Blanka Horvath

ETH Zürich - Department of Mathematics

R¨amistrasse 101

Raemistr. 101

Z¨urich, 8092

Switzerland

  • ETH Zürich - Department of Mathematics

SCHOLARLY PAPERS

9

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13

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Scholarly Papers (9)

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1.

Deep Learning Volatility

Number of pages: 41 Posted: 07 Feb 2019 Last Revised: 28 Feb 2019
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
ETH Zürich - Department of Mathematics, Imperial College London and Ecole Polytechnique
Downloads 2,318 (6,338)
Citation 16

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

2.

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 309 (107,103)
Citation 4

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SABR model, asymptotic expansions, implied volatility

3.

Generating financial markets with signatures

Number of pages: 13
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 297

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market generator, signatures, rough path theory, neural networks

4.

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
Standard Chartered Bank, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 189 (174,657)
Citation 2

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

5.

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 Paris
Downloads 183 (179,836)
Citation 2

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rough volatility, VIX smile, Monte Carlo, Volterra process

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 127 (243,240)
Citation 7

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

7.

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 73 (349,613)
Citation 5

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

8.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 27 Posted: 14 Jul 2020
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 54 (414,322)

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9.

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 34 (487,487)
Citation 7

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Rough volatility, large deviations, implied volatility asymptotics