Prof. Dr. Blanka Horvath
Technische Universität München
Professur für Finanzmathematik (Prof. Horvath)
85748 Garching b. München
Blanka Horvath studied mathematics and economics at the University of Bonn. During a stay abroad, sponsored by the Haniel Foundation and the Studienstiftung, she completed her studies in economics at the University of Hong Kong. She completed her mathematics studies at the University of Bonn with a focus on differential geometry, followed by her doctoral studies at the ETH Zurich in financial mathematics, with a special focus on the geometry, asymptotics and numerics of financial mathematical models. After her postdoctoral stay at Imperial College London, funded by the Swiss National Science Foundation (SNSF), and various shorter assignments in the financial industry (AXA Group, Zeliade Systems, JP Morgan, Merian Global Investors, Thalesians, Quantennium), Blanka Horvath accepted the lectureship (Lecturer, tenure track Assistant Professor) in Financial Mathematics at King's College London in 2018 and became a senior member of the Machine Learning in Financial Mathematics Interest Group at the Alan Turing Institute in 2019. Blanka Horvath's current research interests focus on asymptotic and numerical properties of stochastic volatility models, in particular models with rough paths (rough volatility), as well as using generative methods -across models- to generate synthetic financial market data. For her contributions to the calibration of (rough) stochastic volatility models with deep neural networks, she received the Rising Star Award from Risk Magazine in 2020. Blanka Horvath was appointed Professor at the Chair of Financial Mathematics at the Technical University of Munich in April 2021.