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

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!

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

Current teaching

Fall 2019-2020: Computational finance FIN-472  EPFL

Blog

QuantMinds365, February 1, 2021, From scarce to large data and back: machine learning in finance

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

• Glau, K.; Wunderlich, L: The Deep Parametric PDE Method: Application to Option Pricing. 
  arXiv:2012.06211
• Colusso, P.; Glau, K.: Learning from Multivariate Data in Finance with Tensor Completion.
  
• Filipović, D.; Glau, K.; Nakatsukasa, Y.; Statti, F.: Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. 
  arXiv:1905.00238
• Gaß, M.; Glau, K.: Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models. 
  arXiv:2102.10651

Publications

2020

• Glau, K.; Kressner, D.; Statti, F.: Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. 
  SIAM Journal on Financial Mathematics, 2020, 11(3), 897-927; preprint avialable on arxiv:1902.04367 
  arXiv:1902.04367
• Glau, K.; Pachon, R.; Pötz, C.: Speed-up credit exposure calculations for pricing and risk management 
  Quantitative Finance, published online first, 2020; preprint available on arxiv:1912.01280 
  arXiv:1905.00238

2019

• Glau, K.; Mahlstedt, M.; Pötz, C.: A new approach for American option pricing: The Dynamic Chebyshev method  (Open Access)
  SIAM Journal on Scientific Computing, 2019 41(1), B153-B180
• Glau, K.; Paul Herold, P.; D. B. Madan; Pötz, C.: The Chebyshev method for the implied volatility 
  Journal of Computational Finance, 2019, 23(3), 1-31, preprint of former version available on arXiv:1710.01797 
• Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.: Complexity reduction for calibration to American options  Journal of Computational Finance, 2019, 23(1), 25-60, preprint of former version available on arXiv:1611.06452 
• Glau, K.; Mahlstedt, M.: Improved error bound for multivariate Chebyshev polynomial interpolation  International Journal of Computer Mathematics, 2019, 96(11), 2302-2314,

2018

• Criens, D.; Glau, K.: Absolute Continuity of Semimartingales.  (Open Access)
  Electronic Journal of Probability, 2018, 23(125)
• Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.: Chebyshev Interpolation for Parametric Option Pricing.  (Open Access)
  Finance and Stochastics, 2018, 22(3), 701-731
  
• Gaß, M.; Glau, K.: A Flexible Galerkin Scheme for Option Pricing in Lévy Models.  2018, SIAM Journal for Financial Mathematics
  preprint of former version available on arXiv:1603.08216 
• Burkovska, O.; Gaß, M.; Glau, K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.: Calibration to American Options: Numerical Investigation of the De-Americanization Method. 2018, 18(7) Quantitative Finance
  preprint of former version available on arXiv:1611.06181 

2017

• Gaß, M.; Glau, K.; Mair, M.: Parametric Integration by Magic Point Empirical Interpolation.  (Open Access)
  IMA Journal of Numerical Analysis, published online fist, 2017
  
• Gaß, M.; Glau, K.; Mair, M.: Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing.  (Open Access)
  SIAM Journal for Financial Mathematics, 2017, 8(1), 766-803
• Criens, D.; Glau, K.; Grbac, Z.: Martingale Property of Exponential Semimartingales: A Note on Explicit Conditions and Applications to Asset Price and Libor Models.  Applied Mathematical Finance, 2017, 24(1), 23-37
  preprint available on arXiv: 1506.08127 

2016

• Glau, K.: Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate.  (Open Access)
  Finance and Stochastics (20/4), 2016, 1021-1059
• 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 
• Glau, K.: Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations.  SIAM translated journal Theory of Probability and Its Application (60/3), 2016, 383-406
  preprint available on Mediatum.ub.tum.de/doc/1256449/1256449 

2014

• Eberlein, E.; Glau, K.: Variational Solutions of the Pricing PIDE for European Options in Lévy Models.  Applied Mathematical Finance (21/5), 2014, 417-450

2011

• 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 

2010

• 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 

PhD students

• Maximilian Gaß: PIDE methods and concepts for parametric option pricing,  2016
• Mirco Mahlstedt: Complexity Reduction for Option Pricing,  2017
• Maximilian Mair
• Christian Pötz