Rolf Poulsen. Date and place of birth: October 29, 1972, Aarhus, Denmark. Ph.D. (finance), Faculty of Science, University of Aarhus, September 1999.
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1 December 2008 Rolf Poulsen Work address: Department of Mathematical Sciences Universitetsparken 5 University of Copenhagen DK-2100 Copenhagen Oe, Denmark rolf@math.ku.dk www: rolf/ Date and place of birth: October 29, 1972, Aarhus, Denmark. Nationality: Danish. Education Ph.D. (finance), Faculty of Science, University of Aarhus, September M.Sc. (cand.scient.oecon., Mathematics-Economics), University of Aarhus, May General Certificate of Education, Rønde Gymnasium, June Academic positions Professor (finance) Department of Mathematical Sciences, University of Copenhagen, since September Visiting professor, School of Business, Economics and Law, University of Gothenburg, since September Visiting professor, School of Mathematics, University of Leeds, September- December Assistant ( ) and associate professor ( ) of finance, Department of Mathematical Sciences, University of Copenhagen, June 2003 to August (The exact name varied slightly during the period.) 1
2 External lecturer at the Copenhagen Business School and the Technical University of Denmark, since (On-and-off.) Ph.D. student Department of Operations Research, University of Aarhus, August 1995 to July Visiting Ph.D. student, School of Mathematics, University of New South Wales, Sydney, August-December Publications 1. 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 Poulsen, Rolf (2000), Should He Stay or Should He Go? Estimating the Effect of Sacking the Manager in Soccer, Chance, Vol 13(2), pp Hansen, Asbjørn and Rolf Poulsen (2000), A simple regime switching term structure model, Finance & Stochastics, vol. 4(4), pp 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 Nielsen, Søren and Rolf Poulsen (2002), Planning Your Own Debt, European Financial Management. Vol 8(2), pp Jensen, Bjarke and Rolf Poulsen (2002), Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques, Journal of Derivatives, vol. 9(4), pp Honore, Peter and Rolf Poulsen (2002), Option Pricing With Excel, pp in Programming languages and systems in computational economics and Finance, Vol. 18 of Advances in Computational Economics, Kluwer. 8. 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 Nalholm, Morten and Rolf Poulsen (2006), Static Hedging and Model Risk for Barrier Options, Journal of Futures Markets, 26(5), pp
3 10. Nalholm, Morten and Rolf Poulsen (2006), Static Hedging of Barrier Options under General Asset Dynamics: Unification and Application, Journal of Derivatives, 13(4), pp Poulsen, Rolf (2006) Barrier Options and Their Static Hedges: Simple Derivations and Extensions, Quantitative Finance, 6(4), pp Poulsen, Rolf (2007), Four Things You Might Not Know About the Black/Scholes-Formula, Journal of Derivatives, 15(2), pp Poulsen, Rolf and Kourosh Marjani Rasmussen (2008), Financial Giffen Goods: Examples and Counterexamples, European Journal of Operational Research, 191(2), pp Siven, Johannes and Rolf Poulsen (2008), The Long and Short of Static Hedging with Frictions, Wilmott Magazine, issue 38, pp Poulsen, Rolf (2009), The Margrabe Formula, to appear in Encyclopedia of Quantitative Finance. 16. Poulsen, Rolf (2009), Static Hedging, to appear in Encyclopedia of Quantitative Finance. Recent research and working papers (with Christian-Oliver Ewald and Klaus Reiner Schenk-Hoppe), Risk Minimization in Stochastic Volatility Models: Model Risk and Empirical Performance, August (with Johannes Siven), Auto-Static for the People: Risk-Minimizing Hedges of Barrier Options, August October (with Cathrine Jessen) Empirical Performance of Models for Valuation and Risk-Management of Barrier Options, December (with Gabriel Drimus) Market Models of Variance, January Teaching experience (F for fall, S for spring, P for partial) Teaching assistant in various graduate and undergraduate courses in mathematics and finance, University of Aarhus, Finance III (advanced graduate course in continuous-time finance), Department of Operations Research, University of Aarhus, F
4 Mathematical Finance (graduate course in continuous-time finance), Department of Applied Mathematics and Statistics (AMS), University of Copenhagen, F1999, F2001, F2003, F2004. Investment- and Finance-Theory (undergraduate course), AMS, University of Copenhagen, S2000-S2006. Joint author (with David Lando) of Lecture Notes for the Course Investeringsog Finansieringsteori (app. 200p) on which the course is (solely) based. Asset Pricing 2 (Ph.D. course), Danish Doctoral School of Finance, S2000-S2009 (all P). Practical Optimization in Finance (graduate course), Informatics and Mathematical Modelling (IMM), Technical University of Denmark, F2001(P). Topics in Continuous-Time Finance (advanced graduate course), AMS, University of Copenhagen, S2003. Putting Financial Mathematics to Work (graduate course), AMS, University of Copenhagen, S2005(P). Financial Optimization (graduate course), IMM, Technical University of Denmark, F2005-F2008 (all P). Finance 1 (undergraduate course), AMS, University of Copenhagen, S2006,S2007,S2009. Continuous-Time Finance 2 (graduate course), AMS, University of Copenhagen, S2006, S2007, S2008(P), S2009. Finance 2 (graduate course), S2006 (Mortgage-Backed Securities), S2007 (Financial Models in C++), S2009 (Investors and Markets), University of Copenhagen. Investments (masters course), School of Business, Economics and law, University of Gothenburg, S2008-S2009. Asset Pricing: Fixed Income (masters course), School of Business, Economics and law, University of Gothenburg, F2008. Supervisor of 7 Ph.D.-students (all in progress; 4 partial). Supervisor of about 50 completed masters theses for cand.(scient.oecon, polit, merc.mat, merc, stat, act) degrees. Presentations 4
5 Fifth World Congress of the Bachelier Finance Society, London, July Aarhus School of Business, Aarhus, June th Frankfurt MathFinance Conference, Frankfurt, March IX Workshop on Quantitative Finance, University of Rome, January Lund University, November VIII Workshop on Quantitative Finance, University of Venice, January European Central Bank, Frankfurt, December School of Business, Economics and Law, University of Gothenburg, November School of Economics and Management, University of Lund, August st European Conference on Operational Research, Reykjavik, July Hochschule für Bankwirtschafft, Frankfurt, June DCAF meeting, May 2006, March 2007, May VII Workshop on Quantitative Finance, University of Perugia, January rd Thiele Symposium, University of Copenhagen, December University of Leeds, October 2005 Conference on Difference and Differential Equations, Melbourne Florida, August Finance Research Unit, University of Copenhagen, March Thrid World Congress of the Bachelier Finance Society, Chicago, July Quantitative Methods in Finance Conference, Cairns, December 2002 Nykredit, Copenhagen, January European Financial Management Association, Lugano, June
6 Department of Finance, Aarhus Business School, April 2001, May SE-Banken, Copenhagen, March Monte Carlo and Probabilistic Methods for PDEs, Monaco, July American Mathematical Society Scandinavia, Odense, June Nordic Conference on Mathematical Statistics, Grimstad, June Applications of Physics in Financial Analysis, Dublin, July Department of Management, Odense University, May Bonn-Aarhus Seminar, Bonn, June Nordic Symposium on Contingent Claims in Finance and Insurance, Copenhagen, May Department of Applied Mathematics and Statistics (under varying names), University of Copenhagen, February 1998, March 1999, September CAF members meeting, Sandbjerg Gods, , (all January, all Sandbjerg Gods). CAF Seminar, Aarhus, January 1996, October 1996, December Grants, Administrative, Experience, Etc. Memeber of the standing committees on teaching ( Undervisningsudvalget ) and high school education ( Gymnasieudvalget ) at Dept. of Math. Sciences, Uni. of Cph. Current grant participation: Danish Centre for Accounting and Finance (the Danish Social Science Research Council), Financial Research Unit (University of Copenhagen), Danish Doctoral School of Finance (Danish Ministry of Science; board member). Previous grant participation: Centre for Analytical Finance ( ; the Danish Social Science Research Council), Danish Network in Mathematical Finance ( ; the Danish Social Science Research Council). Director of Studies for Mathematics-Economics, University of Copenhagen, January January
7 Member of the Danish corps of external examiners, Censorkorpset, for Mathematical Sciences, since March Consultant work for SEB, Nordea, Codan, Nykredit. (The Nykredit work focused on the implementation of the optimal mortgage choice models in the papers with Nielsen and Rasmussen.) Assessment committees: 7 Ph.D., 1 post-doc, 1 assistant professorship, 1 associate professorship. Organizer, 3rd Thiele Symposium, Copenhagen, December Various courses on teaching taken, eg. Adjunktpædagogikum (pedagogy course) and Thesis supervision, Body language and rethoric. Journal refereeing for Journal of Economic Dynamics and Control, Financial Management, Mathematical Methods of Operations Research, Journal of Finance, Computational Management Science, European Journal of Operational Research, Journal of Futures Markets, Mathematical Finance, Quantitative Finance, INTERFACES, Applied Stochastic Models in Business and Industry, Journal of Financial Econometrics, Applied Numerical Mathematics. Expert reviewer for national science foundations of Georgia and Dubai. Discussant at European Finance Association Conference 1996, 2001,
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