7 citations · 7 across the 2 of their papers we have counts for
4 papers
Fast Calculation of Credit Exposures for Barrier and Bermudan options using Chebyshev interpolation
Kathrin Glau, Ricardo Pachon, Christian Pötz
We introduce a new method to calculate the credit exposure of Bermudan, discretely monitored barrier and European options. Core of the approach is the application of the dynamic Ch…
The Chebyshev method for the implied volatility
Kathrin Glau, Paul Herold, Dilip B. Madan +1
The implied volatility is a crucial element of any financial toolbox, since it is used for quoting and the hedging of options as well as for model calibration. In contrast to the B…
Martingale Property in Terms of Semimartingale Problems
David Criens, Kathrin Glau
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question…
A Flexible Galerkin Scheme for Option Pricing in Lévy Models
Maximilian Gaß, Kathrin Glau
One popular approach to option pricing in Lévy models is through solving the related partial integro differential equation (PIDE). For the numerical solution of such equations powe…