Imperial College London


Faculty of Natural SciencesDepartment of Mathematics

Teaching Fellow in Mathematical Finance







Huxley BuildingSouth Kensington Campus





Blanka is a Postdoctoral Fellow in the Department of Mathematics at Imperial College London. Her research interests are in the area of Stochastic Analysis and Mathematical Finance.

Her interests include asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.

Blanka completed her PhD in Financial Mathematics at ETH Z├╝rich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

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February 2018:

Pricing and Hedging: Volatility options in rough volatility models by B. Horvath, A. Jacquier and P. Tankov was posted: ArXivSSRN

Selected Publications

Journal Articles

Gulisashvili A, Horvath B, Jacquier A, 2016, On the probability of hitting the boundary for Brownian motions on the SABR plane, Electronic Communications in Probability, Vol:21, ISSN:1083-589X

More Publications