Microstructural foundations of rough volatility models (B02)

• Subject Area: Mathematics
• Term: since 2024
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464

This project focuses on microstructure models of financial markets, particularly rough volatility models. We aim to derive and analyze novel scaling limits for stochastic processes in market microstructure models, including convergence theorems for Hawkes processes, Donsker-type theorems for fractional Brownian motion, and a convergence theory for rough stochastic integrals and differential equations. The goal is to enhance our understanding of rough volatility models by incorporating more complex microscopic dynamics and improving the technical toolkit for analyzing their scaling limits.

• DFG Programme: CRC/Transregios
• Subproject of: TRR 388: Rough Analysis, Stochastic Dynamics and Related Fields
• Applicant Institution: Technische Universität Berlin
• Project Heads: Privatdozent Dr. Christian Bayer; Professor Dr. Ulrich Horst; Professorin Dr. Dörte Kreher