Picture of Kathrin Glau

Prof. Dr. Kathrin Glau

Technical University of Munich

Chair of Mathematical Finance (Prof. Zagst)

Postal address

Postal:
Parkring 11-13
85748 Garching b. München

   

Short CV

Kathrin Glau studied mathematics at the Albert-Ludwigs-University Freiburg until May 2005. After obtaining the Diploma, she worked at the chair of Prof. Ernst Eberlein. In September 2010 she completed her Ph.D. on the topic of Feynman-Kac representations for option pricing in Lévy models and moved to the University of Vienna to work as a university assistant at the chair of Prof. Walter Schachermayer. In September 2011 she was appointed Assistant Professor at the Department of Financial Mathematics. 

  

   

Courses

  

Books

2016

Glau, K.; Grbac, Z. Scherer, M.; Zagst, R. (Eds.)
Innovations in Derivatives Markets
Springer, 449 pages

2015

Glau, K.; Scherer, M.; Zagst, R. (Eds.)
Innovations in Quantitative Risk Management (Open Access)
Springer, 438 pages

  

Conferences

Prof. Glau is a member of the scientific committee of the conference "Challenges in Derivatives Markets: Fixed income modeling, valuation adjustments, risk management, and regulation".

  

Selected Presentation

Chebyshev Interpolation for Parametric Option Pricing, presented at the conference Stochastic Methods in Finance and Physics, Heraklion in Greece, July 20--24, 2015




Preprints

2016

  • Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.: Calibration to American Options: Numerical Investigation of the de-Americanization. Working Paper, 2016 more…
  • Burkovska, O.; Glau, K.; Mahlstedt, M.; Wohlmuth, B.: Model reduction for calibration of American options. Working Paper, 2016 more…
  • Criens, D.; Glau, K.: Martingale Property in Terms of Semimartingale Problems. Working Paper, 2016 more…
  • Criens, D.; Glau, K.; Grbac, Z.: Martingale Property of Exponential Semimartingales: A Note on Explicit Conditions and Applications to Financial Models. Working Paper, 2016, - more…
  • Gaß, M., Glau, K., Mair, M.: Magic Points in Finance: Empirical Interpolation for Parametric Option Pricing (first version 2015). Working Paper, 2016 more…
  • Gaß, M.; Glau, K.: A Flexible Galerkin Scheme for Option Pricing in Lévy Models. Working Paper, 2016 more…
  • Gaß, M.; Glau, K.; Mahlstedt, M.; Mair, M.: Chebyshev Interpolation for Parametric Option Pricing (first version 2015). Working Paper, 2016 more…
  • Glau, K.; Mahlstedt, M.: Improved error bound for multivariate Chebyshev polynomial interpolation. Working Paper, 2016 more…

2015

  • Gaß, M., Glau, K.: Parametric Integration by Magic Point Empirical Interpolation. Working Paper, 2015 more…

2011

  • Eberlein, E.; Glau, K.: PIDEs for Pricing European Options in Lévy Models - A Fourier Approach. , 2011 more…

    

Publications in Journals

2016

  • Glau, K.: Feynman-Kac Formula for Lévy Processes with Discontinuous Killing Rate. Finance and Stochastics (20/4), 2016, 1021–1059 more…
  • Glau, K.; Grbac, Z.; Papapantoleon, A.: A Unified View on LIBOR Models. accepted for publication in the Festschrift in honour of Ernst Eberlein, 2016 more…
  • Glau, Kathrin: Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations. SIAM Journal Theory of Probability and Its Application (60/3), 2016, 383–406 more…

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 more…

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 more…

2010

  • Eberlein, E.; Glau, K.; Papapantoleon, A.: Analysis of Fourier Transform Valuation Formulas and Applications. Applied Mathematical Finance (17/3), 2010, 211–240 more…




Book Contributions and Conference Proceedings

2014

  • Glau, K.; Gaß, M.: Die PIDE-Methode. RISIKO MANAGER (25), 2014, 17-24 more…

2011

  • Glau, K.; Eberlein, E.: A Collection of Results on a Feynman-Kac Representation of Weak Solutions of PIDEs and on Pricing Barrier and Lookback Options in Lévy Models. Contactforum Actuarial and Financial Mathematics Conference, 2011, 2011, 29 - 39 more…

2010

  • Glau, K.; Vandaele, N.; Vanmaele, M.: Pricing and Hedging of Interest Rate Derivatives in a Lévy Driven Term Structure Model. Handelingen Contactforum Actuarial and Financial Mathematics Conference, 2010, 2010, 75 - 80 more…

    

Supervised PhD Students

  

Supervised Master Theses

2017

  • Herold, Paul: Interpolation oft he implied volatility via the Chebyshev interpolation. Master thesis, 2017 more…

2016

  • Abend, Stephan: Bid-Ask Calibration of Lévy Models – Theory and Implementation. Master thesis, 2016 more…
  • Pötz, Christian: Chebyshev Interpolation for Parametric Option Pricing: Empirical and Theoretical Investigations. Master thesis, 2016 more…

2015

  • Altemeyer, Raphael: FEM for 2D Heston’s Pricing PDE. Master thesis, 2015 more…
  • Criens, David: Construction of Equivalent Martingale Measures. Master thesis, 2015 more…
  • Lui, Chang: Option Evaluation using Reduced Basis. Master thesis, 2015 more…
  • Melnikova, Ksenia : Calibration oft the affine LIBOR model. Master thesis, 2015 more…
  • Oganian, Maria: FEM for Heston’s and 2D Black-Scholes‘ Pricing PDE. Master thesis, 2015 more…
  • Zimmermann, Maximilian: The Finite Element Method with Splines for Option Pricing. Master thesis, 2015 more…

2014

  • Hirt, Marcel: Zinsderivate in Multi-Curve-Modellen. Master thesis, 2014 more…
  • Krieg, Korbinian: Variational Solution of the Pricing PDE for European Options in the CEV Model – Analysis and Finite Element Implementation. Master thesis, 2014 more…
  • Wiersch, Claudia: Reduced basis method for option pricing in the CEV-model - Analysis and Numerical Implementation. Master thesis, 2014 more…

    

Supervised Bachelor Theses

2014

  • Bollmann, Laslo: Hilfssätze zur Bewertung von Basket Optionen. Bachelor thesis, 2014 more…
  • Wasmeier, Andreas: Portfoliorisikomanagement mit Standardrisikomaßen. Bachelor thesis, 2014 more…
  • Wiedemann, Julia: Nutzenmaximierung unter proportionalen Transaktionskosten. Bachelor thesis, 2014 more…

2013

  • Cera, Katharina: Modeling of credit risk in discrete time. Bachelor thesis, 2013 more…
  • Han, Yang: Dimensionsreduktionstechniken mit PCA. Bachelor thesis, 2013 more…
  • Ouyang, Julia: Dynamische Programmierung und quadratisches Hedgen. Bachelor thesis, 2013 more…

2012

  • Brummer, Ludwig: Monte-Carlo Methode zur Optionsbewertung im NIG-Modell. Bachelor thesis, 2012 more…
  • Hütter, Amelie: Baum-Methoden zur Approximation zeitstetiger Optionspreismodelle. Bachelor thesis, 2012 more…
  • Leitner, Andreas: Diskretes stochastisches Kalkül und Optionsbewertung. Bachelor thesis, 2012 more…
  • Möbus, Lisa: Fouriermethoden zur Optionspreisbewertung. Bachelor thesis, 2012 more…