Cover Image

Microstructural Foundation of Rough Log-Normal Volatility Models

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Hager, Paul P., Horst, Ulrich, Wagenhofer, Thomas, Xu, Wei
Format:	Preprint
Published:	2026
Subjects:	Mathematical Finance 60G55, 60G22, 60L90 (Primary), 60F05 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
by: Horst, Ulrich, et al.
Published: (2023)

Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures
by: Horst, Ulrich, et al.
Published: (2024)

Weak error estimates for rough volatility models
by: Friz, Peter K., et al.
Published: (2022)

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
by: Pra, Paolo Dai, et al.
Published: (2025)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)

Mean-Field Limits for Nearly Unstable Hawkes Processes
by: Szymanski, Grégoire, et al.
Published: (2025)

Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
by: Ichiba, Tomoyuki, et al.
Published: (2025)

Box-Covariances of Hyperuniform Point Processes
by: Jalowy, Jonas, et al.
Published: (2025)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Functional Limit Theorems for Hawkes Processes
by: Horst, Ulrich, et al.
Published: (2024)

On local large deviations for decoupled random walks
by: Buraczewski, Dariusz, et al.
Published: (2025)

Pareto points in growing dimensions
by: Ilienko, Andrii, et al.
Published: (2026)

Central Limit Theorems for Local Functionals of Dynamic Point Processes
by: Onaran, Efe, et al.
Published: (2023)

A generalized central limit theorem for critical marked Hawkes processes
by: Talarczyk, Anna
Published: (2025)

On Two Parameter Time-Changed Poisson Random Fields with Drifts
by: Vishwakarma, Pradeep, et al.
Published: (2025)

Point processes of the Poisson-Skellam family
by: Cinque, Fabrizio, et al.
Published: (2025)

Multivariate Generalized Counting Process via Gamma Subordination
by: Dhillon, Manisha, et al.
Published: (2025)

Scaling limit for small blocks in the Chinese restaurant process
by: Galganov, Oleksii, et al.
Published: (2025)

Generalized Counting Process with Random Drift and Different Brownian Clocks
by: Khandakar, Mostafizar, et al.
Published: (2025)

Ladder costs for random walks in Lévy random media
by: Bianchi, Alessandra, et al.
Published: (2022)

Multivariate Second-Order $p$-Poincaré Inequalities
by: Trauthwein, Tara
Published: (2024)

Stochastic Volterra Equations for the Local Times of Spectrally Positive Stable Processes
by: Xu, Wei
Published: (2021)

Ties, Tails and Spectra: On Rank-Based Dependency Measures in High Dimensions
by: Dörnemann, Nina, et al.
Published: (2025)

Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
by: Chudasama, Priyanka, et al.
Published: (2025)

Expected Signature Kernels for Lévy Rough Paths
by: Friz, Peter K., et al.
Published: (2025)

Maximum displacement of critical centered branching random walks under minimal assumptions
by: Lehéricy, Thomas
Published: (2025)

On the asymptotic normality of persistent Betti numbers
by: Krebs, Johannes, et al.
Published: (2019)

Boolean models in hyperbolic space
by: Hug, Daniel, et al.
Published: (2024)

Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026)

Functional limit theorems for edge counts in dynamic random connection hypergraphs
by: Hirsch, Christian, et al.
Published: (2025)

Risk premium and rough volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

First passage percolation on Erdős-Rényi graphs with general weights
by: Daly, Fraser, et al.
Published: (2023)

The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
by: Sauri, Orimar
Published: (2024)

Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
by: Friesen, Martin, et al.
Published: (2024)

Limit theorems for anisotropic functionals of stationary Gaussian fields with Gneiting covariance function
by: Leonenko, Nikolai, et al.
Published: (2026)

On rate of convergence to the Poisson law of the number of cycles in the generalized random graphs
by: Bobkov, Sergey G., et al.
Published: (2021)

Fluctuations of $λ$-geodesic Poisson hyperplanes in hyperbolic space
by: Kabluchko, Zakhar, et al.
Published: (2022)

A quantitative central limit theorem for Poisson horospheres in high dimensions
by: Kabluchko, Zakhar, et al.
Published: (2023)

Stochastic Volterra Equations for Local Times of Spectrally Positive Lévy Processes with Gaussian Components
by: Xu, Wei
Published: (2024)