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Blanka Horvath 



and 





Currently I am Lecturer at King's College London in the Financial Mathematics group of the Department of Mathematics (Web Page at King's College) and Honorary Lecturer in the Department of Mathematics at Imperial College London (Web Page at Imperial College).  My 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 (fractional volatility models SABR-type models  in particular).
  • Laplace methods on Wiener space and heat kernel expansions.



Short CV

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

At Imperial College I was teaching in the MSc in Mathematics and Finance (Statistical Methods and Numerical Methods), I was organising the Finance and Stochastic Seminar (03/2016-04/2018) and the Practitioners' Lecture Series (10/2017-04/2018).


Professional Experience

  • 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)


Affiliations



Contact

Office: 5.35, Floor 5, King's College London, Strand Building, WC2R 2ND London

EmailLinked inPWP at Imperial College, PWP at King's College


News and Events




The Practitioners' Lecture Series is an initiative that started 2017 at Imperial College London within the MSc in Mathematics and Finance programme, 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.

It consists of short lectures (1-3 hrs length) given by practitioners working in the field with contents ranging from technical to more hands-on, or overviews, with a strong emphasis on the everyday applications and challenges. Topics include Algorithmic Differentiation, Regulation, Stress testing, Block Chain, Impact of Brexit, FinTech, Big Data and many more. 

Please contact blanka.horvath@kcl.ac.uk or b.horvath@imperial.ac.uk for further information regarding participation in lectures.

Slides of previous presentations can be downloaded here.





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