关注
Professor Aleksandar Mijatovic
Professor Aleksandar Mijatovic
Department of Statistics, The University of Warwick
在 warwick.ac.uk 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
On the martingale property of certain local martingales
A Mijatović, M Urusov
Probability Theory and Related Fields 152 (1), 1-30, 2012
1442012
Continuously monitored barrier options under Markov processes
A Mijatović, M Pistorius
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
1262013
On the drawdown of completely asymmetric Lévy processes
A Mijatović, MR Pistorius
Stochastic Processes and their Applications 122 (11), 3812-3836, 2012
882012
Asymptotic formulae for implied volatility in the Heston model
M Forde, A Jacquier, A Mijatović
Proceedings of the Royal Society A: Mathematical, Physical and Engineering …, 2010
792010
Nonasymptotic bounds for sampling algorithms without log-concavity
MB Majka, A Mijatović, Ł Szpruch
782020
A new look at short‐term implied volatility in asset price models with jumps
A Mijatović, P Tankov
Mathematical Finance 26 (1), 149-183, 2016
632016
On the limit distributions of continuous-state branching processes with immigration
M Keller-Ressel, A Mijatović
Stochastic Processes and their Applications 122 (6), 2329-2345, 2012
492012
Convergence of integral functionals of one-dimensional diffusions
A Mijatovic, M Urusov
482012
Approximating Lévy processes with a view to option pricing
J Crosby, N Le Saux, A Mijatović
International Journal of Theoretical and Applied Finance 13 (01), 63-91, 2010
482010
Simplifying triangulations of S3
A Mijatović
Pacific journal of mathematics 208 (2), 291-324, 2003
402003
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
A Jacquier, M Keller-Ressel, A Mijatović
Stochastics An International Journal of Probability and Stochastic Processes …, 2013
382013
On the Poisson equation for Metropolis–Hastings chains
A Mijatović, J Vogrinc
302018
Local time and the pricing of time-dependent barrier options
A Mijatović
Finance and Stochastics 14, 13-48, 2010
272010
On the policy improvement algorithm in continuous time
SD Jacka, A Mijatović
Stochastics 89 (1), 348-359, 2017
262017
Spectral methods for volatility derivatives
C Albanese, H Lo, A Mijatović
Quantitative Finance 9 (6), 663-692, 2009
252009
Geometrically convergent simulation of the extrema of Lévy processes
JI González Cázares, A Mijatović, G Uribe Bravo
Mathematics of Operations Research 47 (2), 1141-1168, 2022
222022
Exotic derivatives under stochastic volatility models with jumps
A Mijatović, M Pistorius
Advanced mathematical methods for finance, 455-508, 2011
212011
A note on the exact simulation of spherical Brownian motion
A Mijatović, V Mramor, GU Bravo
Statistics & Probability Letters 165, 108836, 2020
192020
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
A Mijatović, M Urusov
Finance and Stochastics 16, 225-247, 2012
192012
An integral equation for Root's barrier and the generation of Brownian increments
P Gassiat, A Mijatović, H Oberhauser
The Annals of Applied Probability, 2039-2065, 2015
182015
系统目前无法执行此操作,请稍后再试。
文章 1–20