Annalena Mickel

Annalena Mickel completed her doctoral studies in mathematics at the University of Mannheim under the supervision of Andreas Neuenkirch in 2023. Her main field of research are numerical methods for stochastic differential equations, in particular the Heston model and the CIR process.

After obtaining her PhD, she has started to work at a major German bank.

Articles by Annalena Mickel

Original research

Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

The authors employ Euler-type methods to study the L¹ approximation of the log-Heston stochastic differential equation at equidistant time points.

22 Jun 2023