Publications of Aleksandar Mijatović

Publications in journals

  • On the Poisson equation for Metropolis-Hastings chains (with Jure Vogrinc), to appear in Bernoulli [Abstract; PDF]
  • On the policy improvement algorithm in continuous time (with Saul Jacka) Stochastics Volume 89 (2017), pp. 348--359 [Abstract; PDF]
  • Joint asymptotic distribution of certain path functionals of the reflected process (with Martijn Pistorius) ECP Volume 21, no. 4 (2016), paper no. 43, 18 pp. [Abstract; PDF]
  • Anomalous recurrence properties of many-dimensional zero-drift random walks (with Nicholas Georgiou, Mikhail V. Menshikov and Andrew R. Wade) Probability, Analysis and Number Theory, special issue of Advances in Applied Probability Volume 48 (Jul 2016), pp. 99-118 [Abstract; PDF]
  • On the weak limit law of the maximal uniform $k$-spacing (with Vladislav Vysotsky) Probability, Analysis and Number Theory, special issue of Advances in Applied Probability Volume 48 (Jul 2016), pp. 235--238 [Abstract; PDF]
  • A new look at short-term implied volatility in asset price models with jumps (with Peter Tankov) Mathematical Finance Volume 26, no. 1 (2016), pp. 149--183 [Abstract; PDF]
  • Randomisation and recursion methods for mixed-exponential Levy models (with Martijn Pistorius and Johannes Stolte) Journal of Applied Probability Volume 52, Issue 4 (Dec 2015), pp. 1076-1096 [Abstract; PDF]
  • Markov chain approximations to scale functions of Levy processes (with Matija Vidmar and Saul Jacka) SPA Volume 125, Issue 10 (Oct 2015), pp. 3932--3957 [Abstract; PDF; Matlab Code]
  • An integral equation for Root's barrier and the generation of Brownian increments (with Paul Gassiat and Harald Oberhauser) Annals of Applied Probability Volume 25, no. 4 (2015), pp. 2039--2065 [Abstract; PDF]
  • Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes (with Martijn Pistorius) SPA Volume 125, Issue 8 (Aug 2015), pp. 2937-–2954 [Abstract; PDF]
  • On the loss of the semimartingale property at the hitting time of a level (with Mikhail Urusov), to appear in Journal of Theoretical Probability Volume 28, Issue 3 (Sep 2015), pp. 892--922 [Abstract; PDF]
  • Coupling and tracking of regime-switching martingales (with Saul Jacka) Electronic Journal of Probability Volume 20 (2015), 1--39 [Abstract; PDF]
  • Asymptotic independence of three statistics of maximal segmental scores (with Martijn Pistorius) Statistics & Probability Letters Volume 99 (April 2015), 185--191 [Abstract; PDF]
  • Large deviations for the extended Heston model: the large-time case (with Antoine Jacquier), Asia-Pacific Financial Markets Volume 21, no. 3 (2014), 263--280 [Abstract; PDF]
  • Arbitrage-free prediction of the implied volatility smile (with Petros Dellaportas), Risk, appeared as a Technical paper in the issue of Risk on the 30th of April 2014 [Abstract; PDF]
  • Markov chain approximations for transition densities of Levy processes (with Matija Vidmar and Saul Jacka), Electronic Journal of Probability Volume 19 (2014), 1--37 [Abstract; PDF]
  • Mirror and synchronous couplings of geometric Brownian motions (with Saul Jacka and Dejan Širaj), SPA Volume 124, no. 2 (2014), 1055--1069 [Abstract; PDF]
  • Empirical asset pricing with nonlinear risk premia (with Paul Schneider), Journal of Financial Econometrics Volume 12, no. 3 (2014), 479--506 [Abstract; PDF]
  • Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (with Antoine Jacquier and Martin Keller-Ressel), Stochastics Volume 85, no. 2 (2013), 321--345 [Abstract; PDF]
  • Convergence of integral functionals of one-dimensional diffusions (with Mikhail Urusov), Electronic Communications in Probability Volume 17 (2012), 1--13 [Abstract; PDF]
  • On the limit distributions of continuous-state branching processes with immigration (with Martin Keller-Ressel), SPA Volume 122, no. 6 (2012), 2329--2345 [Abstract; PDF]
  • On the drawdown of completely asymmetric Levy processes (with Martijn Pistorius), SPA Volume 122, no. 11 (2012), 3812--3836 [Abstract; PDF]
  • A note on delta hedging in markets with jumps (with Mikhail Urusov), IMA Journal of Applied Mathematics Volume 79, no. 2 (2014), 300-312 [Abstract; PDF]
  • Martingale property of generalized stochastic exponentials (with Nika Novak and Mikhail Urusov), Séminaire de Probabilités XLIV, Lecture Notes in Mathematics, Volume 2046 (2012), 41--59 [Abstract; PDF]
  • A note on a paper by Wong and Heyde (with Mikhail Urusov), Journal of Applied Probability Volume 48, no. 3 (2011), 811--819 [Abstract; PDF]
  • Continuously monitored barrier options under Markov processes (with Martijn Pistorius), Mathematical Finance Volume 23, no. 1 (2013), 1--38 [Abstract; PDF; Matlab Code]
  • Deterministic criteria for the absence of arbitrage in diffusion models (with Mikhail Urusov), Finance and Stochastics Volume 16, no. 2 (2012), 225--247 [Abstract; PDF]
  • On the martingale property of certain local martingales (with Mikhail Urusov), PTRF Volume 152, no. 1 (2012), 1--30 [Abstract; PDF]
  • A note on essential smoothness in the Heston model (with Martin Forde and Antoine Jacquier), Finance and Stochastics Volume 15 (2011), 781--784 [Abstract; PDF]
  • Volatility derivatives in market models with jumps (with Harry Lo), IJTAF Volume 14, no. 07 (2011), 1159--1193 [Abstract; PDF; Matlab Code]
  • Asymptotic formulae for implied volatility in the Heston model (with Martin Forde and Antoine Jacquier), Proceedings of the Royal Society A Volume 466, no. 2124 (2010), 3593--3620 [Abstract; PDF]
  • Approximating Levy processes with a view to option pricing (with John Crosby and Nolwenn Le Saux), IJTAF Volume 13, Issue 1 (2010), pp. 63--91 [Abstract; PDF; Excel Spreadsheet]
  • Globally optimal parameter estimates for nonlinear diffusions (with Paul Schneider), Annals of Statistics Volume 38, no. 1 (2010), 215--245 [Abstract; PDF; C++ Code]
  • Local time and the pricing of time-dependent barrier options, Finance and Stochastics Volume 14, no. 1 (2010), 13--48 [Abstract; PDF]
  • Spectral methods for volatility derivatives (with Claudio Albanese and Harry Lo), Quantitative Finance Volume 9, Issue 6 (2009), 663--692 [Abstract; PDF]
  • Spectral properties of trinomial trees, Proceedings of the Royal Society A Volume 463, no. 2083 (2007), 1681--1696 [Abstract; PDF]
  • A stochastic volatility model for risk-reversals in foreign exchange (with Claudio Albanese), IJTAF Volume 12, Issue 6 (2009), 877--899 [Abstract; PDF]
  • Simplicial structures of knot complements, Mathematical Research Letters Volume 12, no. 5--6 (2005), 843--856 [Abstract; PDF]
  • Triangulations of fibre-free Haken 3-manifolds, Pacific Journal of Mathematics Volume 219, no. 1 (2005), 139--186 [Abstract; PDF]
  • Triangulations of Seifert fibred manifolds, Mathematische Annalen Volume 330, no. 2 (2004), 235--273 [Abstract; PDF]
  • Simplifying triangulations of the 3-sphere, Pacific Journal of Mathematics Volume 208, no. 2 (2003), 291--324 [Abstract; PDF]

    • Chapters in books

  • Exotic derivatives in stochastic volatility models with jumps (with Martijn Pistorius), Advanced Mathematical Methods for Finance, Springer, 2011, Editors G. Di Nunno, B. Oksendal, 455--508 [Abstract; PDF]

    • Publications in conference proceedings

  • On additive time-changes of Feller processes (with Martijn Pistorius), Progress in Analysis and its Applications, Proceedings of the 7th International Isaac Congress, Imperial College London UK, 13 - 18 July 2009, 431--437 [Abstract; PDF]