06 March 2019

Sigurd Rømer, PhD student

Newly employed

Sigurd Rømer will start as a PhD student at the Insurance and Economics section from the 15th of March 2019. His supervisor will be Rolf Poulsen.

Sigurd RømerSigurd completed his master's degree in Mathematics-Economics here at the Department of Mathematical Sciences in August 2018. His thesis was titled "Rough Volatility - Option Pricing under The Rough Bergomi Model" and was supervised by Rolf Poulsen.

The thesis investigated the use of Rough Volatility models, a new type of stochastic volatility model, to price and hedge financial derivatives. The thesis also contained an investigation on how these new models can be justified empirically from actual trade data.

Sigurd's main research interests lie in the areas of derivatives pricing, hedging and the modelling of financial assets. The PhD project will mainly be a continuation of his master’s thesis and will thus cover various aspects of using Rough Volatility models for pricing and hedging.

Sigurd will work from office 04.3.03.