Dr Kathrin Glau

Research

Publications

• Glau K, Mahlstedt M, Pötz C (2019). A new approach for American option pricing: The dynamic Chebyshev method SIAM Journal on Scientific Computing.

  10.1137/18M1193001

  https://qmro.qmul.ac.uk/xmlui/handle/123456789/53338
• GLAU KB, Gaß M (2018). A Flexible Galerkin Scheme for Option Pricing in Lévy Models SIAM Journal on Financial Mathematics.

  10.1137/16M1070438

  https://qmro.qmul.ac.uk/xmlui/handle/123456789/40603
• Gaß M, GLAU KB, Mahlstedt M et al. (2018). Chebyshev Interpolation for Parametric Option Pricing Finance and Stochastics.

  10.1007/s00780-018-0361-y

  https://qmro.qmul.ac.uk/xmlui/handle/123456789/29098
• Burkovska O, Gaß M, GLAU KB et al. (2018). Calibration to American Options: Numerical Investigation of the de–Americanization Method Quantitative Finance.

  10.1080/14697688.2017.1417622

  https://qmro.qmul.ac.uk/xmlui/handle/123456789/31445
• GASS M, GLAU KB (2017). Parametric Integration by Magic Point Empirical Interpolation IMA Journal of Numerical Analysis.

  10.1093/imanum/drx072

  https://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 SIAM Journal on Financial Mathematics.

  10.1137/16M1101301

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

  10.1007/s00780-016-0301-7

  https://qmro.qmul.ac.uk/xmlui/handle/123456789/29091
• Glau K (2016). Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations Theory of Probability & Its Applications.

  10.1137/s0040585x97t987776

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