170 citations · 200 across the 17 of their papers we have counts for
5 papers · 1 filter
Parametric Integration by Magic Point Empirical Interpolation
Maximilian Gaß, Kathrin Glau
We derive analyticity criteria for explicit error bounds and an exponential rate of convergence of the magic point empirical interpolation method introduced by Barrault et al. (200…
Magic points in finance: Empirical integration for parametric option pricing
Maximilian Gaß, Kathrin Glau, Maximilian Mair
We propose an offline-online procedure for Fourier transform based option pricing. The method supports the acceleration of such essential tasks of mathematical finance as model cal…
Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models
David Criens, Kathrin Glau, Zorana Grbac
We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of se…
Chebyshev Interpolation for Parametric Option Pricing
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt +1
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on t…
Feynman-Kac formula for Lévy processes with discontinuous killing rate
Kathrin Glau
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing…