Blanka Horvath

ETH Zürich - Department of Mathematics

R¨amistrasse 101

Raemistr. 101

Z¨urich, 8092

Switzerland

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 8,320

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Top 8,320

in Total Papers Downloads

6,920

SSRN CITATIONS
Rank 17,201

SSRN RANKINGS

Top 17,201

in Total Papers Citations

33

CROSSREF CITATIONS

31

Scholarly Papers (10)

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 3,303 (4,169)
Citation 30

Abstract:

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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
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 1,013 (27,299)
Citation 2

Abstract:

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market generator, signatures, rough path theory, neural networks

3.

Deep Hedging under Rough Volatility

Number of pages: 25 Posted: 18 Feb 2021
Blanka Horvath, Josef Teichmann and Zan Zuric
ETH Zürich - Department of Mathematics, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 727 (43,134)

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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
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 489 (71,846)
Citation 3

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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
Standard Chartered Bank, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 438 (82,046)
Citation 4

Abstract:

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

6.

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
Ohio University, ETH Zürich - Department of Mathematics and Imperial College London
Downloads 328 (113,860)
Citation 6

Abstract:

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SABR model, asymptotic expansions, implied volatility

7.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 13 Apr 2020
ETH Zürich - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 255 (148,116)
Citation 9

Abstract:

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

8.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
ETH Zürich - Department of Mathematics, Imperial College London and ENSAE, Institut Polytechnique de Paris
Downloads 217 (173,821)
Citation 4

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rough volatility, VIX smile, Monte Carlo, Volterra process

9.

Functional Central Limit Theorems for Rough Volatility

Number of pages: 30 Posted: 30 Nov 2017 Last Revised: 10 May 2019
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 112 (298,509)
Citation 13

Abstract:

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

10.

Asymptotic Behaviour of Randomised Fractional Volatility Models

Number of pages: 23 Posted: 07 Aug 2017 Last Revised: 15 Jun 2018
ETH Zürich - Department of Mathematics, Imperial College London and Imperial College London
Downloads 38 (522,301)
Citation 8

Abstract:

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Rough volatility, large deviations, implied volatility asymptotics