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Glau, K.; Mahlstedt, M.
Improved error bound for multivariate Chebyshev polynomial interpolation
International Journal of Computer Mathematics
2019
96(11)
2302-2314
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.
Complexity reduction for calibration to American options
Journal of Computational Finance
2019
23
1
25-60
Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.
Calibration to American Options: Numerical Investigation of the de-Americanization
Quantitative Finance
2018
18
7
Criens, D.; Glau, K.
Absolute Continuity of Semimartingale
Electronic Journal of Probability
2016
Gaß, M.; Glau, K.
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
SIAM Journal for Financial Mathematics
2016
Glau, K.; Grbac, Z.; Papapantoleon, A.
A Unified View on LIBOR Models
accepted for publication in the Festschrift in honour of Ernst Eberlein
2016
Gaß, M., Glau, K., Mair, M.
Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015)
SIAM Journal for Financial Mathematics
2017
8
1
Glau, Kathrin
Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations
SIAM Journal Theory of Probability and Its Application
2016
60/3
383–406
Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.
Chebyshev Interpolation for Parametric Option Pricing (first version 2015)
Finance and Stochastics
2018
22
3
7
Glau, K.; Gaß, M.
Die PIDE-Methode
RISIKO MANAGER
2014
25
17-24
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