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Glau, Kathrin

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Author ID: glau.kathrin Recent zbMATH articles by "Glau, Kathrin"
Published as: Glau, K.; Glau, Kathrin
External Links: MGP · Wikidata
Documents Indexed: 18 Publications since 2010, including 3 Books

Publications by Year

Citations contained in zbMATH

12 Publications have been cited 80 times in 68 Documents Cited by Year
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
44
2010
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
6
2018
Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497
Eberlein, Ernst; Glau, Kathrin
6
2014
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Zbl 1355.60060
Glau, Kathrin
5
2016
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
5
2011
Feynman-Kac-formulas for option price valuation in Lévy models. Zbl 1274.91003
Glau, Kathrin
3
2010
Absolute continuity of semimartingales. Zbl 1406.60062
Criens, David; Glau, Kathrin
2
2018
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574
Criens, David; Glau, Kathrin; Grbac, Zorana
2
2017
Magic points in finance: empirical integration for parametric option pricing. Zbl 1429.91320
Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian
2
2017
A unified view of Libor models. Zbl 1367.91182
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis
2
2016
Classification of Lévy processes with parabolic Kolmogorov backward equations. Zbl 1443.60045
Glau, Kathrin
2
2016
Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581
Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.
1
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
6
2018
Absolute continuity of semimartingales. Zbl 1406.60062
Criens, David; Glau, Kathrin
2
2018
Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581
Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.
1
2018
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574
Criens, David; Glau, Kathrin; Grbac, Zorana
2
2017
Magic points in finance: empirical integration for parametric option pricing. Zbl 1429.91320
Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian
2
2017
A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Zbl 1355.60060
Glau, Kathrin
5
2016
A unified view of Libor models. Zbl 1367.91182
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis
2
2016
Classification of Lévy processes with parabolic Kolmogorov backward equations. Zbl 1443.60045
Glau, Kathrin
2
2016
Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497
Eberlein, Ernst; Glau, Kathrin
6
2014
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
5
2011
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
44
2010
Feynman-Kac-formulas for option price valuation in Lévy models. Zbl 1274.91003
Glau, Kathrin
3
2010
all top 5

Cited by 112 Authors

10 Glau, Kathrin
7 Papapantoleon, Antonis
6 Eberlein, Ernst W.
5 Grbac, Zorana
4 Gaß, Maximilian
3 Benth, Fred Espen
3 Crepey, Stephane
3 Mahlstedt, Mirco
3 Russo, Francesco
3 Schoenmakers, John G. M.
2 Cherif, Sidi Mohamed Lalaoui Ben
2 Criens, David
2 Eddahbi, M’hamed
2 Gnoatto, Alessandro
2 Goutte, Stéphane
2 Khedher, Asma
2 Mair, Maximilian L.
2 Oudjane, Nadia
2 Ramponi, Alessandro
2 Skovmand, David
1 Ackerer, Damien
1 Agliardi, Rossella
1 Alfeus, Mesias
1 Alvarez, Alexander
1 Angelini, Flavio
1 Anthropelos, Michail
1 Antonelli, Fabio
1 Armenti, Yannick
1 Asai, Manabu
1 Barndorff-Nielsen, Ole Eiler
1 Bäurer, Patrick
1 Bayer, Christian
1 Bayraktar, Erhan
1 Belomestny, Denis
1 Burkovska, Olena
1 Callegaro, Giorgia
1 Cao, Jie
1 Chan, Tat Lung (Ron)
1 Constantinou, Nick
1 Cuchiero, Christa
1 Daveloose, Catherine
1 De Olivera, Federico
1 Di Nunno, Giulia
1 Drapeau, Samuel
1 Escobar, Marcos
1 Fajardo, José
1 Filipović, Damir
1 Fiorin, Lucio
1 Fontana, Claudio
1 Gerhart, Christoph
1 Germano, Guido
1 Gong, Ruoting
1 Götz, Barbara
1 Grasselli, Martino
1 Hale, Nicholas
1 Haslip, Gareth G.
1 Herzel, Stefano
1 Hieber, Peter
1 Hofer, Markus
1 Hu, Xiaoping
1 Ibrahim, Siti Nur Iqmal
1 Kaishev, Vladimir K.
1 Kampen, Jörg
1 Keller-Ressel, Martin
1 Kim, Youngshin
1 Kressner, Daniel
1 Kunoth, Angela
1 Kupper, Michael
1 Laachir, Ismail
1 Li, Bo
1 Mahayni, Antje
1 Marazzina, Daniele
1 Marfe, Roberto
1 Mayer, Philipp A.
1 McAleer, Michael
1 Mordecki, Ernesto
1 Mou, Chenchen
1 Mück, Matthias
1 Nadtochiy, Sergey
1 Ngor, Nathalie
1 Nguyen, Hai-Nam
1 Nicolosi, Marco
1 O’Hara, John G.
1 Olivares, Pablo
1 Palmowski, Zbigniew
1 Phelan, Carolyn E.
1 Pistorius, Martijn R.
1 Pötz, Christian
1 Rudmann, Marcus
1 Rüschendorf, Ludger
1 Scarlatti, Sergio
1 Schlogl, Erik
1 Schmeck, Maren Diane
1 Schneider, Christian M.
1 Schoutens, Wim
1 Statti, Francesco
1 Stelzer, Robert
1 Stolte, Johannes
1 Świȩch, Andrzej
1 Teichmann, Josef
...and 12 more Authors

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