Sigurd Emil Rømer
Enrolled PhD student
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0001-8990-0483
1 - 2 out of 2Page size: 10
- 2022
- 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. 1805-1838Research output: Contribution to journal › Journal article › Research › peer-review
- 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/Report › Ph.D. thesis › Research
ID: 185806872
Most downloads
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236
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How does the volatility of volatility depend on volatility?
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
152
downloads
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets1
Research output: Contribution to journal › Journal article › Research › peer-review
Published