Sigurd Emil Rømer
Enrolled PhD student
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
My PhD project mainly aims to contribute to the fast growing literature on rough stochastic volatility models within quantitative finance. Volatility on a wide range of financial assets have been shown to exhibit path-dependent rough properties not included in existing classical Markovian models. With the PhD project I hope to explore different aspects of how rough volatility models can be used for pricing and hedging as well as look into efficient computational methods for their implementation.
Supervisor: Rolf Poulsen
Primary fields of research
Rough stochastic volatility, machine learning applied to problems in quantitative finance, derivatives pricing and hedging, computational finance
ID: 185806872
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227
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How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
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129
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Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets1
Research output: Contribution to journal › Journal article › Research › peer-review
Published