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

Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.
Chebyshev Interpolation for Parametric Option Pricing (first version 2015)
Finance and Stochastics
2018
22
3
7

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

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

Glau, Kathrin
Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations
SIAM Journal Theory of Probability and Its Application
2016
60/3
383–406

Criens, D.; Glau, K.; Grbac, Z.
Martingale Property of Exponential Semimartingales: A Note on Explicit Conditions and Applications to Financial Models
Applied Mathematical Finance
2016
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