Working papers and unpublished lecture notes

(with Zhuolu Gao, Mikkel V. Hauerberg, and Aleksander K. Tetzlaff) Forgiven but not forgotten: Emerging market credit spreads following debt relief, 2021, Working paper (with Benjamin Christoffersen and Søren Feodor Nielsen): Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood, 2021, Working Paper (with Andreas Bang Nielsen) Quanto CDS Spreads, 2018, Working paper (with Søren Johansen) On multifactor models as co-integration models, 2006, Working paper (with Rolf Poulsen) Lecture notes for the course: Investments and finance theory, May 2000, 196 pages, University of Copenhagen (In Danish) 1999: En hovedsætning i finansieringsteorien – og lidt om realkreditobligationer. FAMØS, volume 13, number 2 On correlated defaults in a rating-based model – common state variables versus simultaneous defaults. Working paper, October 2000, Presented at the BSI-Gamma foundation lecture in Lugano, 2000 (with Martin Blædel and Brian Huge) 1998: On Long Run Portfolio Optimization Using the Universal. Portfolio Working Paper. Latest revision January 1999. (with Anne Mette Barfod) 1996.On Derivative Contracts on Catastrophe Losses. Working Paper. Latest revision 1997.

Last updated by: Administrator 29/10/2021