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Kathrin Glau
FELLOW co-founded by Marie Skłodowska Curie at École Polytechnique Fédérale de Lausanne & Financial Mathematics at Queen Mary University of London

Profile

Kathrin Glau currently is a Lecturer in Financial Mathematics at Queen Mary University of London & FELLOW co-founded by Marie Skłodowska Curie at École Polytechnique Fédérale de Lausanne. Between 2011 and 2017 she was Junior Professor at the Technical University of Munich. Prior to this she worked as a postdoctoral university assistant at the chair of Prof. Walter Schachermayer at the University of Vienna. In September 2010 she completed her Ph.D. on the topic of Feynman-Kac representations for option pricing in Lévy models at the chair of Ernst Eberlein.

Her research is driven by the interdisciplinary nature of computational finance and reaches across the borders of finance, stochastic analysis and numerical analysis. At the core of her current research is the design and implementation of complexity reduction techniques for finance. Key to her approach is the decomposition of algorithms in an offline phase, which is a learning step, and a fast and accurate online phase. The methods range from model order reduction of parametric partial differential equations to learning algorithms and are designed to facilitate such diverse tasks as uncertainty quantification and calibration, real-time pricing, real-time risk monitoring, and intra-day stress testing.

Kathrin Glau's Network

Agenda Sessions

  • Chairman's opening remarks

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  • Chairman’s opening remarks

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  • Holistic view of XVAs: What are the combined effects of XVAs on pricing?

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  • Chairman's closing remarks

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Speakers at this event