Edit Profile Glau, Kathrin Compute Distance To: Compute Author ID: glau.kathrin Published as: Glau, K.; Glau, Kathrin External Links: MGP · Wikidata Documents Indexed: 18 Publications since 2010, including 3 Books all top 5 Co-Authors 3 single-authored 5 Gaß, Maximilian 3 Eberlein, Ernst W. 3 Grbac, Zorana 3 Mahlstedt, Mirco 3 Papapantoleon, Antonis 2 Criens, David 2 Mair, Maximilian L. 2 Scherer, Matthias 2 Zagst, Rudi 1 Burkovska, Olena 1 Kressner, Daniel 1 Pötz, Christian 1 Schoutens, Wim 1 Statti, Francesco 1 Wohlmuth, Barbara I. all top 5 Serials 3 Applied Mathematical Finance 3 SIAM Journal on Financial Mathematics 2 Finance and Stochastics 2 Springer Proceedings in Mathematics & Statistics 1 IMA Journal of Numerical Analysis 1 Theory of Probability and its Applications 1 SIAM Journal on Scientific Computing 1 Electronic Journal of Probability 1 Quantitative Finance all top 5 Fields 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Probability theory and stochastic processes (60-XX) 6 Numerical analysis (65-XX) 3 Partial differential equations (35-XX) 2 General and overarching topics; collections (00-XX) 2 Approximations and expansions (41-XX) 2 Integral equations (45-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications 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 1233.91267Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis 44 2010 Chebyshev interpolation for parametric option pricing. Zbl 1402.91782Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian 6 2018 Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497Eberlein, Ernst; Glau, Kathrin 6 2014 A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Zbl 1355.60060Glau, Kathrin 5 2016 Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis 5 2011 Feynman-Kac-formulas for option price valuation in Lévy models. Zbl 1274.91003Glau, Kathrin 3 2010 Absolute continuity of semimartingales. Zbl 1406.60062Criens, David; Glau, Kathrin 2 2018 Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574Criens, David; Glau, Kathrin; Grbac, Zorana 2 2017 Magic points in finance: empirical integration for parametric option pricing. Zbl 1429.91320Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian 2 2017 A unified view of Libor models. Zbl 1367.91182Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis 2 2016 Classification of Lévy processes with parabolic Kolmogorov backward equations. Zbl 1443.60045Glau, Kathrin 2 2016 Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581Burkovska, O.; Gass, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B. 1 2018 Chebyshev interpolation for parametric option pricing. Zbl 1402.91782Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian 6 2018 Absolute continuity of semimartingales. Zbl 1406.60062Criens, David; Glau, Kathrin 2 2018 Calibration to American options: numerical investigation of the de-americanization method. Zbl 1400.91581Burkovska, 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 1398.91574Criens, David; Glau, Kathrin; Grbac, Zorana 2 2017 Magic points in finance: empirical integration for parametric option pricing. Zbl 1429.91320Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian 2 2017 A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Zbl 1355.60060Glau, Kathrin 5 2016 A unified view of Libor models. Zbl 1367.91182Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis 2 2016 Classification of Lévy processes with parabolic Kolmogorov backward equations. Zbl 1443.60045Glau, Kathrin 2 2016 Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497Eberlein, Ernst; Glau, Kathrin 6 2014 Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis 5 2011 Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis 44 2010 Feynman-Kac-formulas for option price valuation in Lévy models. Zbl 1274.91003Glau, Kathrin 3 2010 all cited Publications top 5 cited Publications 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 all top 5 Cited in 27 Serials 9 Applied Mathematical Finance 8 Quantitative Finance 7 International Journal of Theoretical and Applied Finance 6 SIAM Journal on Financial Mathematics 4 Finance and Stochastics 3 The Annals of Applied Probability 3 Mathematics and Financial Economics 2 Journal of Computational and Applied Mathematics 2 Annals of Operations Research 1 Mathematical Methods in the Applied Sciences 1 Theory of Probability and its Applications 1 Journal of Econometrics 1 Journal of Functional Analysis 1 Mathematics of Operations Research 1 Insurance Mathematics & Economics 1 Stochastic Analysis and Applications 1 Communications in Statistics. Simulation and Computation 1 International Journal of Computer Mathematics 1 Stochastic Processes and their Applications 1 SIAM Journal on Scientific Computing 1 Mathematical Problems in Engineering 1 Mathematical Finance 1 Journal of Applied Mathematics 1 Review of Derivatives Research 1 Stochastics 1 Annals of Finance 1 Probability, Uncertainty and Quantitative Risk all top 5 Cited in 12 Fields 65 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 45 Probability theory and stochastic processes (60-XX) 14 Numerical analysis (65-XX) 7 Partial differential equations (35-XX) 7 Statistics (62-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 2 Approximations and expansions (41-XX) 2 Integral equations (45-XX) 2 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Citations by Year Wikidata Timeline