Blanka N. Horvath

Associate Professor in Mathematical and Computational Finance, University of Oxford 

Associate Member of the Oxford MAN Institute

Member of the DataSig Research Group

Visiting Researcher at The Alan Turing Institute

Weblinks

Mathematical Institute Oxford University,   Oxford Man Institute
The Alan Turing Institute, DataSig Group.

Contact

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Address

Mathematical Institute, University of Oxford
Andrew Wiles Building, Radcliffe Observatory Quarter
Woodstock Road, OX2 6GG Oxford

Affiliations:

News and Outreach: 

Recent Preprints: See also: Publications


Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals with O.  Futter and M.  Wiese, August 2023.

A Hybrid Quantum Wasserstein GAN with Applications to Option Pricing
with F. D. Fuchs, July 2023.

Non-parametric Online Market Regime Detection and Regime Clustering for Multidimensional and Path-Dependent Data Structures with Z. Issa, June 2023.

Robust Hedging GANs with Y. Limmer, June 2023.

50 Years of Black&Scholes: Golden Jubilee for an Iconic Formula Nature magazine, May-June 2023.

Harnessing Quantitative Finance by Data-Centric Methods  with A. Muguruza Gonzalez, and M. S. Pakkanen,  in  Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices,  Edited: A. Capponi, C.-A. Lehalle, Cambridge University Press, May 2023.

Non-adversarial training of Neural SDEs with signature kernel scores with Z. Issa, M. Lemercier, C. Salvi.

ArXiv preprint arXiv:2305.16274, May 2023.

Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with M. Lemercier, C. Liu, T. Lyons, C. Salvi arXiv preprint arXiv:2304.01479, April 2023.

Model-Agnostic Pricing of Exotic Derivatives Using Signatures
with A. Alden, C. Ventre, G Lee: Proceedings of the Third ACM International Conference on AI in Finance, 96-104,  Nov 2022.

Higher order kernel mean embeddings to capture filtrations of stochastic processes,
C Salvi, M Lemercier, C Liu, B Horvath, T Damoulas, T Lyons, Advances in Neural Information Processing Systems 34, 16635-16647, Dec 2021.

Sailing in rough waters: examining volatility of fMRI noise, with J.Leppanen, H. Stone, D. J. Lythgoe and S. Williams.

Journal of Magnetic Resonance Imaging, Volume 78, Pages 69-79, May 2021.

Deep Hedging under Rough Volatility, with J. Teichmann and Zan Zuric, February 2021.

A data-driven market simulator for small data environments, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, June 2020. 


21 June 2023 – 22 June 2023 09:00-18:30

The Sultan Nazrin Shah Centre, Worcester College, University of Oxford


Link to Conference Webpage

Organisers:  Alvaro Cartea and Blanka Horvath and the
Oxford Man Institute (contact: Jen Desmond)

Short CV

Professional Experience


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Current and Recent Collaborators

Hans Buehler,  Owen Futter, Zacharia Issa,  Antoine Jacquier,  Alexei Kondratyev, Maud Lemercier, Chong Liu,  Terry Lyons,  Aitor Muguruza, Imanol Perez-Arribas, Cris Salvi, Thorsten Schmidt, Christian Schwarz, Mehdi Tomas,  Colin Turfus, Ben Wood,  Carmine Ventre, Josef Teichmann, Peter Tankov,  Yannick Limmer,  Andrew Alden, Gordon Lee, Adam Jones, Jonathan Plenk, Zan Zuric


Current and Upcoming Events: 

 Talks:

Past Events:

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Teaching, Supervision, and Examining:

A selection of possible thesis topics and ongoing theses completed under my supervision, as well as a list of completed theses: here

My most recent teaching activities (2017-2023) can be found here.


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