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Glau, K.; Vandaele, N.; Vanmaele, M.
Pricing and Hedging of Interest Rate Derivatives in a Lévy Driven Term Structure Model
75 - 80
Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2010
2010
Eberlein, E.; Glau, K.; Papapantoleon, A.
Analysis of Fourier Transform Valuation Formulas and Applications
Applied Mathematical Finance
2010
17/3
211–240
Glau, K.; Eberlein, E.
A Collection of Results on a Feynman-Kac Representation of Weak Solutions of PIDEs and on Pricing Barrier and Lookback Options in Lévy Models
29 - 39
Contactforum Actuarial and Financial Mathematics Conference, 2011
2011
Eberlein, E.; Glau, K.
PIDEs for Pricing European Options in Lévy Models - A Fourier Approach
2011
Eberlein, E.; Glau, K.; Papapantoleon, A.
Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models
Advanced Mathematical Methods for Finance
2011
223-245
Glau, K.
A classification of Lévy processes via their symbols and its application to Finance
working paper
2012
-
Glau, K.; Gaß, M.
Die PIDE-Methode
RISIKO MANAGER
2014
25
17-24
Eberlein, E.; Glau, K.
Variational Solutions of the Pricing PIDE for European Options in Lévy Models
Applied Mathematical Finance
2014
21/5
417-450
Glau, K.; Mahlstedt, M.
Improved error bound for multivariate Chebyshev polynomial interpolation
Working Paper
2016
Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.
Model reduction for calibration of American options
Working Paper
2016
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