Kathrin Glau

Publication Activity (10 Years)

Years Active: 2016-2024
Publications (10 Years): 10

Top Topics

Black Scholes Model

Matrix Inversion

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Ann. Oper. Res.

Publications

Kathrin Glau, Linus Wunderlich
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. Ann. Oper. Res. 336 (1-2) (2024)
Kathrin Glau, Linus Wunderlich
The deep parametric PDE method and applications to option pricing. Appl. Math. Comput. 432 (2022)
Kathrin Glau, Daniel Kressner, Francesco Statti
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing. SIAM J. Financial Math. 11 (3) (2020)
Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. CoRR (2019)
Kathrin Glau, Mirco Mahlstedt, Christian Pötz
A New Approach for American Option Pricing: The Dynamic Chebyshev Method. SIAM J. Sci. Comput. 41 (1) (2019)
Kathrin Glau, Mirco Mahlstedt
Improved error bound for multivariate Chebyshev polynomial interpolation. Int. J. Comput. Math. 96 (11) (2019)
Maximilian Gaß, Kathrin Glau
A Flexible Galerkin Scheme for Option Pricing in Lévy Models. SIAM J. Financial Math. 9 (3) (2018)
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair
Chebyshev interpolation for parametric option pricing. Finance Stochastics 22 (3) (2018)
Maximilian Gaß, Kathrin Glau, Maximilian Mair
Magic Points in Finance: Empirical Integration for Parametric Option Pricing. SIAM J. Financial Math. 8 (1) (2017)
Kathrin Glau
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Finance Stochastics 20 (4) (2016)