On the probability of hitting the boundary for Brownian motions on the SABR plane
Gulisashvili, A
Horvath, B
Jacquier, A
Electronic Communications in Probability
volume 21
issue none
(01 Jan 2016)
Dirichlet Forms and Finite Element Methods for the SABR Model
Horvath, B
Reichmann, O
SIAM Journal on Financial Mathematics
volume 9
issue 2
716-754
(31 Jan 2018)
Volatility Options in Rough Volatility Models
Horvath, B
Jacquier, A
Tankov, P
SIAM Journal on Financial Mathematics
volume 11
issue 2
437-469
(27 Jan 2020)
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
Quantitative Finance
volume 18
issue 10
1753-1765
(03 Oct 2018)
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, B
Muguruza, A
Tomas, M
Quantitative Finance
volume 21
issue 1
11-27
(02 Jan 2021)
FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES
DÖRING, L
HORVATH, B
TEICHMANN, J
International Journal of Theoretical and Applied Finance
volume 20
issue 03
1750013
(24 May 2017)
Clustering market regimes using the Wasserstein distance
Horvath, B
Issa, Z
Muguruza, A
The Journal of Computational Finance
(2024)
Large deviations-based upper bounds on the expected relative length of longest common subsequences
Hauser, R
Martínez, S
Matzinger, H
Advances in Applied Probability
volume 38
issue 3
827-852
(01 Sep 2006)
Inferring the Composition of a Trader Population in a Financial Market
Gupta, N
Hauser, R
Johnson, N
(06 Jun 2007)
Using Artificial Market Models to Forecast Financial Time-Series
Gupta, N
Hauser, R
Johnson, N
(15 Jun 2005)