Kathrin Glau joins the School of Mathematical Sciences, Queen Mary Universtiy of London as Lecturer in Financial Mathematics since 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.
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
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!
Glau, K.; Paul Herold, P.; D. B. Madan; Pötz, C.: The Chebyshev method for the implied volatility, 2018, accepted for publication in the Journal of Computational Finance, preprint of former version available on
Glau, K.; Grbac, Z.; Papapantoleon, A.:A Unified View on LIBOR Models.
In J. Kallsen, A. Papapantoleon (Eds.), Advanced Modelling in Mathematical Finance -- In Honour of Ernst Eberlein, pp. 423-452, Springer, 2016
preprint available on arXiv: 1601.01352
Eberlein, E.; Glau, K.; Papapantoleon, A.: Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models. Advanced Mathematical Methods for Finance, 2011, 223-245
preprint available on arXiv: 0911.0373
Eberlein, E.; Glau, K.; Papapantoleon, A.: Analysis of Fourier Transform Valuation Formulas and Applications. Applied Mathematical Finance (17/3), 2010, 211-240
preprint available on arXiv: 0809.3405