Sigurd Emil Rømer

Sigurd Emil Rømer

Enrolled PhD student

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