Aleksandar Mijatovic

Imperial College London

Reader in Probability

Department of Mathematics

180 Queen's Gate

London, SW7 2AZ

United Kingdom

http://www3.imperial.ac.uk/people/a.mijatovic

SCHOLARLY PAPERS

15

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2,298

SSRN CITATIONS
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10

CROSSREF CITATIONS

30

Scholarly Papers (15)

1.

Continuously Monitored Barrier Options Under Markov Processes

Number of pages: 62 Posted: 27 Aug 2009 Last Revised: 11 Oct 2010
Martijn Pistorius and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 523 (101,615)
Citation 6

Abstract:

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Barrier options, Markov processes

2.

Spectral Methods for Volatility Derivatives

Number of pages: 40 Posted: 02 Oct 2007 Last Revised: 13 May 2009
Claudio Albanese, Aleksandar Mijatovic and Harry Lo
Global Valuation, Imperial College London and Imperial College London
Downloads 299 (192,566)

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3.

Empirical Asset Pricing with Nonlinear Risk Premia

Number of pages: 30 Posted: 01 Nov 2009 Last Revised: 02 Apr 2013
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 262 (218,657)
Citation 2

Abstract:

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risk premia, diffusion processes, forecasting

4.

Arbitrage-Free Prediction of the Implied Volatility Smile

Risk Magazine, Forthcoming
Number of pages: 18 Posted: 23 Jul 2014
Petros Dellaportas and Aleksandar Mijatovic
Athens University of Economics and Business and Imperial College London
Downloads 198 (285,504)

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Prediction of option prices in FX, Risk-neutral measure, Implied Volatility, trading strategy for options

5.

Approximating Levy Processes with a View to Option Pricing

Number of pages: 22 Posted: 14 May 2009
John Crosby, Nolwenn Le Saux and Aleksandar Mijatovic
affiliation not provided to SSRN, affiliation not provided to SSRN and Imperial College London
Downloads 176 (317,037)
Citation 5

Abstract:

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Levy process, stochastic approximation, barrier and vanilla pricing

6.

Globally Optimal Parameter Estimates for Non-Linear Diffusions

Number of pages: 26 Posted: 19 Mar 2008 Last Revised: 14 May 2009
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 151 (361,192)

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Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation

7.

Convergence Rates for Diffusions on Continuous-Time Lattices

Number of pages: 22 Posted: 02 Oct 2007
Claudio Albanese and Aleksandar Mijatovic
Global Valuation and Imperial College London
Downloads 132 (401,797)
Citation 8

Abstract:

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Pricing theory, lattice models, convergence estimates

8.

A Note on Delta Hedging in Markets with Jumps

Number of pages: 16 Posted: 26 Mar 2011
Aleksandar Mijatovic and Mikhail Urusov
Imperial College London and Ulm University - Department of Mathematics and Economics
Downloads 122 (426,436)

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Delta hedging, Black-Merton-Scholes model, models with jumps

9.

Volatility Derivatives in Market Models with Jumps

Number of pages: 27 Posted: 13 May 2009
Harry Lo and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 121 (429,101)

Abstract:

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volatility derivatives, Marov processes

10.

Large Deviations and Stochastic Volatility with Jumps: Asymptotic Implied Volatility for Affine Models

Number of pages: 30 Posted: 30 Aug 2011
Antoine (Jack) Jacquier, Martin Keller-Ressel and Aleksandar Mijatovic
Imperial College London, Dresden University of Technology - Department of Mathematics and Imperial College London
Downloads 91 (523,715)
Citation 3

Abstract:

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large deviation principle, stochastic volatility with jumps, affine processes, implied volatility in the large maturity limit

11.

Exotic Derivatives under Stochastic Volatility Models with Jumps

Number of pages: 47 Posted: 14 Dec 2009 Last Revised: 10 Oct 2010
Aleksandar Mijatovic and Martijn Pistorius
Imperial College London and Imperial College London
Downloads 75 (588,074)

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Double-barrier options, volatility surface, volatility derivatives, forward starting options, stochastic volatility models with jumps, fluid embedding, complex matrix Wiener-Hopf factorisation

12.

A Stochastic Volatility Model for Risk-Reversals in Foreign Exchange

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 877-899, 2009
Number of pages: 20 Posted: 01 Dec 2009 Last Revised: 10 May 2011
Claudio Albanese and Aleksandar Mijatovic
Global Valuation and Imperial College London
Downloads 75 (588,074)

Abstract:

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Stochastic volatility, volatility surface dynamics, foreign exchange, risk-reversals, continuous-time Markov chains

13.

Large Deviations for the Extended Heston Model: The Large-Time Case

Number of pages: 21 Posted: 24 Mar 2012
Antoine (Jack) Jacquier and Aleksandar Mijatovic
Imperial College London and Imperial College London
Downloads 73 (596,878)
Citation 1

Abstract:

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Heston, large maturity, asymptotics, large deviations

14.

A Note on Essential Smoothness in the Heston Model

Finance Stochastics, Forthcoming
Posted: 15 Jul 2011 Last Revised: 19 Apr 2013
Antoine (Jack) Jacquier, Aleksandar Mijatovic and Martin Forde
Imperial College London, Imperial College London and Dublin City University - Department of Mathematical Sciences

Abstract:

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Essential smoothness, large deviation principle, Heston model

15.

Asymptotic Formulae for Implied Volatility in the Heston Model

Proceedings of the Royal Society A
Posted: 16 Nov 2009 Last Revised: 23 Mar 2012
Martin Forde, Antoine (Jack) Jacquier and Aleksandar Mijatovic
Dublin City University - Department of Mathematical Sciences, Imperial College London and Imperial College London

Abstract:

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implied volatility, Heston model, closed-form formula, saddlepoint approximation, calibration