sbbfi

Department of Finance

Søren Bundgaard
Brøgger
PhD fellow


Room: SOL/D4.17
Tel:
+4538153556
E-mail: sbb.fi@cbs.dk
Presentation
I am a finance PhD* fellow at Copenhagen Business School funded by the Center for Financial Frictions (FRIC). I hold a Master's degree in Financial Mathematics from London School of Economics and I am cand. oecon from Aarhus University. 
 
My research interests include derivatives pricing and hedging, valuation adjustments and volatility trading. I teach a Master’s course in Fixed Income Derivatives and I am available for thesis supervision on fixed income topics. In addition, I have served as expert witness (syn- og skønsmand) in a number of lawsuits involving swaps and other derivatives.
 
Before joining Copenhagen Business School, I was a senior dealer in Danske Bank Markets in Copenhagen.
 
*) Note: I am currently on leave to pursue an opportunity as Portfolio Manager (Global Fixed Income, Credit and Volatility) at Faro Asset Management. 
 
Primary research areas
  • Fixed Income Derivatives
  • Derivatives value adjustments ("the XVAs")
  • Volatility trading
Link to this homepage
www.cbs.dk/en/staff/sbbfi
Courses

Fixed Income Derivatives (MSc. level)

Supervision

Master's theses

Selected publications
Søren Bundgaard Brøgger / Afledte VIX-produkter: Logrer halen med hunden?
In: Finans/Invest, No. 3, 6.2018, p. 28-35
Journal article
 
Søren Bundgaard Brøgger / Bitcoin futures - en indledende analyse
In: Finans/Invest, No. 1, 2.2018, p. 14-19
Journal article
 
Søren Bundgaard Brøgger / 50 Shades of Discounting: Diskontering af derivatbetalinger i teori og praksis
In: Finans/Invest, No. 4, 8.2017, p. 18-23
Journal article
 
Søren Bundgaard Brøgger / Hedging CVA in the presence of model risk
Copenhagen Business School 2017, 41 pages
Working paper
 
Søren Bundgaard Brøgger / Leveraged ETPs and the VIX Futures Market
Copenhagen Business School 2018, 25 pages
Working paper
 
 

 

Publications sorted by:
2018
Søren Bundgaard Brøgger / Afledte VIX-produkter : Logrer halen med hunden?.
In: Finans/Invest, No. 3, 6.2018, p. 28-35
Journal article > peer review
Søren Bundgaard Brøgger / Bitcoin futures : En indledende analyse.
In: Finans/Invest, No. 1, 2.2018, p. 14-19
Journal article > peer review
2017
Søren Bundgaard Brøgger / 50 Shades of Discounting : Diskontering af derivatbetalinger i teori og praksis.
In: Finans/Invest, No. 4, 2017, p. 18-23
Editorial > peer review