Kathrin Glau

Short CV

Kathrin Glau joined the School of Mathematical Sciences, Queen Mary Universtiy of London as Lecturer in Financial Mathematics in September 2017. During the academic year 2018-2019 she was 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.

News

New Investigator Award for the research project Deep Learning Reduced Basis Method for High-Dimensional Parametric Partial Differential Equations in Finance offered by the EPSRC

Awards

  • Turing Fellow: Fellow at the Alan Turing Institute 2018 - present
  • EPFL FELLOW co-funded by Marie Skłodowska Curie 2018 - 2019
  • TUM Junior Fellow 2011-2017
  • Interactive art project creating the mathematical universe at TateExchange, Tate Modern, London

    Thank you all for joining us in creating the mathematical universe at TateExchange, June 11-16 2019!

    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)

    Editorial activity

    Since August 2019 Kathrin Glau serves the editorial board of The Journal of Computational Finance

    Current teaching

    Fall 2019-2020: Computational finance FIN-472  EPFL

    Blog

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


    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