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
Mathematical Institute Oxford University,
Oxford Man Institute,
The Alan Turing Institute, Finance and Economics, Machine Learning in Finance Group
DataSig Research Group
Honorary lecturer at Mathematical Finance Group Imperial College, Stochastic Analysis Group Imperial College.
Member of Society for Industrial and Applied Mathematics.
Alumna of Deutscher Akademischer Austausch Dienst, Studienstiftung des Deutschen Volkes, HANIEL Stiftung.
News and Outreach:
It was a pleasure to contribute to Nature magazine on the occasion of the 50th anniversary of the Black & Scholes Formula. A free access link to the short article can be found here: 50 Years of Black&Scholes: Golden Jubilee for an Iconic Formula, Nature, May-June 2023
Book review: Mathematical Modeling and Computation in Finance
by Cornelis W. Oosterlee and Lech A. Grzelak.
with A. Gnoatto, Quantitative Finance ,Volume 22, 2022 - Issue 11 2022.
Contribution to the FaIR Advances Report 2021, August, 2020
Risk.net Podcast: Blanka Horvath and Gordon Lee on market generator models, March 2020
Honoured to receive the Quant Rising Star Award of Risk magazine at the Risk Awards, November 2019.
Shortlisted for the Research Paper of the Year at the RiskMinds Awards Decemper 2019.
K-Net Article: ``Building a Deep Neural Network", May 2019.
An interview for Fintech Capital Markets: Interview: using deep neural networks for derivatives pricing problems written by Anna Reitmann, April 2019.
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.
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.
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.
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.
Associate Professor in Mathematical and Computational Finance, University of Oxford (September 2022)
Tenure-track Assistant Professor in Mathematical Finance, Technical University of Munich (April 2021)
Lecturer, then Senior Lecturer in Financial Mathematics King's College London (September 2018)
MSc in Economics from the University of Hong Kong
Undergraduate studies at the University of Bonn in Mathematics and Economics.
Graduate of Deutsche Schule Budapest.
ML Consultant, UBS (2022)
Quantennium LTD (since 2019)
Quantitative Consultant for Merian Global Investors (London, September-June 2019)
Thalesians (London, since January 2019)
JP Morgan Chase (London, Apr-Sept 2018)
Zeliade Systems (Paris, Sept 2017)
AXA (Cologne, Nov 2010- Feb 2011)
LC International LTD (Hong Kong, May-Aug 2008)
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:
Machine Learning in Quantitative Finance Conference at the Oxford Man Institute, June 21-22, Worcester College, Oxford.
Frontiers in Quantitative Finance Seminar co-organised with Rama Cont and the Oxford Mathematical and Computational Finance Group and sponsored by CitiGroup and Mosaic SmartData
Mini course at OxML Machine Learning Summer School by AI for Global goals 8-12 July 2023, Oxford.
SIAM Conference on Financial Mathematics and Engineering (FM23) 6 - 9th June 2023, Philadelphia
Workshop on Model-free Mathematical Finance 25th May 2023, Imperial College London
Thalesians Seminar Hosted by G-Research 24th May 2023, G-Research, Whittington House, London
The 2nd Quantitative Finance Conference Spring Edition 17-19th May 2023, Canary Wharf, London
Workshop Organised: Next Generation Models of Financial Data, at Raitenhaslach, September 2021.
Workshops Organised on Market Generators: Generative Models for Financial Markets and Applications
Seminar Series: Breakfast briefings in Machine Learning in Finance at The Alan Turing Institute
Practitioners' Lectures: Hot topics from the industry
Workshops Organised: Perspectives from Academia and Industry: Synergies in Financial Research
For full details please visit: Events
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.