Sigurd Emil Rømer

Short presentation

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

CV

March 2019 - current: PhD student, University of Copenhagen

2016 - 2018: M.Sc. in Mathematics-Economics, University of Copenhagen

2013 - 2016: B.Sc. in Mathematics-Economics, University of Copenhagen

Primary fields of research

Rough stochastic volatility, machine learning applied to problems in quantitative finance, derivatives pricing and hedging, computational finance