Kathrin Glau

Short CV

Kathrin Glau joins the School of Mathematical Sciences, Queen Mary Universtiy of London as Lecturer in Financial Mathematics since September 2017. Currently she is a Fellow at the Swiss Finance Institute at the Ecole Polytechnique Fédérale de Lausanne. From 2011 to 2017 she was Assistant Professor (Juniorprofessorin) at the Department of Mathematics, Technical University of Munich. Prior to this she completed her Ph.D. on the topic of Feynman-Kac representations for option pricing in Lévy models in 2010 (supervisor Ernst Eberlein) and moved to the University of Vienna to work as a university assistant at the chair of Prof. Walter Schachermayer.

Awards

  • EPFL FELLOW co-funded by Marie Skłodowska Curie 2018 - present
  • Turing Fellow: Fellow at the Alan Turing Institute 2018 - present
  • TUM Junior Fellow 2011-2017
  • News: interactive math-art project creating the mathematical universe at TateExchange, Tate Modern, London, accepted!

    Please join us in creating the mathematical universe at TateExchange, June 11-16!

    Find out more at https://creating-the-universe.org 

    Research focus

    Computational methods for finance and beyond (Fourier, P(I)DE, complexity reduction, interpolation),
    Modelling of financial asset evolution (with Lévy and other jump processes)

    Blog

    QuantMinds365, May 2, 2019, Holistic view of XVAs - Chebyshev interpolation for speedup and unification

    Teaching

    Fall 2018-2019: Computational finance FIN-472  EPFL


    Books

    Glau, K.; Linders, D.; Min, A.; Scherer, M.; Schneider, L.; Zagst, R. (Eds.) Innovations in Insurance, Risk- and Asset Management  (Open Access)
    World Scientific, 450 pages
    Glau, K.; Grbac, Z. Scherer, M.; Zagst, R. (Eds.) Innovations in Derivatives Markets  (Open Access)
    Springer, 449 pages
    Glau, K.; Scherer, M.; Zagst, R. (Eds.)
    Innovations in Quantitative Risk Management  (Open Access)
    Springer, 438 pages

    Preprints


    Publications


    PhD students