Kathrin Glau

Available identifiers

zbMath Open glau.kathrinMaRDI QIDQ331362

List of research outcomes

Publication	Date of Publication	Type
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk	2024-06-04	Paper
The deep parametric PDE method and applications to option pricing	2022-08-05	Paper
Improved error bound for multivariate Chebyshev polynomial interpolation	2022-02-16	Paper
Speed-up credit exposure calculations for pricing and risk management	2021-06-02	Paper
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous L\'evy models	2021-02-21	Paper
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing	2020-11-07	Paper
Parametric integration by magic point empirical interpolation	2020-06-04	Paper
A New Approach for American Option Pricing: The Dynamic Chebyshev Method	2019-03-13	Paper
Absolute continuity of semimartingales	2019-02-14	Paper
Calibration to American options: numerical investigation of the de-Americanization method	2018-11-14	Paper
A Flexible Galerkin Scheme for Option Pricing in Lévy Models	2018-10-31	Paper
Variational Solutions of the Pricing PIDEs for European Options in Lévy Models	2018-09-12	Paper
Chebyshev interpolation for parametric option pricing	2018-07-16	Paper
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models	2018-04-06	Paper
Magic Points in Finance: Empirical Integration for Parametric Option Pricing	2018-03-12	Paper
A Unified View of LIBOR Models	2017-07-31	Paper
Model reduction for calibration of American options	2016-11-19	Paper
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates	2016-10-27	Paper
Classification of Lévy processes with parabolic Kolmogorov backward equations	2016-09-23	Paper
Martingale Property in Terms of Semimartingale Problems	2016-05-27	Paper
Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models	2011-08-08	Paper
Sobolev index: A classification of L\'evy processes	2010-10-18	Paper
Analysis of Fourier Transform Valuation Formulas and Applications	2010-09-21	Paper

Research outcomes over time

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