Henrik Thybo Dam, postdoc
Henrik Thybo Dam is employed as a postdoc at the department's section for Insurance and Economics.
Henrik has a PhD from our department, with David Skovmand and Rolf Poulsen as supervisors. His thesis dealt with the use of rational-like pricing kernels for inflation-linked derivatives pricing.
As a postdoc, he continues this work. Henrik is particularly interested in pricing derivatives, numerical methods and financial modelling.
Henrik finished his master’s degree in Mathematics-Economics from the University of Aarhus in 2015. His thesis was about investigating the quality of the BN-S stochastic volatility model for option pricing using methods from both Fourier inversion and high-frequency econometrics. His thesis was supervised by Thomas Kokholm.
Henrik can be found in office 04.3.04