A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. - Kathrin Glau (Finance Stochastics, 2016)

Magic Points in Finance: Empirical Integration for Parametric Option Pricing. - Maximilian Gaß; Kathrin Glau; Maximilian Mair (SIAM J. Financial Math., 2017)

Chebyshev interpolation for parametric option pricing. - Maximilian Gaß; Kathrin Glau; Mirco Mahlstedt; Maximilian Mair (Finance Stochastics, 2018)

A Flexible Galerkin Scheme for Option Pricing in Lévy Models. - Maximilian Gaß; Kathrin Glau (SIAM J. Financial Math., 2018)

Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. - Damir Filipovic; Kathrin Glau; Yuji Nakatsukasa; Francesco Statti (CoRR, 2019)

Improved error bound for multivariate Chebyshev polynomial interpolation. - Kathrin Glau; Mirco Mahlstedt (Int. J. Comput. Math., 2019)

A New Approach for American Option Pricing: The Dynamic Chebyshev Method. - Kathrin Glau; Mirco Mahlstedt; Christian Pötz (SIAM J. Sci. Comput., 2019)

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing. - Kathrin Glau; Daniel Kressner; Francesco Statti (SIAM J. Financial Math., 2020)

The deep parametric PDE method and applications to option pricing. - Kathrin Glau; Linus Wunderlich (Appl. Math. Comput., 2022)

Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. - Kathrin Glau; Linus Wunderlich (Ann. Oper. Res., 2024)