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Dr Blanka Horvath

  1. Volatility options in rough volatility models

    Horvath, B., Jacquier, A. & Tankov, P., 27 Apr 2020, In : SIAM Journal on Financial Mathematics. 11, 2, p. 437-469 33 p.

    Research output: Contribution to journalArticle

  2. Deep Learning Volatility

    Horvath, B., Muguruza, A. & Tomas, M., 22 Aug 2019, (Submitted) arXiv.

    Research output: Working paperPre-print

  3. Asymptotic behaviour of randomised fractional volatility models

    Horvath, B. N., Jacquier, A. & Lacombe, C., 2019, In : JOURNAL OF APPLIED PROBABILITY. 56, 2

    Research output: Contribution to journalArticle

  4. Short-time near-the-money skew in rough fractional volatility models

    Bayer, C., Friz, P. K., Gulisashvili, A., Horvath, B. N. & Stemper, B., 2019, In : Quantitative Finance. 19, 5, p. 779-798

    Research output: Contribution to journalArticle

  5. Dirichlet Forms and Finite Element Methods for the SABR Model

    Horvath, B. N. & Reichmann, O., 31 May 2018, In : SIAM Journal on Financial Mathematics. p. 716-754 2.

    Research output: Contribution to journalArticle

  6. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

    Gulisashvili, A., Horvath, B. N. & Jacquier, A., 22 Feb 2018, In : Quantitative Finance. 18, 10, p. 1753–1765

    Research output: Contribution to journalArticle

  7. FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES

    Doering, L., Horvath, B. N. & Teichmann, J., 7 Mar 2017, In : International Journal of Theoretical and Applied Finance. 20, 3, p. 48

    Research output: Contribution to journalArticle

  8. On the probability of hitting the boundary for Brownian motions on the SABR plane

    Gulisashvili, A., Horvath, B. N. & Jacquier, A., 27 Oct 2016, In : Electronic Communications in Probability. 21, 75, p. 1-13 13 p.

    Research output: Contribution to journalArticle

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