Kathrin Glau

Queen Mary University of London

Mile End Rd

Mile End Road

London , London E1 4NS

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

50

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
Ecole Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and Ecole Polytechnique Fédérale de Lausanne
Downloads 47 (413,150)

Abstract:

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Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems

2.

The Chebyshev Method for the Implied Volatility

Journal of Computational Finance, Vol. 23, No. 3, 2019
Number of pages: 32 Posted: 23 Dec 2019
Queen Mary University of London, Technical University Munich, University of Maryland - Robert H. Smith School of Business and Queen Mary University of London
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Abstract:

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,comma separated,

3.

Complexity Reduction for Calibration to American Options

Journal of Computational Finance, Vol. 23, No. 1, 2019
Number of pages: 36 Posted: 03 Jul 2019
Florida State University, Queen Mary University of London, Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 1 (674,756)
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Abstract:

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reduced basis method (RBM), model reduction, American option, calibration, Heston model, de-Americanization