Sigurd Emil Rømer

University of Copenhagen, Department of Mathematical Sciences

Universitetsparken 5

Copenhagen, København Ø 2100

Denmark

SCHOLARLY PAPERS

2

DOWNLOADS

235

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Historical Analysis of Rough Volatility Models to the SPX Market

Number of pages: 33 Posted: 11 Sep 2020 Last Revised: 14 Oct 2020
Sigurd Emil Rømer
University of Copenhagen, Department of Mathematical Sciences
Downloads 146 (232,676)

Abstract:

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Option pricing; Rough volatility; Calibration; Neural networks; SPX options

2.

The Hybrid-Exponential Scheme for Stochastic Volterra Equations

Number of pages: 35 Posted: 23 Nov 2020
Sigurd Emil Rømer
University of Copenhagen, Department of Mathematical Sciences
Downloads 89 (333,678)

Abstract:

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Stochastic Volterra Equations, Simulation, Stochastic Volatility, Rough Volatility, Option Pricing, Rough Bergomi