Risk.net awarded its Rising Star quantitative finance award in 2020 to Dr Blanka Horvath of the Department of Mathematics and PhD students from the Ecole Polytechnique and Imperial College. Dr Horvath’s research explores the properties of stochastic processes - mathematical objects usually defined as families of random variables – used to model the dynamics of financial markets.

The research carried out at King’s has led to the development of new, deep-learning-based algorithms that can efficiently and accurately calculate derivative prices for modern market models that are challenging to handle computationally with traditional techniques. These algorithms can be used for both standard models that are already part of financial firms’ quantitative libraries and for the modern class of ‘rough volatility’ models. The research means market models of financial institutions can run up to 30,000 times faster than before, allowing them to be used as practical tools in the finance industry for the first time.

The emergence of the new algorithms has led to change in risk management and trading practices across the industry.

 Organisations which have implemented Dr Horvath’s research and changed their practices include banks, fund management companies, and financial education and consulting firms.