Innovations in Quantitative Risk Management von Zagst, Rudi, Glau, Kathrin, Scherer, Matthias

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Analysis of Fourier Transform Valuation Formulas and Applications von Eberlein, Ernst, Glau, Kathrin, Papapantoleon, Antonis

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The deep parametric PDE method and applications to option pricing von Glau, Kathrin, Wunderlich, Linus

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Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk von Glau, Kathrin, Wunderlich, Linus

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Innovations in Insurance, Risk- and Asset Management von Glau, Kathrin, Linders, Daniël, Min, Aleksey, Scherer, Matthias, Schneider, Lorenz, Zagst, Rudi

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Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation von Kathrin Glau, Matthias Scherer, Zorana Grbac

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A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates von Glau, Kathrin

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Chebyshev interpolation for parametric option pricing von Gaß, Maximilian, Glau, Kathrin, Mahlstedt, Mirco, Mair, Maximilian

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A New Approach for American Option Pricing: The Dynamic Chebyshev Method von Glau, Kathrin, Mahlstedt, Mirco, Pötz, Christian

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Absolute continuity of semimartingales von Criens, David, Glau, Kathrin

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Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing von Glau, Kathrin, Kressner, Daniel, Statti, Francesco

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Speed-up credit exposure calculations for pricing and risk management von Glau, Kathrin, Pachon, Ricardo, Pötz, Christian

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Parametric integration by magic point empirical interpolation von Gaß, Maximilian, Glau, Kathrin

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Variational Solutions of the Pricing PIDEs for European Options in Lévy Models von Eberlein, Ernst, Glau, Kathrin

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A Flexible Galerkin Scheme for Option Pricing in Lévy Models von Gaß, Maximilian, Glau, Kathrin

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Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models von Criens, David, Glau, Kathrin, Grbac, Zorana

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Innovations in Quantitative Risk Management: TU München, September 2013 von Glau, Kathrin, Scherer, Matthias, Zagst, Rudi

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Calibration to American options: numerical investigation of the de-Americanization method von Burkovska, O., Gass, M., Glau, K., Mahlstedt, M., Schoutens, W., Wohlmuth, B.

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Magic Points in Finance: Empirical Integration for Parametric Option Pricing von Gaß, Maximilian, Glau, Kathrin, Mair, Maximilian

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Classification of Lévy processes with parabolic Kolmogorov backward equations von Glau, Kathrin

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