School of Mathematical Sciences

Dr Kathrin Glau

Kathrin

Lecturer in Financial Mathematics

Email: k.glau@qmul.ac.uk
Telephone: +44 (0)20 7882 2760
Room Number: Mathematical Sciences Building, Room: MB-526
Website: http://www.maths.qmul.ac.uk/~kglau/
Office Hours: Friday 1.30 - 2.30pm

Profile

Research Areas

Financial Data Analysis; Mathematical Finance; Stochastic Processes; Numerical Analysis

 

Team

Dr. Linus Wunderlich (Postdoctoral Researcher)

Christian Pötz (PhD student)

Domagoj Demeterfi (PhD student)

Research

Research Interests:

Financial data and low-rank tensor techniques: Boosting data-driven machine learning algorithms, creation of synthetic datasets, storing and processing large financial datasets, approximation of high-dimensional nonlinear data, modelling.


Function approximation methods: Fourier transform, Partial (integral) differential equations, reduced basis, interpolation, sparse grids, low-rank tensor approximation, deep neural networks, Monte Carlo, kernel learning,...

Modelling with stochastic processes:  modelling with semimartingales, particularly Lévy processes

Applications in Finance:  pricing, hedging, calibration, credit exposure calculation, 

Publications