Refereed Publications


Andreasen, Jesper, Bjarke Jensen, and Rolf Poulsen (1998), "Eight Valuation Methods in Financial Mathematics: The Black-Scholes Formula as an Example", Mathematical Scientist , Vol 23(1), pp 18-40.(Old working paper.)

Poulsen, Rolf (2000), "Should He Stay or Should He Go? Estimating the Effect of Sacking the Manager in Soccer", Chance, Vol 13(2), pp 29-32.
Click here to see the data used in the study.

Hansen, Asbjørn and Rolf Poulsen (2000), "A simple regime switching term structure model", Finance & Stochastics, Vol 4(4), pp 409-429.

Christensen, Bent Jesper and Rolf Poulsen (2001), "Monte Carlo Improvement of Estimates of the Mean Reverting Constant Elasticity of Variance Interest Rate Diffusion", Monte Carlo Methods and Applications, Vol 7(1-2), pp 111-123.

Nielsen, Søren and Rolf Poulsen (2002), "Planning Your Own Debt", European Financial Management. Vol 8(2), pp 193-210.

Jensen, Bjarke and Rolf Poulsen (2002), "Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques", Journal of Derivatives , Vol 9(4), pp 18-32.

Honore, Peter and Rolf Poulsen (2002), "Option Pricing With Excel", pp. 369-402 in S. Nielsen (ed.): "Programming languages and systems in computational economics and Finance", Vol. 18 of "Advances in Computational Economics", Kluwer.

Nielsen, Søren and Rolf Poulsen (2004), "A Two-Factor, Stochastic Programming Model of Danish Mortgage-Backed Securities", Journal of Economic Dynamics and Control . Vol 28(7), pp 1267-1289.

Nalholm, Morten and Rolf Poulsen (2006), "Static Hedging and Model Risk for Barrier Options", Journal of Futures Markets. Vol 26(5), pp 449-463. (Old working paper.)

Nalholm, Morten and Rolf Poulsen (2006), "Static Hedging of Barrier Options under General Asset Dynamics: Unification and Application", Journal of Derivatives. Vol 13(4), pp 46-60. (Old working paper.)

Poulsen, Rolf (2006), "Barrier Options and Their Static Hedges: Simple Derivations and Extensions", Quantitative Finance, Vol. 6(4), pp 327-335. (Old working paper.)

Poulsen, Rolf (2007), "Four Things You Might not Know About the Black-Scholes Formula", Journal of Derivatives, Vol. 15(2), pp 77-82. (A clarification.)

Poulsen, Rolf and Kourosh Marjani Rasmussen (2008), "Financial Giffen Goods: Examples and Counterexamples", European Journal of Operational Research, 191(2), pp 571-575.

Siven, Johannes and Rolf Poulsen (2008), The Long and Short of Static Hedging with Frictions,Wilmott Magazine, Issue 38, pp. 62-67.

Siven, Johannes, Michael Suchanecki and Rolf Poulsen (2009), Barrier Options and Lumpy Dividends, Wilmott Journal, 1(3), pp. 167-171.

Poulsen, Rolf, Klaus Reiner Schenk-Hoppè, and Christian-Oliver Ewald (2009) Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance, Quantitative Finance, 9(6), pp 693-704. The empirical data used in the study: S&P 500 index options, EUROSTOXX 50 index options, USD/EURO FX options. These files are plain text files; this file explains how the data is organized.

Siven, Johannes and Rolf Poulsen (2009) Auto-Static for the People: Risk-Minimizing Hedges of Barrier Options, Review of Derivatives Research, 12(3), pp 193-211.

Poulsen, Rolf (2010), The Margrabe Formula Encyclopedia of Quantitative Finance, pp. 1118-1120.

Poulsen, Rolf (2010), Static Hedging, Encyclopedia of Quantitative Finance, pp. 1690-1692.

Mumford, Paul, Jens Perch Nielsen, and Rolf Poulsen (2011), "Capital Allocation for Insurance Companies: Issues and Methods, Belgian Actuarial Bulletin, vol. 9, pp 1-7.

Pedersen, Anne Marie Boiden, Alex Weissensteiner, and Rolf Poulsen (2013), Financial planning for young households, Annals of Operations Research, vol. 205(1), pp. 55-76.

Jessen, Cathrine and Rolf Poulsen (2013), "Empirical Performance of Models for Barrier Option Valuation", Quantitative Finance, Vol. 13(1), pp 1-13. The data used in the analysis:
The plain vanilla option data on USD/EUR options from British Bankers' Asscociation. The organization of the data is explained in this file.
The barrier option data on USD/EUR options from Danske Bank. The organization etc. of the data is explained in this document (see in particular Table 5).

Rasmussen, Kourosh Marjani, Claus A. Madsen, and Rolf Poulsen (2014), "Can Home-Owners Benefit from Stochastic Programming Models? Study of Mortgage Choice in Denmark", Computational Management Science, vol. 11(1-2), pp 5-23.

Ribeiro, Andre and Rolf Poulsen (2013), "Approximation Behooves Calibration", Quantitative Finance Letters, vol. 1(1), pp 36-40. The file Data_1/2.xls from here contain the option-data (and more).

Hanke, Michael Rolf Poulsen and Alex Weissensteiner (2014), "Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?", forthcoming in Journal of Futures Markets.

Palczewski, Jan, Rolf Poulsen, Klaus Reiner Schenk-Hoppè, and Huamao Wang (2015), "Optimal Portfolio Strategies under Transaction Costs: Numerical Solutions for State-Dependent Drift", forthcoming in European Journal of Operational Research.



På dansk

Rasmussen, Kourosh Marjani, Claus A. Madsen og Rolf Poulsen (2011), "Realkreditrådgivning. Et studie af danskernes valg af realkreditlån og konverteringspraksis", Boligøkonomisk Videncenter.

Rolf Poulsen (2011), "Amerikanske optioner og finansielle beregninger", FAMØS, 21. årgang, nummer 2, s. 34-54.

Rasmussen, Koruosh Marjani, Rolf Poulsen og Søren Kyhl (2012, december), "Risikospredning med tolagsbelåning", Finans/Invest, 312. udgave, s. 15-17.



Work in progress

"Analyzing the Swiss National Bank's euro exchange rate guarantee: A latent likelihood approach" (w/ Michael Hanke and Alex Weissensteiner).

"The Fundamental Theorem of Derivative Trading: Exposition, Extension, and Experiments" (w/ Simon Ellersgaard Nielsen and Martin Jönsson).

"Kelly Gone Bad" (w/ Christian Bøhlke and Mads Vestergaard Jensen).

"Volatility Is Lognormal But Not for the Reason You Think" (w/ Martin Jönsson).

"Carry that load: Risk-minimization in electricity markets" (Rune Ramsdal Ernstsen, Martin Jönsson and Anders Skajaa).

"Currency Pegs: Cases for Baskets" (w/ Michael Hanke and Alex Weissensteiner).