Rolf Poulsen

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The fundamental theorem of derivative trading -- exposition, extensions and experiments Quantitative Finance	2018-11-19	Paper
Dynamic portfolio optimization with transaction costs and state-dependent drift European Journal of Operational Research	2016-10-06	Paper
Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark Computational Management Science	2014-10-06	Paper
Empirical performance of models for barrier option valuation Quantitative Finance	2014-02-08	Paper
Financial planning for Young households Annals of Operations Research	2013-08-07	Paper
Auto-static for the people: risk-minimizing hedges of barrier options Review of Derivatives Research	2009-11-16	Paper
Risk minimization in stochastic volatility models: model risk and empirical performance Quantitative Finance	2009-10-16	Paper
A two-factor, stochastic programming model of Danish mortgage-backed securities Journal of Economic Dynamics and Control	2008-11-06	Paper
Financial Giffen goods: Examples and counterexamples European Journal of Operational Research	2008-07-21	Paper
Barrier options and their static hedges: simple derivations and extensions Quantitative Finance	2007-05-09	Paper
Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion Monte Carlo Methods and Applications	2002-02-05	Paper
A simple regime switching term structure model Finance and Stochastics	2001-03-01	Paper
scientific article; zbMATH DE number 1295003 (Why is no real title available?)	1999-08-16	Paper

Research outcomes over time

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