Number of pages: 27 Posted: 18 Feb 2015
Simon Nielsen, Martin Jönsson and Rolf Poulsen
University of Copenhagen - Department of Mathematical Sciences, University of Copenhagen - Institute for Mathematical Sciences and University of Copenhagen - Department of Statistics and Operations Research
Downloads 679 (38,832)

Abstract:

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2.

Stochastic Volatility for Utility Maximisers - A Risk to Be Hedged?

Number of pages: 34 Posted: 19 May 2015
Simon Nielsen and Martin Jönsson
University of Copenhagen - Department of Mathematical Sciences and University of Copenhagen - Institute for Mathematical Sciences
Downloads 106 (264,280)

Abstract:

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Merton's Portfolio Problem, Stochastic Volatility, HJB Equation