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

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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Eberlein, E.; Glau, K.
PIDEs for Pricing European Options in Lévy Models - A Fourier Approach
2011