Transition densities of diffusion processes: numerical comparison of approximation techniques B Jensen, R Poulsen Journal of Derivatives 9 (4), 18, 2002 | 162 | 2002 |
Risk minimization in stochastic volatility models: model risk and empirical performance R Poulsen, KR Schenk-Hoppé, CO Ewald Quantitative Finance 9 (6), 693-704, 2009 | 84 | 2009 |
Approximate maximum likelihood estimation of discretely observed diffusion processes R Poulsen, R Poulsen CAF, Centre for Analytical Finance, University of Aarhus, 1999 | 80 | 1999 |
A simple regime switching term structure model AT Hansen, R Poulsen Finance and Stochastics 4, 409-429, 2000 | 69 | 2000 |
Static hedging and model risk for barrier options M Nalholm, R Poulsen Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2006 | 61 | 2006 |
Static hedging of barrier options under general asset dynamics: Unification and application M Nalholm, R Poulsen Journal of Derivatives 13 (4), 46, 2006 | 47 | 2006 |
Barrier options and their static hedges: simple derivations and extensions R Poulsen Quantitative Finance 6 (4), 327-335, 2006 | 44 | 2006 |
Dynamic portfolio optimization with transaction costs and state-dependent drift J Palczewski, R Poulsen, KR Schenk-Hoppé, H Wang European journal of operational research 243 (3), 921-931, 2015 | 37 | 2015 |
Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy? M Hanke, R Poulsen, A Weissensteiner Journal of Futures Markets 35 (12), 1103-1116, 2015 | 36 | 2015 |
A two-factor, stochastic programming model of Danish mortgage-backed securities SS Nielsen, R Poulsen Journal of Economic Dynamics and Control 28 (7), 1267-1289, 2004 | 34 | 2004 |
Empirical performance of models for barrier option valuation C Jessen, R Poulsen Quantitative Finance 13 (1), 1-11, 2013 | 23 | 2013 |
Risk-minimisation in electricity markets: Fixed price, unknown consumption M Tegnér, RR Ernstsen, A Skajaa, R Poulsen Energy Economics 68, 423-439, 2017 | 22 | 2017 |
Event-related exchange-rate forecasts combining information from betting quotes and option prices M Hanke, R Poulsen, A Weissensteiner Journal of Financial and Quantitative Analysis 53 (6), 2663-2683, 2018 | 21 | 2018 |
Approximation behoves calibration A Ribeiro, R Poulsen Quantitative Finance Letters 1 (1), 36-40, 2013 | 21 | 2013 |
A comparison of approximation techniques for transition densities of diffusion processes B Jensen, R Poulsen CAF Centre for Analytical Finance, University of Aarhus, AarhusSchool of …, 1999 | 19 | 1999 |
Financial planning for young households AMB Pedersen, A Weissensteiner, R Poulsen Annals of Operations Research 205, 55-76, 2013 | 18 | 2013 |
Should he stay or should he go? Estimating the effect of firing the manager in soccer R Poulsen Chance 13 (2), 29-32, 2000 | 17 | 2000 |
Margrabe formula R Poulsen Encyclopedia of Quantitative Finance, 2010 | 16 | 2010 |
Auto-static for the people: risk-minimizing hedges of barrier options J Siven, R Poulsen Review of Derivatives Research 12, 193-211, 2009 | 14 | 2009 |
The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach M Hanke, R Poulsen, A Weissensteiner Quantitative Finance 19 (1), 1-11, 2019 | 13 | 2019 |