Rome, 2020

Horvath Blanka

Deep Pricing and Hedging and Modern Market Generators

Lecturer in Financial Mathematics at King's College London and The Alan Turing Institute

 

Currently Blanka Horvath is Lecturer at King's College London in the Financial Mathematics group of the Department of Mathematics, a Visiting Researcher at the Alan Turing Institute and Honorary Lecturer in the Department of Mathematics at Imperial College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

They include:

  • Numerical methods as well as machine learning techniques for option pricing, forcasting and simulation.
  • Smile asymptotics for local- and stochastic volatility models (rough volatility models and SABR-type models in particular).
  • Laplace methods on Wiener space and heat kernel expansions.

Contacts

https://sites.google.com/site/blankanorahorvath/home