Blanka Horvath

Available identifiers

zbMath Open horvath.blankaMaRDI QIDQ727856

List of research outcomes

Publication	Date of Publication	Type
Functional central limit theorems for rough volatility	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	2022-11-18	Paper
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models	2021-12-01	Paper
Volatility options in rough volatility models	2020-06-08	Paper
Short-time near-the-money skew in rough fractional volatility models	2019-09-26	Paper
Asymptotic behaviour of randomised fractional volatility models	2019-07-31	Paper
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics	2019-02-06	Paper
Dirichlet forms and finite element methods for the SABR model	2018-08-10	Paper
Functional central limit theorems for rough volatility	2017-11-08	Paper
Functional analytic (ir-)regularity properties of SABR-type processes	2017-05-16	Paper
On the probability of hitting the boundary for Brownian motions on the SABR plane	2016-12-21	Paper

Research outcomes over time

This page was built for person: Blanka Horvath