Andreas Neuenkirch
Universität Mannheim
H-index: 25
Europe-Germany
Top articles of Andreas Neuenkirch
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Functional differential equations driven by c\adl\ag rough paths | arXiv preprint arXiv:2403.17573 | Anna P Kwossek Andreas Neuenkirch David J Prömel | 2024/3/26 |
The weak convergence order of two Euler-type discretization schemes for the log-Heston model | IMA Journal of Numerical Analysis | Annalena Mickel Andreas Neuenkirch | 2023/11 |
On the convergence order of the Euler scheme for scalar SDEs with H\" older-type diffusion coefficients | arXiv preprint arXiv:2307.11448 | Annalena Mickel Andreas Neuenkirch | 2023/7/21 |
The order barrier for the -approximation of the log-Heston SDE at a single point | arXiv preprint arXiv:2212.07252 | Annalena Mickel Andreas Neuenkirch | 2022/12/14 |
Sharp -Approximation of the log-Heston SDE by Euler-type methods | arXiv preprint arXiv:2206.03229 | Annalena Mickel Andreas Neuenkirch | 2022/6/7 |
D. Higham, P. Kloeden:“An Introduction to the Numerical Simulation of Stochastic Differential Equations” SIAM, 2021, xvi+ 277 pp. | Andreas Neuenkirch | 2022/6 | |
The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem | IMA Journal of Numerical Analysis | Andreas Neuenkirch Michaela Szölgyenyi | 2021/4 |
The weak convergence rate of two semi-exact discretization schemes for the Heston model | Risks | Annalena Mickel Andreas Neuenkirch | 2021/1/12 |
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