Dr Kathrin GlauSenior Lecturer in Financial MathematicsEmail: k.glau@qmul.ac.ukTelephone: +44 (0)20 7882 2760Room Number: Mathematical Sciences Building, Room: MB-526Website: http://www.maths.qmul.ac.uk/~kglau/Office Hours: Friday 1.30 - 2.30pmProfileResearchPublicationsProfile 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) ResearchResearch 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 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 nameOfConference. 10.21314/JCF.2021.014 https://qmro.qmul.ac.uk/xmlui/handle/123456789/74327 Glau K, Kressner D, Statti F (2020). Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing SIAM Journal on Financial Mathematics nameOfConference. doi https://qmro.qmul.ac.uk/xmlui/handle/123456789/65240 Glau K, Ricardo P, Christian P (2020). Speed-up credit exposure calculations for pricing and risk management Quantitative Finance nameOfConference. 10.1080/14697688.2020.1781236 https://qmro.qmul.ac.uk/xmlui/handle/123456789/65362 Glau K, Herold P, Madan DB et al. (2019). The chebyshev method for the implied volatility Journal of Computational Finance nameOfConference. 10.21314/JCF.2019.375 https://qmro.qmul.ac.uk/xmlui/handle/123456789/53326 BURKOVSKA O, GLAU KB, MAHLSTEDT, M et al. (2019). COMPLEXITY REDUCTION FOR CALIBRATION TO AMERICAN OPTIONS The Journal of Computational Finance nameOfConference. 10.21314/JCF.2019.367 https://qmro.qmul.ac.uk/xmlui/handle/123456789/58294 Glau K, Mahlstedt M, Pötz C (2019). A new approach for American option pricing: The dynamic Chebyshev method SIAM Journal on Scientific Computing nameOfConference. 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 nameOfConference. 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 nameOfConference. 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 nameOfConference. 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 nameOfConference. 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 nameOfConference. 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 nameOfConference. 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 and Its Applications nameOfConference. 10.1137/s0040585x97t987776 https://qmro.qmul.ac.uk/xmlui/handle/123456789/29097