Functional central limit theorems for rough volatility
Horvath, B
Jacquier, A
Muguruza, A
Sojmark, A
(08 Nov 2017)
doi:10.48550/arxiv.1711.03078
Dirichlet Forms and Finite Element Methods for the SABR Model
Horvath, B
Reichmann, O
(08 Jan 2018)
doi:10.48550/arxiv.1801.02719
Volatility options in rough volatility models
Horvath, B
Jacquier, A
Tankov, P
(05 Feb 2018)
doi:10.48550/arxiv.1802.01641
Deep Learning Volatility
Horvath, B
Muguruza, A
Tomas, M
(01 Jan 2019)
doi:10.2139/ssrn.3322085
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
(11 Feb 2015)
doi:10.48550/arxiv.1502.03254
On the probability of hitting the boundary for Brownian motions on the SABR plane
Gulisashvili, A
Horvath, B
Jacquier, A
(18 Oct 2016)
doi:10.48550/arxiv.1610.05636
Deep Learning Volatility
Horvath, B
Muguruza, A
Tomas, M
(28 Jan 2019)
doi:10.48550/arxiv.1901.09647
On deep calibration of (rough) stochastic volatility models
Bayer, C
Horvath, B
Muguruza, A
Stemper, B
Tomas, M
(22 Aug 2019)
doi:10.48550/arxiv.1908.08806
Sailing in rough waters: examining volatility of fMRI noise
Leppanen, J
Stone, H
Lythgoe, D
Williams, S
Horvath, B
doi:10.1101/2020.06.19.161570
Data Anonymisation, Outlier Detection and Fighting Overfitting with Restricted Boltzmann Machines
Kondratyev, A
Schwarz, C
Horvath, B
(01 Jan 2020)
doi:10.2139/ssrn.3526436