The following pages link to Kathrin Glau (Q331362):
Displayed 22 items.
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- Absolute continuity of semimartingales (Q1722022) (← links)
- The deep parametric PDE method and applications to option pricing (Q2161843) (← links)
- Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
- Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations (Q2821763) (← links)
- Sobolev index: A classification of L\'evy processes (Q3161752) (← links)
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models (Q4553796) (← links)
- Calibration to American options: numerical investigation of the de-Americanization method (Q4554482) (← links)
- Variational Solutions of the Pricing PIDEs for European Options in Lévy Models (Q4586315) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models (Q4610206) (← links)
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
- A Unified View of LIBOR Models (Q4976510) (← links)
- Speed-up credit exposure calculations for pricing and risk management (Q4991089) (← links)
- Improved error bound for multivariate Chebyshev polynomial interpolation (Q5031713) (← links)
- Parametric integration by magic point empirical interpolation (Q5113337) (← links)
- Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (Q5131414) (← links)
- Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models (Q5198561) (← links)
- Martingale Property in Terms of Semimartingale Problems (Q6274041) (← links)
- Model reduction for calibration of American options (Q6279921) (← links)
- Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous L\'evy models (Q6361203) (← links)