9 citations · 11 across the 5 of their papers we have counts for
6 papers
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
Maximilian Gaß, Kathrin Glau
Two essential quantities for the analysis of approximation schemes of evolution equations are stability and convergence. We derive stability and convergence of fully discrete appro…
Calibration to American Options: Numerical Investigation of the de-Americanization
Olena Burkovska, Maximilian Gaß, Kathrin Glau +3
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is in…
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…
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…
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…