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
