Blanka Horvath

Publication Activity (10 Years)

Years Active: 2018-2024
Publications (10 Years): 12

Top Topics

Finite Element Methods

Stochastic Process

Kernel Function

Top Venues

SIAM J. Financial Math.

J. Appl. Probab.

Publications

Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz
Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models. CoRR (2024)
Yannick Limmer, Anastasis Kratsios, Xuwei Yang, Raeid Saqur, Blanka Horvath
Reality Only Happens Once: Single-Path Generalization Bounds for Transformers. CoRR (2024)
Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi
Non-adversarial training of Neural SDEs with signature kernel scores. CoRR (2023)
Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi
Non-adversarial training of Neural SDEs with signature kernel scores. NeurIPS (2023)
Andrew Alden, Carmine Ventre, Blanka Horvath, Gordon Lee
Model-Agnostic Pricing of Exotic Derivatives Using Signatures. ICAIF (2022)
Blanka Horvath, Zacharia Issa, Aitor Muguruza
Clustering Market Regimes using the Wasserstein Distance. CoRR (2021)
Cristopher Salvi, Maud Lemercier, Chong Liu, Blanka Horvath, Theodoros Damoulas, Terry J. Lyons
Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes. NeurIPS (2021)
Blanka Horvath, Josef Teichmann, Zan Zuric
Deep Hedging under Rough Volatility. CoRR (2021)
Blanka Horvath, Antoine Jacquier, Peter Tankov
Volatility Options in Rough Volatility Models. SIAM J. Financial Math. 11 (2) (2020)
Hans Bühler, Blanka Horvath, Terry J. Lyons, Imanol Perez Arribas, Ben Wood
A Data-driven Market Simulator for Small Data Environments. CoRR (2020)
Blanka Horvath, Antoine Jacquier, Chloé Lacombe
Asymptotic behaviour of randomised fractional volatility models. J. Appl. Probab. 56 (2) (2019)
Blanka Horvath, Oleg Reichmann
Dirichlet Forms and Finite Element Methods for the SABR Model. SIAM J. Financial Math. 9 (2) (2018)