Prof. Dr. Kathrin Glau

Junior Professor

Mathematical finance

Department

Mathematics

Contact Details

Business card at TUMonline

Academic Career and Research Areas

The research area of Professor Kathrin Glau is numerical methods in financial mathematics. Her focus lies on the interface between numerical and stochastic analysis. In academia and the financial services industry various alternative models are applied to a wide range of markets and derivatives. This implies that a systematic study of numerical methods is necessary. The objective is the development of efficient algorithms for calibration, pricing and hedging in various models and for different options. This is achieved by solving integro differential equations with finite element methods.

Kathrin Glau studied mathematics at the University of Freiburg where she received her PhD in 2010 while working with Professor Ernst Eberlein. After that she became a research fellow at the University of Vienna where she worked with Professor Walter Schachermayer. In September 2011 she was appointed junior professor of financial mathematics at TUM.

Key Publications (alle Publikationen)

Eberlein E, Glau K, Papapantoleon A: ”Analysis of Fourier transform valuation formulas and applications”. Applied Mathematical Finance. 2010; 17(3); 211–240.

Abstract

Eberlein E, Glau K, Papapantoleon A: ”Analyticity of the Wiener–Hopf factors and valuation of exotic options in Lévy models”. In: Advanced Mathematical Methods for Finance. Editors: Di Nunno G, Øksendal B. Springer: Heidelberg, 2011, 223–245.

Abstract