Dr Kathrin Glau

Research

Publications

• Burkovska O, Gaß M, GLAU KB et al. (2018). Calibration to American Options: Numerical Investigation of the de–Americanization Method.

  10.1080/14697688.2017.1417622

  http://qmro.qmul.ac.uk/xmlui/handle/123456789/31445
• GASS M, GLAU KB (2017). Parametric Integration by Magic Point Empirical Interpolation.

  10.1093/imanum/drx072

  http://qmro.qmul.ac.uk/xmlui/handle/123456789/28424
• Gaß M, Glau K, Mair M (2017). Magic Points in Finance: Empirical Integration for Parametric Option Pricing.

  10.1137/16M1101301

  http://qmro.qmul.ac.uk/xmlui/handle/123456789/29090
• Glau K (2016). A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates.

  10.1007/s00780-016-0301-7

  http://qmro.qmul.ac.uk/xmlui/handle/123456789/29091
• Glau K (2016). Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations.

  10.1137/S0040585X97T987776

  http://qmro.qmul.ac.uk/xmlui/handle/123456789/29097