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 Zürich 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.
Upcoming Conference: SIAM-LMF Conference on Mathematical Modelling in Finance. Mini-Symposium New Challenges in Rough Volatility Modelling.
CURRENT RESEARCH PROJECT
Blanka is currently principal investigator of the SNSF project 165248. The research project is focussed around model risk and implied volatility surface dynamics with a particular emphasis on `Rough Volatility Models'.
A brief outline to volatility modelling via rough volatility can be found here: ROUGH VOLATILITY MODELS
The research is carried out at Imperial College London in collaboration with TU Berlin, the Weierstrass Institute for Applied Analysis and Stochastics and Ohio University and is funded by the Swiss National Science Foundation.
Events & ACTIvities Organised
- 9th International Workshop on Applied Probability (IWAP 2018), 18-21 June 2018, Budapest, Hungary (member of the scientific program committee).
- SIAM MMF 2017, SIAM - LMS 2017 Conference on Mathematical Modeling in Finance, 31 August, 2017, Imperial College, London (organiser of the mini-symposium "New challenges in rough volatility modelling"). Abstracts and further details can be found here.
- Organiser of the Finance and Stochastics Seminar, Imperial College London.
Slides of the most recent seminar talks can be found below, slides of previous seminar talks can be found here.
- Rough Volatility Meeting, Imperial College London, 7-8 October 2016 (co-organised together with Peter Friz, Jim Gatheral, Antoine Jacquier and Mathieu Rosenbaum).
FINANCE AND STOCHASTICS SEMINARS (SUMMER 2017)
- June 14th 2017: Peter Austing
Simplifying Exotics [Slides]
- June 7th 2017: Tomasz Bielecki
Dependence between components of multivariate Markov chains [Slides]
- May 24th 2017: Yuchong Zhang
Mean Field Competition with Rank-Dependent Payoffs
- May 18th 2017: Mark Podoskij
Estimation methods for rough models
- May 3rd 2017: Rüdiger Kiesel
Modelling day-ahead and intraday electricity markets