Blanka Horvath

According to our database, Blanka Horvath authored at least 12 papers between 2018 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

Scalable Signature-Based Distribution Regression via Reference Sets.

Andrew Alden, Carmine Ventre, Blanka Horvath

CoRR, 2024

Filtered not Mixed: Stochastic Filtering-Based Online Gating for Mixture of Large Language Models.

Raeid Saqur, Anastasis Kratsios, Florian Krach, Yannick Limmer, Jacob-Junqi Tian, John Willes, Blanka Horvath, Frank Rudzicz

CoRR, 2024

Reality Only Happens Once: Single-Path Generalization Bounds for Transformers.

Yannick Limmer, Anastasis Kratsios, Xuwei Yang, Raeid Saqur, Blanka Horvath

CoRR, 2024

2023

Non-adversarial training of Neural SDEs with signature kernel scores.

Zacharia Issa, Blanka Horvath, Maud Lemercier, Cristopher Salvi

Proceedings of the Advances in Neural Information Processing Systems 36: Annual Conference on Neural Information Processing Systems 2023, 2023

2022

Model-Agnostic Pricing of Exotic Derivatives Using Signatures.

Andrew Alden, Carmine Ventre, Blanka Horvath, Gordon Lee

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

Clustering Market Regimes using the Wasserstein Distance.

Blanka Horvath, Zacharia Issa, Aitor Muguruza Gonzalez

CoRR, 2021

Deep Hedging under Rough Volatility.

Blanka Horvath, Josef Teichmann, Zan Zuric

CoRR, 2021

Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes.

Cristopher Salvi, Maud Lemercier, Chong Liu, Blanka Horvath, Theodoros Damoulas, Terry J. Lyons

Proceedings of the Advances in Neural Information Processing Systems 34: Annual Conference on Neural Information Processing Systems 2021, 2021

2020

Volatility Options in Rough Volatility Models.

Blanka Horvath, Antoine Jacquier, Peter Tankov

SIAM J. Financial Math., 2020

A Data-driven Market Simulator for Small Data Environments.

Hans Bühler, Blanka Horvath, Terry J. Lyons, Imanol Pérez Arribas, Ben Wood

CoRR, 2020

2019

Asymptotic behaviour of randomised fractional volatility models.

Blanka Horvath, Antoine Jacquier, Chloé Lacombe

J. Appl. Probab., 2019

2018

Dirichlet Forms and Finite Element Methods for the SABR Model.

Blanka Horvath, Oleg Reichmann

SIAM J. Financial Math., 2018