Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research

Professor

Universitetsparken 5

DK-2100

Denmark

  • University of Copenhagen - Department of Statistics and Operations Research

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    • Tel: +45 (353) 20685
SCHOLARLY PAPERS

14

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34

CROSSREF CITATIONS

7

Scholarly Papers (14)

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1.

Four Things You Might Not Know about the Black-Scholes Formula

Number of pages: 11 Posted: 05 Jun 2007
Rolf Poulsen
University of Copenhagen - Department of Statistics and Operations Research
Downloads 1,903 (15,322)

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Option pricing, Black-Scholes formula, delta, vega-hedging, put-call-duality

2.

Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance

FINRISK Working Paper No. 361, Swiss Finance Institute Research Paper No. 07-10
Number of pages: 23 Posted: 23 Feb 2007 Last Revised: 04 Dec 2007
Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Christian-Oliver Ewald
University of Copenhagen - Department of Statistics and Operations Research, The University of Manchester - Department of Economics and University of Glasgow
Downloads 915 (45,035)
Citation 14

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Locally risk-minimizing hedge, delta hedge, stochastic volatility,

3.

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 908 (45,515)

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4.

Capital Allocation for Insurance Companies: Issues and Methods

Number of pages: 20 Posted: 18 Dec 2005
Jens Perch Nielsen, Paul Mumford and Rolf Poulsen
City University London - Cass Business School, Royal & SunAlliance and University of Copenhagen - Department of Statistics and Operations Research
Downloads 780 (55,964)
Citation 1

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5.

Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?

Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116.
Number of pages: 20 Posted: 17 Dec 2013 Last Revised: 03 Dec 2016
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 632 (73,646)
Citation 5

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exchange rate options, latent exchange rate

6.

The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach

Quantitative Finance, 2018, 19(1), 1-11
Number of pages: 35 Posted: 27 Oct 2014 Last Revised: 31 Dec 2018
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 407 (125,529)
Citation 8

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Swiss franc; Latent exchange rate; Currency options; Latent likelihood approach

7.

Empirical Performance of Models for Valuation and Risk-Management of Barrier Options

Number of pages: 12 Posted: 17 Feb 2009
Cathrine Jessen and Rolf Poulsen
Copenhagen Business School - Department of Finance and University of Copenhagen - Department of Statistics and Operations Research
Downloads 351 (148,060)

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Barrier options, risk-management, valuation, empirical performance

8.

Dynamic Portfolio Optimization with Transaction Costs and State-Dependent Drift

Norwegian School of Economics (NHH), Department of Finance Working Paper No. 2014-1
Number of pages: 38 Posted: 31 Oct 2013 Last Revised: 13 Jan 2014
Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppé and Huamao Wang
University of Leeds, University of Copenhagen - Department of Statistics and Operations Research, The University of Manchester - Department of Economics and University of Kent - Kent Business School
Downloads 329 (159,298)
Citation 5

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Portfolio choice, State-dependent drift, Transaction costs, Numerical methods, Dynamic programming

9.

Planning Your Own Debt; a Stochastic Programming Approach to Mortgage Backed Security Analysis in a Two-Factor Interest Rate Model

Number of pages: 27 Posted: 05 May 2001
Rolf Poulsen and Soren S. Nielsen
University of Copenhagen - Department of Statistics and Operations Research and Technical University of Denmark - Informatics and Mathematical Modeling
Downloads 301 (174,341)

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10.

Financial Giffen Goods: Examples and Counterexamples

Number of pages: 12 Posted: 05 Jun 2007
Rolf Poulsen and Kourosh Marjani Rasmussen
University of Copenhagen - Department of Statistics and Operations Research and Technical University of Denmark
Downloads 174 (294,116)
Citation 3

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Finance, portfolio choice, Giffen good, mortgage planning

11.

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

The Journal of Derivatives, 26(4), 128-143
Posted: 08 Feb 2018 Last Revised: 09 Jun 2020
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen

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betting odds; political events; exchange rate risk

12.

Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices

Journal of Financial and Quantitative Analysis, 53(6), 2663-2683
Posted: 03 Dec 2016 Last Revised: 09 Jun 2020
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen

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exchange rates, forecasting, risk-neutral densities, betting quotes

13.

A Simple Regime Switching Term Structure Model

Posted: 29 Jan 2001
Asbjorn T. Hansen and Rolf Poulsen
Dresdner Kleinwort Benson and University of Copenhagen - Department of Statistics and Operations Research

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Regime switching, term structure of interest rates, numerical methods, option pricing

14.

New Skin for the Old Ceremony: Eight Different Derivations of the Black-Scholes Formula

Posted: 18 Dec 1996
Jesper Andreasen, Bjarke Jensen and Rolf Poulsen
Verition Group LLC, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

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