Blanka Horvath
Associate Professor at University of Oxford/Honorary Lecturer at Imperial College London
Biography
Imperial College London
Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King's College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.
Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.
Blanka completed her PhD in Financial Mathematics at ETH Zürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.
Affiliations
- Academic women in Mathematics
- Mathematical Finance
- Mathematics honorary staff
Links
- College Directory
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Videos
Blanka Horvath, King's College London, on machine learning and volatility modelling
Blanka Horvath - A rough perspective on Modern Market Generators
MLI - Dimensionality Reduction Sample by Blanka Horvath
Deep Learning (Rough) Volatility - Blanka Horvath, Kings College London
Data analysis and stochastic control: where do statistics and applied probability come together?
Research in Options 2020 - Blanka Horvath - A Data-Driven Market Simulator for Small Data...
Horváth Blanka (King’s College and Imperial College London): Learning Rough Volatility
Courses Taught
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