Sigurd Emil Rømer

Sigurd Emil Rømer

Enrolled PhD student


Publication year:
  1. 2022
  2. Published

    Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets1

    Rømer, Sigurd Emil, 2022, In: Quantitative Finance. 22, 10, p. 1805-1838

    Research output: Contribution to journalJournal articlepeer-review

  3. Published

    Essays on rough and classical stochastic volatility

    Rømer, Sigurd Emil, 2022, Department of Mathematical Sciences, Faculty of Science, University of Copenhagen. 187 p.

    Research output: Book/ReportPh.D. thesis

  4. 2020
  5. Published

    How does the volatility of volatility depend on volatility?

    Rømer, Sigurd Emil & Poulsen, Rolf, 2020, In: Risks. 8, 2, p. 1-18 59.

    Research output: Contribution to journalJournal articlepeer-review

ID: 185806872