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ORCIDBlanka Horvath
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Journal Articles
- 2020
[j3]Blanka Horvath
, Antoine Jacquier, Peter Tankov:
Volatility Options in Rough Volatility Models. SIAM J. Financial Math. 11(2): 437-469 (2020)- 2019
- [j2]Blanka Horvath, Antoine Jacquier, Chloé Lacombe:
Asymptotic behaviour of randomised fractional volatility models. J. Appl. Probab. 56(2): 496-523 (2019) - 2018
- [j1]Blanka Horvath, Oleg Reichmann:
Dirichlet Forms and Finite Element Methods for the SABR Model. SIAM J. Financial Math. 9(2): 716-754 (2018)
Conference and Workshop Papers
- 2023
- [c3]Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi:
Non-adversarial training of Neural SDEs with signature kernel scores. NeurIPS 2023 - 2022
- [c2]Andrew Alden, Carmine Ventre, Blanka Horvath, Gordon Lee:
Model-Agnostic Pricing of Exotic Derivatives Using Signatures. ICAIF 2022: 96-104 - 2021
- [c1]Cristopher Salvi, Maud Lemercier, Chong Liu, Blanka Horvath, Theodoros Damoulas, Terry J. Lyons:
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes. NeurIPS 2021: 16635-16647
Editorship
- 2022
- [e1]Daniele Magazzeni, Senthil Kumar, Rahul Savani, Renyuan Xu, Carmine Ventre, Blanka Horvath, Ruimeng Hu, Tucker Balch, Francesca Toni:
3rd ACM International Conference on AI in Finance, ICAIF 2022, New York, NY, USA, November 2-4, 2022. ACM 2022, ISBN 978-1-4503-9376-8 [contents]
Informal and Other Publications
- 2024
- [i7]Yannick Limmer, Anastasis Kratsios, Xuwei Yang, Raeid Saqur, Blanka Horvath:
Reality Only Happens Once: Single-Path Generalization Bounds for Transformers. CoRR abs/2405.16563 (2024) - [i6]Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz:
Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models. CoRR abs/2406.02969 (2024) - 2023
- [i5]Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi:
Non-adversarial training of Neural SDEs with signature kernel scores. CoRR abs/2305.16274 (2023) - 2021
- [i4]Blanka Horvath, Josef Teichmann, Zan Zuric:
Deep Hedging under Rough Volatility. CoRR abs/2102.01962 (2021) - [i3]Cristopher Salvi, Maud Lemercier, Chong Liu, Blanka Horvath, Theodoros Damoulas, Terry J. Lyons:
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes. CoRR abs/2109.03582 (2021) - [i2]Blanka Horvath, Zacharia Issa, Aitor Muguruza Gonzalez:
Clustering Market Regimes using the Wasserstein Distance. CoRR abs/2110.11848 (2021) - 2020
- [i1]Hans Bühler, Blanka Horvath, Terry J. Lyons, Imanol Pérez Arribas, Ben Wood:
A Data-driven Market Simulator for Small Data Environments. CoRR abs/2006.14498 (2020)
Coauthor Index
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