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

16

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8

CROSSREF CITATIONS

30

Scholarly Papers (16)

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 408 (77,459)
Citation 3

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Barrier options, Markov processes

Continuously Monitored Barrier Options Under Markov Processes

Mathematical Finance, Vol. 23, Issue 1, pp. 1-38, 2013
Number of pages: 38 Posted: 10 Jan 2013
Aleksandar Mijatovic and Martijn Pistorius
Imperial College London and Imperial College London
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pricing algorithms, barrier options, continuous‐time Markov chain, local volatility models with jumps, Lévy processes, normal inverse Gaussian process, variance Gamma process, CGMY model, Sato processes, local Lévy 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 236 (141,796)
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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 225 (148,558)
Citation 2

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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 146 (217,982)

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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 139 (226,665)
Citation 5

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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 99 (290,446)

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

7.

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 97 (294,243)

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volatility derivatives, Marov processes

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 University of Ulm - Department of Mathematics and Economics
Downloads 93 (302,330)

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

9.

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 87 (315,307)
Citation 8

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Pricing theory, lattice models, convergence estimates

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 64 (375,050)
Citation 3

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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 52 (414,322)

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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.

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 40 (460,836)
Citation 1

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Heston, large maturity, asymptotics, large deviations

13.

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 34 (487,487)

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

14.

A New Look at Short‐Term Implied Volatility in Asset Price Models with Jumps

Mathematical Finance, Vol. 26, Issue 1, pp. 149-183, 2016
Number of pages: 35 Posted: 13 Jan 2016
Aleksandar Mijatovic and Peter Tankov
Imperial College London and ENSAE Paris
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exponential Lévy models, Blumenthal–Getoor index, short‐dated options, implied volatility

15.

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

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Essential smoothness, large deviation principle, Heston model

16.

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

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