2 papers
q-fin.MF2026
Microstructural Foundation of Rough Log-Normal Volatility Models
Paul P. Hager, Ulrich Horst, Thomas Wagenhofer +1
We establish a microstructural foundation of the rough Bergomi model. Specifically, we consider a sequence of order driven financial market models where orders to buy or sell an as…
math.PR2024
Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
Ulrich Horst, Wei Xu, Rouyi Zhang
We consider a microstructure foundation for rough volatility models driven by Poisson random measures. In our model the volatility is driven by self-exciting arrivals of market ord…