Blanka Horvath

ETH Zürich - Department of Mathematics

R¨amistrasse 101

Raemistr. 101

Z¨urich, 8092

Switzerland

  • ETH Zürich - Department of Mathematics

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 5,316

SSRN RANKINGS

Top 5,316

in Total Papers Downloads

11,332

SSRN CITATIONS
Rank 16,903

SSRN RANKINGS

Top 16,903

in Total Papers Citations

31

CROSSREF CITATIONS

33

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

Deep Learning Volatility

Number of pages: 32 Posted: 07 Feb 2019 Last Revised: 20 Jul 2021
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
ETH Zürich - Department of Mathematics, Imperial College London and Ecole Polytechnique
Downloads 4,359 (3,138)
Citation 33

Abstract:

Loading...

Rough volatility, volatility modelling, Volterra process, machine learning, accurate price approximation, calibration, model assessment, Monte Carlo

2.

Generating Financial Markets With Signatures

Number of pages: 9 Posted: 28 Aug 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 2,093 (10,517)
Citation 2

Abstract:

Loading...

market generator, signatures, rough path theory, neural networks

3.

Deep Hedging under Rough Volatility

Swiss Finance Institute Research Paper No. 21-88
Number of pages: 27 Posted: 18 Feb 2021 Last Revised: 07 Dec 2021
Blanka Horvath, Josef Teichmann and Zan Zuric
ETH Zürich - Department of Mathematics, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 1,027 (31,066)
Citation 1

Abstract:

Loading...

Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning, Rough Volatility

4.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 12 Posted: 14 Jul 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 768 (46,373)
Citation 4

Abstract:

Loading...

5.

Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines

Number of pages: 27 Posted: 24 Feb 2020
Alexei Kondratyev, Christian Schwarz and Blanka Horvath
Abu Dhabi Investment Authority, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 579 (66,926)
Citation 4

Abstract:

Loading...

Restricted Boltzmann Machine, non-parametric sampling, synthetic data generation, data anonymisation, detection of outliers, reduction of overfitting

6.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 13 Apr 2020
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
ETH Zürich - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 430 (96,055)
Citation 11

Abstract:

Loading...

Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Caplet Pricing, Green’s Function

7.

Lecture Notes Learning to Trade I: Statistical Hedging

Number of pages: 43 Posted: 18 Jul 2022
Hans Buehler and Blanka Horvath
JP Morgan and ETH Zürich - Department of Mathematics
Downloads 409 (101,745)

Abstract:

Loading...

Machine Learning, Hedging, Statistical Hedging

8.

Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics

Number of pages: 15 Posted: 13 Feb 2015 Last Revised: 29 Nov 2016
Archil Gulisashvili, Blanka Horvath and Antoine (Jack) Jacquier
Ohio University, ETH Zürich - Department of Mathematics and Imperial College London
Downloads 351 (120,958)
Citation 6

Abstract:

Loading...

SABR model, asymptotic expansions, implied volatility

9.

Clustering Market Regimes Using the Wasserstein Distance

Number of pages: 37 Posted: 25 Oct 2021
Blanka Horvath, Zach Issa and Aitor Muguruza
ETH Zürich - Department of Mathematics, King's College London - Faculty of Natural and Mathematical Sciences and Imperial College London
Downloads 323 (132,246)

Abstract:

Loading...

Stochastic processes, numerical methods, stochastic volatility models, regime classification, unsupervised learning

10.

Lecture Notes Learning to Trade II: Deep Hedging

Number of pages: 53 Posted: 18 Jul 2022 Last Revised: 08 Aug 2022
Hans Buehler and Blanka Horvath
JP Morgan and ETH Zürich - Department of Mathematics
Downloads 306 (139,963)

Abstract:

Loading...

Deep Hedging, AI Trader, Statistical Arbitrage, Reinforcement Learning

11.

Lecture Notes Learning to Trade III: Deep Hedging with Impact, Deep Bellman Hedging, Open Research Questions

Number of pages: 45 Posted: 18 Jul 2022
Hans Buehler and Blanka Horvath
JP Morgan and ETH Zürich - Department of Mathematics
Downloads 251 (171,090)

Abstract:

Loading...

Deep Hedging, Deep Bellman Hedging, Bellman Equation, Dynamic Programming, Market Impact, Almgren-Chriss

12.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
Blanka Horvath, Antoine (Jack) Jacquier and Peter Tankov
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE, Institut Polytechnique de Paris
Downloads 246 (174,428)
Citation 5

Abstract:

Loading...

rough volatility, VIX smile, Monte Carlo, Volterra process

13.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
Blanka Horvath, Antoine (Jack) Jacquier and Aitor Muguruza
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 149 (272,023)
Citation 15

Abstract:

Loading...

functional limit theorems, Gaussian processes, invariance principles, fractional Brownian motion, rough volatility, binomial trees

14.

Asymptotic Behaviour of Randomised Fractional Volatility Models

Number of pages: 23 Posted: 07 Aug 2017 Last Revised: 15 Jun 2018
Blanka Horvath, Antoine (Jack) Jacquier and Chloe Lacombe
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 41 (568,580)
Citation 8

Abstract:

Loading...

Rough volatility, large deviations, implied volatility asymptotics