Kathrin Glau

According to our database, Kathrin Glau authored at least 9 papers between 2016 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

The deep parametric PDE method and applications to option pricing.

Kathrin Glau, Linus Wunderlich

Appl. Math. Comput., 2022

2020

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing.

Kathrin Glau, Daniel Kressner, Francesco Statti

SIAM J. Financial Math., 2020

2019

A New Approach for American Option Pricing: The Dynamic Chebyshev Method.

Kathrin Glau, Mirco Mahlstedt, Christian Pötz

SIAM J. Sci. Comput., 2019

Improved error bound for multivariate Chebyshev polynomial interpolation.

Kathrin Glau, Mirco Mahlstedt

Int. J. Comput. Math., 2019

Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing.

Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti

CoRR, 2019

2018

A Flexible Galerkin Scheme for Option Pricing in Lévy Models.

Maximilian Gaß, Kathrin Glau

SIAM J. Financial Math., 2018

Chebyshev interpolation for parametric option pricing.

Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair

Finance Stochastics, 2018

2017

Magic Points in Finance: Empirical Integration for Parametric Option Pricing.

Maximilian Gaß, Kathrin Glau, Maximilian Mair

SIAM J. Financial Math., 2017

2016

A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates.

Kathrin Glau

Finance Stochastics, 2016