Aleksandar Mijatović
Chair in Probability
Department of Mathematics
King's College London
Strand, London WC2R 2LS
Room S4.35, Strand Building
Tel: +44 (0)20 7848 7916
Email: aleksandar.mijatovic@kcl.ac.uk
Web: KCL homepage
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Research interests
- Probability: martingales and their applications; processes with jumps; SDEs; stochastic and functional analysis; random walks; Markov chains; coupling; branching
- Mathematical finance: pricing and hedging of derivatives; implied volatility surface; Stochastic Volatility models with Jumps (SVJ); stochastic control & optimal stopping
- Statistics: calibration and parameter estimation algorithms for continuous-time models (FI, equity and FX data); option price prediction; regularisation
- Numerical stochastics: simulation of processes with and without jumps; weak and strong approximations; multi-level Monte Carlo; Markov Chain Monte Carlo