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Research
  1. Queen Mary University of London
  2. Research
  3. Publications

Publications: Dr Kathrin Glau

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Glau K, Gaß M ( 2022 ) . Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models . Journal of Computational Finance
Glau K, Kressner D, Statti F ( 2020 ) . Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing . SIAM Journal on Financial Mathematics
Glau K, Ricardo P, Christian P ( 2020 ) . Speed-up credit exposure calculations for pricing and risk management . Quantitative Finance
Glau K, Herold P, Madan DB, Pötz C ( 2019 ) . The chebyshev method for the implied volatility . Journal of Computational Finance vol. 23 , ( 3 ) 1 - 31 .
BURKOVSKA O, GLAU KB, MAHLSTEDT, M, WOHLMUTH B ( 2019 ) . COMPLEXITY REDUCTION FOR CALIBRATION TO AMERICAN OPTIONS . The Journal of Computational Finance
Glau K, Mahlstedt M, Pötz C ( 2019 ) . A new approach for American option pricing: The dynamic Chebyshev method . SIAM Journal on Scientific Computing vol. 41 , ( 1 ) B153 - B180 .
GLAU KB, Gaß M ( 2018 ) . A Flexible Galerkin Scheme for Option Pricing in Lévy Models . SIAM Journal on Financial Mathematics
Gaß M, GLAU KB, Mahlstedt M, Mair M ( 2018 ) . Chebyshev Interpolation for Parametric Option Pricing . Finance and Stochastics
Burkovska O, Gaß M, GLAU KB, Mahlstedt M, Schoutens W, Wohlmuth B ( 2018 ) . Calibration to American Options: Numerical Investigation of the de–Americanization Method . Quantitative Finance
GASS M, GLAU KB ( 2017 ) . Parametric Integration by Magic Point Empirical Interpolation . IMA Journal of Numerical Analysis
Gaß M, Glau K, Mair M ( 2017 ) . Magic Points in Finance: Empirical Integration for Parametric Option Pricing . SIAM Journal on Financial Mathematics vol. 8 , ( 1 ) 766 - 803 .
Glau K ( 2016 ) . A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates . Finance and Stochastics vol. 20 , ( 4 ) 1021 - 1059 .
Glau K ( 2016 ) . Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations . Theory of Probability and Its Applications vol. 60 , ( 3 ) 383 - 406 .
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