Dr. Nicole Hufnagel
Mathematisches Institut der Heinrich-Heine-Universität DüsseldorfUniversitätsstr. 1
Building: 25.22.
Floor/Room: 00.56
D - 40225 Düsseldorf
+49 211 81-13781
Research interests
- Machine Learning for finance
- (Self-similar) stochastic processes (e.g., interacting particle systems)
- Statistics for stochastic processes
Teaching
Heinrich-Heine-University
- Seminar in "Introduction to Game Theory" (Fall 2024)
- Tutorials in "Financial Mathematics I" (Spring 2024)
- Tutorials in "Financial Mathematics II" (Fall 2024)
- Tutorials in "Markov Chains" (Spring 2024)
- Tutorials in "Mathematical and statistical methods in pharmacy" (Spring 2024, Fall 2024)
- Tutorials in "Probability Theory" (Fall 2023)
Technical University of Dortmund (as an undergraduate and PhD student)
- Tutorials in "Stochastic Analysis with application in Financial Mathematics" (Spring 2018, Spring 2023)
- Tutorials in "Lévy processes and option pricing" (Fall 2018)
- Tutorials in "Stochastic I" (Spring 2015, Spring 2016, Spring 2022)
- Tutorials in "Stochastic II" (Fall 2015, Fall 2016, Fall 2022)
- Tutorials in "Analysis I" (Fall 2014)
- Tutorials in "Analysis II" (Fall 2016, Fall 2019)
Publications
Submitted for publication:
- Hufnagel N. and Andraus S. (2023+): Collision times of multivariate Bessel processes with their Weyl chambers' boundaries and their Hausdorff dimension.
https://arxiv.org/abs/2312.05420
Peer-reviewed journals:
- Hufnagel N. and Andraus S. (2024): Hausdorff dimension of collision times in one-dimensional log-gases. AIP Advances, Vol. 14, Issue 9.
https://doi.org/10.1063/5.0148019 - Cheng Y., Hufnagel N. and Masuda H. (2022): Estimation of ergodic square-root diffusion under high-frequency sampling. Econometrics and Statistics.
https://doi.org/10.1016/j.ecosta.2022.05.003 - Hufnagel N. and Woerner J.H.C. (2022): Martingale estimation functions for Bessel processes. Statistical Inference for Stochastic Processes, Vol. 25, 337-353.
https://link.springer.com/article/10.1007/s11203-021-09250-8
PhD Thesis:
N. Hufnagel. (2022): Limit Theorems and Statistical Inference for Bessel and Dunkl Processes. PhD thesis, TU Dortmund, 2022.
http://dx.doi.org/10.17877/DE290R-23876