I am also a member of the RTG 1953 Statistical Modeling of Complex Systems and Processes.
Research Interests
- Numerical Schemes for Stochastic Differential Equations
- Heston Model and CIR Process
Teaching
- HWS 2022: Numerik (Tutorium)
- FSS 2022: Computational Finance (Übungsleitung)
- HWS 2021: Numerik (Tutorium)
- HWS 2020: Lineare Optimierung (Übungsleitung)
- HWS 2019: Numerics of Ordinary Differential Equations (Übungsleitung)
- HWS 2018: Einführung in die Wahrscheinlichkeitstheorie (Tutorium)
- HWS 2017: Einführung in die Wahrscheinlichkeitstheorie (Tutorium)
Publications
- Mickel, A. and Neuenkirch, A. (2023). The weak convergence order of two Euler-type discretization schemes for the log-Heston model. IMA Journal of Numerical Analysis : IMAJNA (forthcoming).
- Mickel, A. and Neuenkirch, A. (2021). The weak convergence rate of two semi-exact discretization schemes for the Heston model. Risks : Open Access Journal, 9, Article 23.
Preprints
- Mickel, A. und Neuenkirch, A. (2022), The order barrier for the L1-approximation of the log-Heston SDE at a single point, arXiv:2212.07252
- Mickel, A. und Neuenkirch, A. (2022), Sharp L1-Approximation of the log-Heston SDE by Euler-type methods, arXiv:2206.03229