Research and Publications
Publications and preprints:
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
Non-adversarial training of Neural SDEs with signature kernel scores with Z. Issa, M. Lemercier, C. Salvi, arXiv:2305.16274, 2023
Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with M. Lemercier, C. Liu, T. Lyons, C. Salvi, April 2023.
Model-Agnostic Pricing of Exotic Derivatives Using Signatures, with A. Alden, C. Ventre, and G. Lee, Proceedings of the Third ACM International Conference on AI in Finance, 96-104, November 2022.
Clustering Market Regimes using the Wasserstein Distance, with Z. Issa and A. Muguruza, October 2021.
Higher Order Kernel Mean Embeddings to Capture Filatrations of Stochastic Processes, with C. Salvi, M. Lemercier, C. Liu, B. Horvath, T. Damoulas, and T. Lyons, June 2021.
Hedging under rough Volatility, with M. Fukasawa and P. Tankov, May 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 Z. Zuric, January 2021.
Generating financial markets with signatures, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, July 2020.
A data-driven market simulator for small data environments, with H. Buehler, T. Lyons, I Perez Arribas and B. Wood, June 2020.
Sailing in rough waters: examining volatility of fMRI noise, with J. Leppanen, H. Stone, D. J. Lythgoe and S. Williams, June 2020.
Data Anonymisation, Outlier Detection and Fighting Over tting with Restricted Boltzmann Machines with A. Kondratyev and C. Schwarz, January 2020.
On Deep Calibration of (Rough) Stochastic Volatility Models with C. Bayer, A. Muguruza, B. Stemper and M. Tomas, August 2019 [PDF].
Deep learning volatility (with Aitor Muguruza and Mehdi Tomas), January 2019 [PDF]
Asymptotic behaviour of randomised fractional volatility models (with Antoine Jacquier and Chloe Lacombe), Journal of Applied Probability, 56(2), 2019 [PDF].
Analytic option prices for the Black-Karasinski short rate model (with Colin Turfus and Antoine Jacquier), October 2018
Volatility options in rough volatility models (with Antoine Jacquier and Peter Tankov), February 2018 [PDF], submitted.
Functional central limit theorems for rough volatility (with Antoine Jacquier and Aitor Muguruza), November 2017 [PDF], submitted.
Short-time near the money skew in rough fractional stochastic volatility models (with Christian Bayer, Peter Friz, Archil Gulisashvili and Benjamin Stemper), Quantitative Finance, 19:5, 779-798, [PDF], DOI.
Functional analytic (ir-)regularity properties of SABR-type processes (with Leif Döring and Josef Teichmann), January 2017 [PDF], International Journal of Theoretical and Applied Finance Vol. 20, No. 3 (48 pages), 2017.
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (with Archil Gulisashvili and Antoine Jacquier), Quantitative Finance, November 2016 [PDF].
On the probability of hitting the boundary for Brownian motions on the SABR plane (with Archil Gulisashvili and Antoine Jacquier), October 2016 [PDF], Electronic Communications in Probability , 21(75): 1-13, 2016.
Dirichlet forms and finite element methods for the SABR model (with Oleg Reichmann), July 2016 [PDF], SIAM Journal on Financial Mathematics.
Review Articles:
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes: by Cornelis W. Oosterlee and Lech A. Grzelak, World Scientific, A. Gnoatto, B. Horvath, Quantitative Finance 22 (11), 1971-1972, October 2022.
Synthetic Data for Deep Learning, B. Horvath, Quantitative Finance 21 (9), 1435-1436, March 2022.
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading: by M. Bouzoubaa and A. Osseiran, John Wiley & Sons (2010). Hardback. ISBN 0470688033, B. Horvath, Quantitative Finance 22 (3), 423-425, September 2021.
Mathematics of the Bond Market: A Lévy Processes Approach: by Michał Barski and Jerzy Zabczyk, Cambridge University Press (2020). Hardback. ISBN 9781107101296., Z. Grbac, B. Horvath, Quantitative Finance 21 (8), 1263-1265, July 2021.
Theses:
Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics (with Josef Teichmann and Johannes Muhle-Karbe). PhD thesis, available at e-collection library, ETH Zürich.
Dynamics and Planar Representations of Translation Surfaces: The Face to Face Property (with Ursula Hamenstädt). Diploma Thesis, available at Mathematics Library, University of Bonn.
