Jørgens Gymnasium, where he was taught by the Hungarian mathematician Julius Pal during his first year.

[4] After receiving his master's degree in the spring of 1929, Jessen embarked on a stay abroad.

Supported by the Carlsberg Foundation, he spent the fall of 1929 at the University of Szeged, where he met Frigyes Riesz, Alfréd Haar, and Lipót Fejér.

He then spent the winter semester of 1929–30 at the University of Göttingen, where he attended lectures by David Hilbert and Edmund Landau while working on his PhD thesis.

[2] Jessen continued to travel frequently in the early 1930s, visiting Paris, Cambridge, England, the Institute for Advanced Study, Yale and Harvard University in America.