Blanka Horvath 

Imperial College London

Currently I am an Honorary Lecturer in the Department of Mathematics at Imperial College London (Personal Web Page at Imperial College). 

My research interests are in the area of Stochastic Analysis and Mathematical Finance. They include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

    Short CV

Between 03/2016 and 09/2017 I was PI of the SNSF project 165248. The research project is focussed around model risk and implied volatility surface dynamics with a particular emphasis on `Rough Volatility Models'. 

The research is carried out at Imperial College London in collaboration with TU Berlin, the Weierstrass Institute for Applied Analysis and Stochastics and Ohio University and is funded by the Swiss National Science Foundation.

I am currently teaching (Statistical Methods, Numerical Methods) in the MSc in Mathematics and Financeorganising the Finance and Stochastic Seminar of the Mathematical Finance Group at Imperial College and I am organiser of the Practitioners' Lecture Series.



Office: Huxley Building 6M 20, Department of Mathematics, Imperial College London, Queen's Gate 180, London SW7 2AZ.

EmailLinked inPWP at Imperial College

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News and Upcoming Events

February 2018: Pricing and Hedging Volatility options in rough volatility models by B. Horvath, A. Jacquier and P. Tankov was posted: ArXivSSRN

Nov 2017:  Functional central limit theorems for rough volatility by B. Horvath, A. Jacquier and A. Muguruza was posted: ArXiv.

Aug 2017: Asymptotic behaviour of randomised fractional volatility models by B. Horvath, A. Jacquier and C. Lacombe was posted on ArXiv link.

March 2017: Short-time near-the-money skew in rough fractional volatility models by C. Bayer, P. K. Friz, A. Gulisashvili, B. Horvath, B. Stemper was posted on ArXiv link.

The International Workshop on Applied Probability (IWAP 2018) is a four-day workshop to be held between the 18th and 21st June, 2018 in Budapest (Hungary). IWAP is a biennial series of conferences launched in 2002 with the aim of fostering the exchange of ideas between different areas of applied probability. The 2018 Conference in Budapest will provide opportunities for presentations on a wide range of theoretical and applied topics. For details, please visit the conference website 9th International Workshop on Applied Probability. Contact for further queries b.horvath@imperial.ac.uk.

The Practitioners' Lecture Series is an initiative at Imperial College London within the MSc in Mathematics and Finance programme. It is aimed at engaging students (MSc and PhD) in a wide range of up-to-date topics and trends with direct industry relevance, reaching beyond the core contents of the MSc. Further details can be found here. For any queries please contact b.horvath@imperial.ac.uk.

A new generation of stochastic volatility models is a recent informal article (published in KNect365 Finance) with Antoine Jacquier on a related presentation at Global Derivatives in Barcelona, May 2017The corresponding Linked in article can be found here.

Events and activities in the Rough Volatility Network can be found here