Publications: Dr Kathrin Glau
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 & Its Applications
vol. 60,
(3)
383-406.
