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Blanka Horvath


Personal Information

ETH - D-MATH - Group 3 - Blanka Horvath

I am a Postdoctoral Fellow of the SNF Project Tractable Stopping Problems in Finance at ETH Zürich, with Josef Teichmann and Martin Larsson.


I completed my PhD under the supervision of Josef Teichmann and Johannes Muhle-Karbe.
Blanka Horvath

Contact

Blanka Horvath
Departement Mathematik
HG G 52.2
Rämistrasse 101
8092 Zürich
Switzerland

Email: blanka.horvath@math.ethz.ch
Phone: +41 44 632 2293
Room: HG G 49.2

Activities HS15


Teaching Assistant: Stochastik, with Prof. Josef Teichmann.
Link to the exercise platform.

Organizer: P/D seminar in Mathematical Finance schedule.



Research


Robust Methods for the SABR Model and Related Processes: Analysis, Asymptotics and Numerics,
PhD thesis, [PDF], ETH Zürich.

Dirichlet Forms and Finite Element Methods for the SABR Model [PDF]
with Oleg Reichmann.

Geometry and Time Change: Functional Analytic (Ir-)Regularity Properties of SABR-Type Processes [ PDF]
with Leif Döring and Josef Teichmann.

Mass at Zero and Small-Strike Implied Volatility Expansion in the SABR Model [PDF, arXiv, SSRN]
with Archil Gulisashvili and Antoine Jacquier.

Dynamics and Planar Representations of Translation Surfaces: The Face to Face Property.
Diploma Thesis [PDF] available upon request, or at Library of Mathematics, University of Bonn.