Blanka Horvath

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Research activity per year

13 Article
2 Conference contribution
1 Comment/debate
1 Conference article

13 results

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2025
Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
Limmer, Y. & Horvath, B., 2025, (Accepted/In press) In: Applied Mathematical Finance.
Research output: Contribution to journal › Article › peer-review

Open Access
2024
Clustering market regimes using the Wasserstein distance
Horvath, B., Issa, Z. & Muguruza, A., Jun 2024, In: Journal of Computational Finance. 28, 1, p. 1-39 39 p.
Research output: Contribution to journal › Article › peer-review

Open Access
1 Scopus citations
Functional central limit theorems for rough volatility
Horvath, B., Jacquier, A., Muguruza, A. & Søjmark, A., 2024, (Accepted/In press) In: Finance and Stochastics.
Research output: Contribution to journal › Article › peer-review

Open Access
2021
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

Open Access
18 Scopus citations
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, B., Muguruza, A. & Tomas, M., 2021, In: Quantitative Finance. 21, 1, p. 11-27 17 p.
Research output: Contribution to journal › Article › peer-review

Open Access
66 Scopus citations
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

Open Access
1 Scopus citations
2020
Volatility options in rough volatility models
Horvath, B., Jacquier, A. & Tankov, P., 2020, In: SIAM Journal on Financial Mathematics. 11, 2, p. 437-469 33 p.
Research output: Contribution to journal › Article › peer-review

Open Access
25 Scopus citations
2019
Asymptotic behaviour of randomised fractional volatility models
Horvath, B., Jacquier, A. & Lacombe, C., 1 Jun 2019, In: Journal of Applied Probability. 56, 2, p. 496-523 28 p.
Research output: Contribution to journal › Article › peer-review
12 Scopus citations
Short-time near-the-money skew in rough fractional volatility models
Bayer, C., Friz, P. K., Gulisashvili, A., Horvath, B. & Stemper, B., 4 May 2019, In: Quantitative Finance. 19, 5, p. 779-798 20 p.
Research output: Contribution to journal › Article › peer-review

Open Access
42 Scopus citations
2018
Dirichlet forms and finite element methods for the SABR Model
Horvath, B. & Reichmann, O., 2018, In: SIAM Journal on Financial Mathematics. 9, 2, p. 716-754 39 p.
Research output: Contribution to journal › Article › peer-review

Open Access
3 Scopus citations
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A., Horvath, B. & Jacquier, A., 3 Oct 2018, In: Quantitative Finance. 18, 10, p. 1753-1765 13 p.
Research output: Contribution to journal › Article › peer-review

Open Access
8 Scopus citations
2017
Functional analytic (ir-)regularity properties of sabr-type processes
Döring, L., Horvath, B. & Teichmann, J., 1 May 2017, In: International Journal of Theoretical and Applied Finance. 20, 3, 1750013.
Research output: Contribution to journal › Article › peer-review

Open Access
4 Scopus citations
2016
On the probability of hitting the boundary for brownian motions on the SABR plane
Gulisashvili, A., Horvath, B. & Jacquier, A., 2016, In: Electronic Communications in Probability. 21
Research output: Contribution to journal › Article › peer-review

Open Access
8 Scopus citations

Blanka Horvath

Research output

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