Rolf Poulsen

University of Copenhagen - Department of Statistics and Operations Research

Professor

Universitetsparken 5

DK-2100

Denmark

SCHOLARLY PAPERS

15

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5,740

CITATIONS
Rank 26,984

SSRN RANKINGS

Top 26,984

in Total Papers Citations

9

Scholarly Papers (15)

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 1,598 (10,195)

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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
University of Copenhagen - Department of Statistics and Operations Research, University of Manchester - Department of Economics and University of Glasgow
Downloads 850 (26,727)
Citation 5

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

3.

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 726 (33,197)
Citation 2

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4.

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 643 (39,050)

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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
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 568 (46,013)

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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
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 341 (85,599)

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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 298 (99,244)

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Barrier options, risk-management, valuation, empirical performance

8.

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

EFMA 2001 Lugano Meetings
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 276 (107,820)

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9.

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
University of Leeds - School of Mathematics, University of Copenhagen - Department of Statistics and Operations Research, University of Manchester - Department of Economics and University of Kent - School of Mathematics, Statistics and Actuarial Science & Kent Centre for Finance
Downloads 258 (115,720)

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

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 146 (195,490)
Citation 2

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Finance, portfolio choice, Giffen good, mortgage planning

11.

Planning Your Own Debt

European Financial Management, Vol. 8, pp. 193-210, 2002
Number of pages: 18 Posted: 21 Jan 2003
Soren S. Nielsen and Rolf Poulsen
Technical University of Denmark - Informatics and Mathematical Modeling and University of Copenhagen - Department of Statistics and Operations Research
Downloads 36 (430,815)
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12.

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

The Journal of Derivatives, Forthcoming
Posted: 08 Feb 2018 Last Revised: 02 Apr 2019
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen

Abstract:

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betting odds; political events; exchange rate risk

13.

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

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 03 Dec 2016 Last Revised: 23 Mar 2018
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

14.

A Simple Regime Switching Term Structure Model

Finance and Stochastics, Vol. 4, Issue 4
Posted: 29 Jan 2001
Asbjorn T. Hansen and Rolf Poulsen
Dresdner Kleinwort Benson and University of Copenhagen - Department of Statistics and Operations Research

Abstract:

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

15.

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
Saxo Bank, University of Aarhus and University of Copenhagen - Department of Statistics and Operations Research

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