Deep Learning (Rough) Volatility - Blanka Horvath, Kings College London

The talk is based on the paper “Deep Learning Volatility“ (with Aitor Muguruza and Mehdi Tomas) available on ArXiv: and SSRN: About the speaker Blanka is a Honorary Lecturer in the Department of Mathematics at Imperial College London and a Lecturer at King’s College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance. Her interests include asymptotic and numerical metho