Blanka Horvath

Honorary Lecturer in Mathematical Finance King's College London

Dr Blanka Horvath is a Lecturer in Financial Mathematics at King’s College London and a Visiting Researcher at The Alan Turing Institute co-leadig the machine learning in finance theme.

Blanka obtained her PhD in Financial Mathematics from ETH Zurich, developing arbitrage-free asymptotic and numerical pricing methods for the SABR model and other degenerate stochastic models. She also holds an MSc in pure Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong. 

Between 2016-2018 Blanka held an early career grant of the Swiss National Scientific Foundation for a postdoctoral research project at Imperial College London, exploring asymptotic and numerical aspects of Rough Volatility models. Between April to September 2018 she joined the Quantitative Research team at JP Morgan to work on extending the Deep Hedging framework. Currently, as a co-lead of the machine learning in finance theme she is working on consistent and controllable extensions of quantitative modelling into the next generation.