Blanka Horvath

Mathematical Institute, University of Oxford and Oxford Man Institute

Associate Professor

Andrew Wiles Building

Woodstock Road

Oxford, OX2 6GG

United Kingdom

  • Mathematical Institute, University of Oxford and Oxford Man Institute

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 2,728

SSRN RANKINGS

Top 2,728

in Total Papers Downloads

21,319

SSRN CITATIONS
Rank 17,698

SSRN RANKINGS

Top 17,698

in Total Papers Citations

37

CROSSREF CITATIONS

32

Scholarly Papers (19)

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
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Ecole Polytechnique
Downloads 5,172 (2,869)
Citation 36

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
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 2,931 (7,405)
Citation 2

Abstract:

Loading...

market generator, signatures, rough path theory, neural networks

3.

Lecture Notes Learning to Trade I: Statistical Hedging

Number of pages: 43 Posted: 18 Jul 2022
Hans Buehler and Blanka Horvath
XTX Markets and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 2,212 (11,569)

Abstract:

Loading...

Machine Learning, Hedging, Statistical Hedging

4.

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
XTX Markets and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 2,126 (12,343)

Abstract:

Loading...

Deep Hedging, AI Trader, Statistical Arbitrage, Reinforcement Learning

5.

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

Number of pages: 45 Posted: 18 Jul 2022 Last Revised: 02 Jan 2023
Hans Buehler and Blanka Horvath
XTX Markets and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 1,202 (29,455)

Abstract:

Loading...

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

6.

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
Mathematical Institute, University of Oxford and Oxford Man Institute, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 1,134 (32,150)
Citation 5

Abstract:

Loading...

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

7.

Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals

Number of pages: 41 Posted: 27 Aug 2023 Last Revised: 30 Aug 2023
Owen Futter, Blanka Horvath and Magnus Wiese
Imperial College London - Department of Mathematics, Mathematical Institute, University of Oxford and Oxford Man Institute and University of Kaiserslautern - Department of Mathematics
Downloads 997 (38,540)

Abstract:

Loading...

Mean-Variance Optimisation, Signature Methods, Data-Driven Methods, Dynamic Trading Strategies, Path-Dependent Signals, Statistical Arbitrage, Momentum Strategies, Stochastic Filtering

8.

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
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 988 (38,933)
Citation 10

Abstract:

Loading...

9.

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 Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 708 (61,499)
Citation 4

Abstract:

Loading...

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

10.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 23 Dec 2022
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Independent Researcher
Downloads 663 (66,788)
Citation 10

Abstract:

Loading...

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

11.

Clustering Market Regimes Using the Wasserstein Distance

Number of pages: 37 Posted: 25 Oct 2021
Blanka Horvath, Zach Issa and Aitor Muguruza
Mathematical Institute, University of Oxford and Oxford Man Institute, King’s College London - Faculty of Natural and Mathematical Sciences and Imperial College London
Downloads 632 (71,040)

Abstract:

Loading...

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

12.

Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures

Number of pages: 65 Posted: 28 Jun 2023 Last Revised: 06 Jul 2023
Blanka Horvath and Zach Issa
Mathematical Institute, University of Oxford and Oxford Man Institute and King’s College London - Faculty of Natural and Mathematical Sciences
Downloads 610 (74,239)

Abstract:

Loading...

Stochastic processes, signatures, regime classification, regime detection, unsupervised learning

13.

Robust Hedging GANs

Number of pages: 47 Posted: 26 Jun 2023
Yannick Limmer and Blanka Horvath
University of Oxford - Oxford-Man Institute of Quantitative Finance and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 558 (83,178)

Abstract:

Loading...

Deep Hedging, Model Uncertainty, Knightian Uncertainty, Robust Optimization, Signature-MMD, Rough Paths, Generative Adversarial Networks

14.

A Hybrid Quantum Wasserstein GAN with Applications to Option Pricing

Number of pages: 47 Posted: 25 Jul 2023
Felix Fuchs and Blanka Horvath
Technische Universität München (TUM) - Chair of Mathematical Finance and Mathematical Institute, University of Oxford and Oxford Man Institute
Downloads 431 (113,322)

Abstract:

Loading...

Quantum Generative Adversarial Networks, Option Pricing, Machine Learning, Quantum Computing, Hybrid Quantum Wasserstein GAN

15.

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, Mathematical Institute, University of Oxford and Oxford Man Institute and Imperial College London
Downloads 378 (131,824)
Citation 6

Abstract:

Loading...

SABR model, asymptotic expansions, implied volatility

16.

Volatility Options in Rough Volatility Models

Number of pages: 29 Posted: 16 Feb 2018
Blanka Horvath, Antoine (Jack) Jacquier and Peter Tankov
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and ENSAE, Institut Polytechnique de Paris
Downloads 285 (178,411)
Citation 6

Abstract:

Loading...

rough volatility, VIX smile, Monte Carlo, Volterra process

17.

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
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Imperial College London
Downloads 189 (264,354)
Citation 14

Abstract:

Loading...

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

18.

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
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Imperial College London
Downloads 58 (594,299)
Citation 8

Abstract:

Loading...

Rough volatility, large deviations, implied volatility asymptotics

19.

Functional Analytic (Ir-)Regularity Properties of SABR-type Processes

Number of pages: 33 Posted: 10 Jan 2017
Leif Döring, Blanka Horvath and Josef Teichmann
University of Mannheim - School of Mathematics and Computer Science, Mathematical Institute, University of Oxford and Oxford Man Institute and ETH Zurich
Downloads 45 (664,592)
Citation 1

Abstract:

Loading...

SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms