Concepedia

Aleksandar Mijatović

AM

22

Publications

700

Citations

14

H-Index

2003

Active since

Affiliations

University of Warwick(Current)

Imperial College London

Universidad Nacional Autónoma de México

The Alan Turing Institute

University of Duisburg-Essen

Aleksandar Mijatović is an author at University of Warwick specializing in stochastic calculus, engineering, and stochastic processes.

Top concepts

Stochastic CalculusEngineeringStochastic ProcessesProbabilityBusinessAsset PricingOption PricingBrownian MotionFinanceEconomics

Publications per year

2003–2022

22

Publications

22

On the martingale property of certain local martingales

Aleksandar Mijatović, Mikhail Urusov · Probability Theory and Related Fields · 2010 · 127 citations · Full text

Stochastic Calculus, Martingale Property

On the drawdown of completely asymmetric Lévy processes

Aleksandar Mijatović, Martijn Pistorius · Stochastic Processes and their Applications · 2012 · 90 citations · Full text

Asymmetric Lévy Processes, Stochastic Phenomenon, Levy Process

Asymptotic formulae for implied volatility in the Heston model

Martin Forde, Antoine Jacquier, Aleksandar Mijatović · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2010 · 64 citations · Full text

Spectral Theory, Engineering, Stochastic Calculus +7

A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

Aleksandar Mijatović, Peter Tankov · Mathematical Finance · 2013 · 51 citations · Full text

Economics, Volatility Modeling, Multivariate Stochastic Volatility +15

On the limit distributions of continuous-state branching processes with immigration

Martin Keller‐Ressel, Aleksandar Mijatović · Stochastic Processes and their Applications · 2012 · 43 citations

Engineering, Integrable Probability, Stochastic Processes +6

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