Sigurd Emil Rømer
Universitetsparken 5, 2100 København Ø, E/04, Building: 04.3.03
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