DrBlankaHorvath

• 9th International Workshop on Applied Probability (IWAP 2018), 18-21 June 2018, Budapest, Hungary (member of the scientific program committee).
• SIAM MMF 2017, SIAM - LMS 2017 Conference on Mathematical Modeling in Finance, 31 August, 2017, Imperial College, London (organiser of the mini-symposium "New challenges in (rough) volatility modelling").
• Organiser of the Finance and Stochastics Seminar, Imperial College London.
• Rough Volatility Meeting, Imperial College London, 7-8 October 2016 (co-organised together with Peter Friz, Jim Gatheral, Antoine Jacquier and Mathieu Rosenbaum).

RESEARCH

• [PDF] Asymptotic behaviour of randomised fractional volatility models (with Antoine Jacquier and Chloe Lacombe)
• [PDF] Short-time near the money skew in rough fractional stochastic volatility models (with Christian Bayer, Peter Friz, Archil Gulisashvili and Benjamin Stemper).
• [PDF] On the probability of hitting the boundary for Brownian motions on the SABR plane (with Archil Gulisashvili and Antoine Jacquier).
• [PDF] Functional analytic (ir-)regularity properties of SABR-type processes  
  (with Leif Döring and Josef Teichmann).
• [PDF] Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (with Archil Gulisashvili and Antoine Jacquier).
• [PDF] Dirichlet forms and finite element methods for the SABR model (with Oleg Reichmann). 
• 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.
  

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Collaborators

Christian Bayer, Leif Döring, Peter Friz, Archil Gulisashvili, Antoine Jacquier, Chloe Lacombe, Aitor Muguruza, Oleg Reichmann, Benjamin Stemper, Josef Teichmann.

REFERREEING ACTIVITIES

• Finance and Stochastics
• IISE Transactions
• Journal of Mathematical Analysis and Applications
• Mathematical Finance
• Quantitative Finance
• Stochastic Processes and their Applications
• SIAM Journal on Financial Mathematics

TALKS