Kathrin Glau

Available identifiers

zbMath Open glau.kathrinMaRDI QIDQ331362

List of research outcomes

Publication	Date of Publication	Type
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

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Kathrin Glau