Kathrin Glau

Identifiers

• name variant Kathrin Glau 0.60 · backfill

Papers (19)

1. Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation q-fin.CP · 2019 · author #1
2. Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing q-fin.CP · 2019 · author #1
3. A new approach for American option pricing: The Dynamic Chebyshev method q-fin.CP · 2018 · author #1
4. The Chebyshev method for the implied volatility q-fin.CP · 2017 · author #1
5. Absolute Continuity of Semimartingales math.PR · 2017 · author #2
6. Improved error bound for multivariate Chebyshev polynomial interpolation math.NA · 2016 · author #1
7. Model reduction for calibration of American options math.NA · 2016 · author #2
8. Calibration to American Options: Numerical Investigation of the de-Americanization q-fin.CP · 2016 · author #3
9. Martingale Property in Terms of Semimartingale Problems math.PR · 2016 · author #2
10. A Flexible Galerkin Scheme for Option Pricing in L\'evy Models q-fin.CP · 2016 · author #2
11. A unified view of LIBOR models q-fin.MF · 2016 · author #1
12. Parametric Integration by Magic Point Empirical Interpolation math.NA · 2015 · author #2
13. Magic points in finance: Empirical integration for parametric option pricing q-fin.CP · 2015 · author #2
14. Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models q-fin.MF · 2015 · author #2
15. Chebyshev Interpolation for Parametric Option Pricing q-fin.CP · 2015 · author #2
16. Feynman-Kac formula for L\'evy processes with discontinuous killing rate q-fin.CP · 2015 · author #1
17. Sobolev index: A classification of L\'evy processes math.PR · 2012 · author #1
18. Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models q-fin.PR · 2009 · author #2
19. Analysis of Fourier transform valuation formulas and applications q-fin.PR · 2008 · author #2

Mentions

• 1203.0866 #1 · backfill · confidence 0.70 Kathrin Glau
• 0911.0373 #2 · backfill · confidence 0.70 Kathrin Glau
• 0809.3405 #2 · backfill · confidence 0.70 Kathrin Glau

Frequent Coauthors

• Maximilian Ga{\ss} 5 shared papers
• Mirco Mahlstedt 5 shared papers
• Antonis Papapantoleon 3 shared papers
• Christian P\"otz 3 shared papers
• David Criens 3 shared papers
• Barbara Wohlmuth 2 shared papers
• Ernst Eberlein 2 shared papers
• Maximilian Mair 2 shared papers
• Olena Burkovska 2 shared papers
• Zorana Grbac 2 shared papers
• Daniel Kressner 1 shared papers
• Dilip B. Madan 1 shared papers
• Francesco Statti 1 shared papers
• Paul Herold 1 shared papers
• Ricardo Pachon 1 shared papers
• Wim Schoutens 1 shared papers