Marcus Piil Pedersen, industrial PhD student
Marcus started on 15 August 2024 as an industrial PhD student in a collaboration between PFA Pension and the Department of Mathematical Sciences, supported by Innovation Fund Denmark.
Marcus holds a bachelor's and a master's degree in Mathematical Economics from the University of Copenhagen. His thesis was called "Volatility Estimation; A Path-Dependent Approach". It worked on extensions of the model introduced in "Volatility is (mostly) path-dependent" by Guyon and Lekeufack in 2023. His supervisor was Rolf Poulsen.
He also earned a Master of Science in Financial Mathematics from the London School of Economics. He won the Joseph Abraham Prize for "Outstanding Achievement in his studies".
Marcus worked as a teaching assistant in several courses at MATH, and later as a research assistant at the Centre for Big Data in Finance (BIGFI), CBS and the UCPH Department of Economics. He has also been a research analyst at Capital Four.
The PhD project's title is ”The dynamical relationship between volatility and expected return” with Rolf Poulsen as PhD supervisor. Company counsellors are Peter Honoré and Morten Barslund from PFA.
You can meet Marcus at the office 04.4.05.