E-LIB Suche - Ergebnisse für: Glau, Kathrin

1

Neural network expression rates and applications of the dee..:

Glau, Kathrin ; Wunderlich, Linus
Annals of Operations Research. 336 (2023) 1-2 - p. 331-357 , 2023

Link: https://doi.org/10.1007/..

2

The deep parametric PDE method and applications to option p..:

Glau, Kathrin ; Wunderlich, Linus
Applied Mathematics and Computation. 432 (2022) - p. 127355 , 2022

Link: https://doi.org/10.1016/..

3

Speed-up credit exposure calculations for pricing and risk ..:

Glau, Kathrin ; Pachon, Ricardo ; Pötz, Christian
Quantitative Finance. 21 (2020) 3 - p. 481-499 , 2020

Link: https://doi.org/10.1080/..

4

Low-Rank Tensor Approximation for Chebyshev Interpolation i..:

Glau, Kathrin ; Kressner, Daniel ; Statti, Francesco
SIAM Journal on Financial Mathematics. 11 (2020) 3 - p. 897-927 , 2020

Link: https://doi.org/10.1137/..

5

A New Approach for American Option Pricing: The Dynamic Che..:

Glau, Kathrin ; Mahlstedt, Mirco ; Pötz, Christian
SIAM Journal on Scientific Computing. 41 (2019) 1 - p. B153-B180 , 2019

Link: https://doi.org/10.1137/..

6

Improved error bound for multivariate Chebyshev polynomial ..:

Glau, Kathrin ; Mahlstedt, Mirco
International Journal of Computer Mathematics. 96 (2019) 11 - p. 2302-2314 , 2019

Link: https://doi.org/10.1080/..

7

Chebyshev interpolation for parametric option pricing:

Gaß, Maximilian ; Glau, Kathrin ; Mahlstedt, Mirco.
Finance and Stochastics. 22 (2018) 3 - p. 701-731 , 2018

Link: https://doi.org/10.1007/..

8

A Flexible Galerkin Scheme for Option Pricing in Lévy Model:

Gaß, Maximilian ; Glau, Kathrin
SIAM Journal on Financial Mathematics. 9 (2018) 3 - p. 930-965 , 2018

Link: https://doi.org/10.1137/..

9

Parametric integration by magic point empirical interpolati..:

Gaß, Maximilian ; Glau, Kathrin
IMA Journal of Numerical Analysis. 39 (2017) 1 - p. 315-341 , 2017

Link: https://doi.org/10.1093/..

10

Magic Points in Finance: Empirical Integration for Parametr..:

Gaß, Maximilian ; Glau, Kathrin ; Mair, Maximilian
SIAM Journal on Financial Mathematics. 8 (2017) 1 - p. 766-803 , 2017

Link: https://doi.org/10.1137/..

11

Martingale property of exponential semimartingales: a note ..:

Criens, David ; Glau, Kathrin ; Grbac, Zorana
Applied Mathematical Finance. 24 (2017) 1 - p. 23-37 , 2017

Link: https://doi.org/10.1080/..

12

Innovations in Derivatives Markets: Fixed Income Modeling, ..

Springer Proceedings in Mathematics & Statistics, 165

Glau, Kathrin ; Grbac, Zorana ; Scherer, Matthias. - 1st ed. 2016 . , 2016

Link: https://doi.org/10.1007/..

13

A Feynman–Kac-type formula for Lévy processes with disconti..:

Glau, Kathrin
Finance and Stochastics. 20 (2016) 4 - p. 1021-1059 , 2016

Link: https://doi.org/10.1007/..

14

Innovations in quantitative risk management

TU München, September 2013 Springer proceedings in mathematics & statistics ; volume 99;Springer Proceedings in Mathematics & Statistics ; 99;SpringerLink, Bücher

Glau, Kathrin ; Scherer, Matthias ; Zagst, Rudi , 2015

Link: https://doi.org/10.1007/..

15

Innovations in Quantitative Risk Management: TU München, Se..

Springer Proceedings in Mathematics & Statistics, 99

Glau, Kathrin ; Scherer, Matthias ; Zagst, Rudi - 1st ed. 2015 . , 2015

Link: https://doi.org/10.1007/..