Dr Kathrin Glau

Lecturer in Financial Mathematics

Email: k.glau@qmul.ac.uk
Telephone: +44 (0)20 7882 2760
Room Number: Queens’ Building, Room: CB314
Website: http://www.maths.qmul.ac.uk/~kglau/
Office Hours: Thursday 2.00 - 3.00pm

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

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. nameOfConference

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. nameOfConference

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. nameOfConference

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. nameOfConference

10.1137/S0040585X97T987776

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