Glau, Kathrin; Mahlstedt, Mirco; Pötz, Christian A new approach for American option pricing: the dynamic Chebyshev method. (English) Zbl 1419.91648 SIAM J. Sci. Comput. 41, No. 1, B153-B180 (2019). MSC: 91G60 65D05 91G20 60G40 41A10 90C39 PDFBibTeX XMLCite \textit{K. Glau} et al., SIAM J. Sci. Comput. 41, No. 1, B153--B180 (2019; Zbl 1419.91648) Full Text: DOI arXiv
Criens, David; Glau, Kathrin Absolute continuity of semimartingales. (English) Zbl 1406.60062 Electron. J. Probab. 23, Paper No. 125, 28 p (2018). MSC: 60G44 60G48 PDFBibTeX XMLCite \textit{D. Criens} and \textit{K. Glau}, Electron. J. Probab. 23, Paper No. 125, 28 p (2018; Zbl 1406.60062) Full Text: DOI arXiv Euclid
Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B. Calibration to American options: numerical investigation of the de-americanization method. (English) Zbl 1400.91581 Quant. Finance 18, No. 7, 1091-1113 (2018). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{O. Burkovska} et al., Quant. Finance 18, No. 7, 1091--1113 (2018; Zbl 1400.91581) Full Text: DOI arXiv Link
Criens, David; Glau, Kathrin; Grbac, Zorana Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. (English) Zbl 1398.91574 Appl. Math. Finance 24, No. 1-2, 23-37 (2017). MSC: 91G20 60G48 60G44 91G30 PDFBibTeX XMLCite \textit{D. Criens} et al., Appl. Math. Finance 24, No. 1--2, 23--37 (2017; Zbl 1398.91574) Full Text: DOI arXiv
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis A unified view of Libor models. (English) Zbl 1367.91182 Kallsen, Jan (ed.) et al., Advanced modeling in mathematical finance. In honour of Ernst Eberlein on the occasion of his 70th birthday, Kiel, Germany, May 22–25, 2015. Cham: Springer (ISBN 978-3-319-45873-1/hbk; 978-3-319-45875-5/ebook). Springer Proceedings in Mathematics & Statistics 189, 423-452 (2016). MSC: 91G30 60G44 60H30 PDFBibTeX XMLCite \textit{K. Glau} et al., Springer Proc. Math. Stat. 189, 423--452 (2016; Zbl 1367.91182) Full Text: DOI arXiv
Glau, Kathrin A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. (English) Zbl 1355.60060 Finance Stoch. 20, No. 4, 1021-1059 (2016). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60G51 60H30 35R09 35S10 47G30 47G20 65M60 65M06 91G80 91G60 PDFBibTeX XMLCite \textit{K. Glau}, Finance Stoch. 20, No. 4, 1021--1059 (2016; Zbl 1355.60060) Full Text: DOI arXiv
Eberlein, Ernst; Glau, Kathrin Variational solutions of the pricing PIDEs for European options in Lévy models. (English) Zbl 1395.91497 Appl. Math. Finance 21, No. 5-6, 417-450 (2014). MSC: 91G60 65M60 91G20 60G51 PDFBibTeX XMLCite \textit{E. Eberlein} and \textit{K. Glau}, Appl. Math. Finance 21, No. 5--6, 417--450 (2014; Zbl 1395.91497) Full Text: DOI
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis Analysis of Fourier transform valuation formulas and applications. (English) Zbl 1233.91267 Appl. Math. Finance 17, No. 3-4, 211-240 (2010). MSC: 91G20 91G80 PDFBibTeX XMLCite \textit{E. Eberlein} et al., Appl. Math. Finance 17, No. 3--4, 211--240 (2010; Zbl 1233.91267) Full Text: DOI arXiv