Blanka Horvath

ETH Zürich - Department of Mathematics

R¨amistrasse 101

Raemistr. 101

Z¨urich, 8092

Switzerland

  • ETH Zürich - Department of Mathematics

SCHOLARLY PAPERS

14

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31

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33

Scholarly Papers (14)

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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 4,351 (3,145)
Citation 33

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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 2,088 (10,553)
Citation 2

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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 (31,026)
Citation 1

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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 767 (46,392)
Citation 4

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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 576 (67,311)
Citation 4

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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 (95,947)
Citation 11

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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 387 (110,252)

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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 (120,837)
Citation 6

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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 322 (132,535)

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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 289 (151,046)

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Deep Hedging, AI Trader, Statistical Arbitrage, Reinforcement Learning

11.

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 (174,212)
Citation 5

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rough volatility, VIX smile, Monte Carlo, Volterra process

12.

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 240 (178,478)

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

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 (271,742)
Citation 15

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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 (567,960)
Citation 8

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Rough volatility, large deviations, implied volatility asymptotics