AI ethics in the financial sector
Tuesday 16 Jul 2019 - Wednesday 17 Jul 2019
Time: 09:30 - 17:30
Bio
Blanka Horvath is a Lecturer at King's College London in the Financial Mathematics group, and an Honorary Lecturer in the Department of Mathematics at Imperial College London.
Blanka holds a PhD in Financial Mathematics from ETH Zurich, a postgraduate degree (Diplom) in Mathematics from the University of Bonn, and an MSc in Economics from The University of Hong Kong. In her research she lays a particular emphasis on the applicability of her research and maintains close collaborations with the industry, including: JP Morgan, Deutsche Bank, Zeliade Systems and AXA.
Research interests
Her research interests are in the area of stochastic analysis and mathematical finance. They include (but not limited to)
- Numerical methods as well as machine learning techniques for option pricing, forecasting and simulation.
- Laplace methods on Wiener space and heat kernel expansions.
- Smile asymptotics for local- and stochastic volatility models with a particular emphasis on rough volatility models and also SABR-type models.
