Blanka Horvath

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Functional central limit theorems for rough volatility Finance and Stochastics	2024-07-02	Paper
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach	2023-04-03	Paper
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes Quantitative Finance	2022-11-18	Paper
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models Quantitative Finance	2021-12-01	Paper
Volatility options in rough volatility models SIAM Journal on Financial Mathematics	2020-06-08	Paper
Short-time near-the-money skew in rough fractional volatility models Quantitative Finance	2019-09-26	Paper
Asymptotic behaviour of randomised fractional volatility models Journal of Applied Probability	2019-07-31	Paper
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics Quantitative Finance	2019-02-06	Paper
Dirichlet forms and finite element methods for the SABR model SIAM Journal on Financial Mathematics	2018-08-10	Paper
Functional central limit theorems for rough volatility	2017-11-08	Paper
Functional analytic (ir-)regularity properties of SABR-type processes International Journal of Theoretical and Applied Finance	2017-05-16	Paper
On the probability of hitting the boundary for Brownian motions on the SABR plane Electronic Communications in Probability	2016-12-21	Paper
On the probability of hitting the boundary for Brownian motions on the SABR plane Electronic Communications in Probability	2016-12-21	Paper

Research outcomes over time

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