Blanka Horvath Dr Blanka Horvath Academics Supervisors Lecturer in Financial Mathematics Research subject areas Mathematics Contact details +44 020 7848 1382 blanka.horvath@kcl.ac.uk
Sailing in rough waters: Examining volatility of fMRI noise Leppanen, J., Stone, H., Lythgoe, D. J., Williams, S. & Horvath, B., May 2021, In: Magnetic Resonance Imaging. 78, p. 69-79 11 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1016/j.mri.2021.02.009 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models Horvath, B., Muguruza, A. & Tomas, M., 2 Jan 2021, In: Quantitative Finance. 21, 1, p. 11-27 17 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/14697688.2020.1817974 Deep hedging under rough volatility Horvath, B., Teichmann, J. & Žurič, Ž., 2021, In: Risks. 9, 7, 138. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.3390/risks9070138 Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes Salvi, C., Lemercier, M., Liu, C., Horvath, B., Damoulas, T. & Lyonsx, T., 2021, Advances in Neural Information Processing Systems 34 - 35th Conference on Neural Information Processing Systems, NeurIPS 2021. Ranzato, MA., Beygelzimer, A., Dauphin, Y., Liang, P. S. & Wortman Vaughan, J. (eds.). Neural information processing systems foundation, p. 16635-16647 13 p. (Advances in Neural Information Processing Systems; vol. 20). Research output: Chapter in Book/Report/Conference proceeding › Conference paper › peer-review Volatility options in rough volatility models Horvath, B., Jacquier, A. & Tankov, P., 27 Apr 2020, In: SIAM Journal on Financial Mathematics. 11, 2, p. 437-469 33 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/18M1169242 Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines Kondratyev, A., Schwarz, C. & Horvath, B., 27 Jan 2020, In: SSRN Electronic Journal. 2020, 27 p. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.2139/ssrn.3526436 Short-time near-the-money skew in rough fractional volatility models Bayer, C., Friz, P. K., Gulisashvili, A., Horvath, B. N. & Stemper, B., 4 May 2019, In: Quantitative Finance. 19, 5, p. 779-798 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/14697688.2018.1529420 Asymptotic behaviour of randomised fractional volatility models Horvath, B. N., Jacquier, A. & Lacombe, C., 2019, In: JOURNAL OF APPLIED PROBABILITY. 56, 2 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1017/jpr.2019.27 Dirichlet Forms and Finite Element Methods for the SABR Model Horvath, B. N. & Reichmann, O., 31 May 2018, (E-pub ahead of print) In: SIAM Journal on Financial Mathematics. p. 716-754 2. Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1137/16M1066117 Mass at zero in the uncorrelated SABR model and implied volatility asymptotics Gulisashvili, A., Horvath, B. N. & Jacquier, A., 22 Feb 2018, (E-pub ahead of print) In: Quantitative Finance. 18, 10, p. 1753–1765 Research output: Contribution to journal › Article › peer-review. DOIs: https://doi.org/10.1080/14697688.2018.1432883 View all publications
4 February 2020 Lecturer in Financial Mathematics Dr Blanka Horvath wins Risk.net Rising Star Award Dr Blanka Horvath, Lecturer in Financial Mathematics in the Department of Mathematics, has won the…