Kathrin Glau

Orcid: 0000-0001-6733-1689

According to our database1, Kathrin Glau authored at least 10 papers between 2016 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk.
Ann. Oper. Res., May, 2024

2022
The deep parametric PDE method and applications to option pricing.
Appl. Math. Comput., 2022

2020
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing.
SIAM J. Financial Math., 2020

2019
A New Approach for American Option Pricing: The Dynamic Chebyshev Method.
SIAM J. Sci. Comput., 2019

Improved error bound for multivariate Chebyshev polynomial interpolation.
Int. J. Comput. Math., 2019

Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing.
CoRR, 2019

2018
A Flexible Galerkin Scheme for Option Pricing in Lévy Models.
SIAM J. Financial Math., 2018

Chebyshev interpolation for parametric option pricing.
Finance Stochastics, 2018

2017
Magic Points in Finance: Empirical Integration for Parametric Option Pricing.
SIAM J. Financial Math., 2017

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


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