2022

González Cázares, Jorge and Mijatović, Aleksandar (2022) Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Finance and Stochastics, 26 (4). pp. 671-732. doi:10.1007/s00780-022-00486-7

González Cázares, Jorge Ignacio and Mijatović, Aleksandar (2022) Convex minorants and the fluctuation theory of Lévy processes. Latin American Journal of Probability and Mathematical Statistics, 19 (1). pp. 983-999. doi:10.30757/ALEA.v19-39

2021

González Cázares, Jorge, Mijatović, Aleksandar and Uribe Bravo, Gerónimo (2021) Geometrically convergent simulation of the extrema of Lévy processes. Mathematics of Operations Research, 47 (2). pp. 1141-1168. doi:10.1287/moor.2021.1163

Mijatović, Aleksandar and Mramor, Veno (2021) Lévy processes on smooth manifolds with a connection. Electronic Journal of Probability, 26 . doi:10.1214/21-ejp702

2020

Menshikov, Mikhail V., Mijatović, Aleksandar and Wade, Andrew R. (2020) Reflecting random walks in curvilinear wedges. In: Vares, M. E. and Fernández , R. and Fontes , L. R. and Newman , C. M. , (eds.) In and Out of Equilibrium 3 : Celebrating Vladas Sidoravicius. Progress in Probability, 77 . Cham: Birkhäuser, pp. 637-675. ISBN 9783030607531

Mijatović, Aleksandar, Mramor, Veno and Uribe Bravo, Gerónimo (2020) A note on the exact simulation of spherical Brownian motion. Statistics and Probability Letters, 165 . 108836. doi:10.1016/j.spl.2020.108836

Majka, Mateusz B., Mijatović, Aleksandar and Szpruch, Lukasz (2020) Nonasymptotic bounds for sampling algorithms without log-concavity. The Annals of Applied Probability, 30 (4). pp. 1534-1581. doi:10.1214/19-AAP1535

2019

Mijatović, Aleksandar and Vogrinc, Jure (2019) Asymptotic variance for random walk metropolis chains in high dimensions : logarithmic growth via the Poisson equation. Advances in Applied Probability, 51 (4). pp. 994-1026. doi:10.1017/apr.2019.40

González Cázares, Jorge Ignacio, Mijatović, Aleksandar and Uribo Bravo, Gerónimo (2019) Exact simulation of the extrema of stable processes. Advances in Applied Probability, 51 (4). pp. 967-993. doi:10.1017/apr.2019.39

Georgiou, Nicholas, Mijatović, Aleksandar and Wade, Andrew R. (2019) Invariance principle for non-homogeneous random walks. Electronic Journal of Probability, 24 . 48. doi:10.1214/19-EJP302

2018

Mijatović, Aleksandar and Vogrinc, Jure (2018) On the Poisson equation for Metropolis–Hastings chains. Bernoulli, 24 (3). pp. 2401-2428. doi:10.3150/17-BEJ932

Mijatović, Aleksandar, Mramor, Veno and Uribe Bravo, Gerónimo (2018) Projections of spherical Brownian motion. Electronic communications in probability, 23 . doi:10.1214/18-ECP162

Georgiou, Nicholas, Mijatović, Aleksandar and Wade, Andrew R. (2018) A radial invariance principle for non-homogeneous random walks. Electronic communications in probability, 23 . 11. doi:10.1214/18-ECP159

2016

Mijatović, Aleksandar and Tankov, Peter (2016) A new look at short-term implied volatility in asset price models with jumps. Mathematical Finance, 26 (1). pp. 149-183. doi:10.1111/mafi.12055

2015

Mijatović, Aleksandar, Vidmar, Matija and Jacka, Saul D. (2015) Markov chain approximations to scale functions of Lévy processes. Stochastic Processes and their Applications, 125 (10). pp. 3932-3957. doi:10.1016/j.spa.2015.05.012

Gassiat, Paul, Mijatović, Aleksandar and Oberhauser, Harald (2015) An integral equation for Root’s barrier and the generation of Brownian increments. The Annals of Applied Probability, 25 (4). pp. 2039-2065. doi:10.1214/14-AAP1042

Jacka, Saul D. and Mijatović, Aleksandar (2015) Coupling and tracking of regime-switching martingales. Electronic Journal of Probability, 20 . pp. 1-39. 38. doi:10.1214/EJP.v20-2307

2014

Jacka, Saul D., Mijatović, Aleksandar and Širaj, Dejan (2014) Mirror and synchronous couplings of geometric Brownian motions. Stochastic Processes and their Applications, Volume 124 (Number 2). pp. 1055-1069. doi:10.1016/j.spa.2013.10.003

Mijatović, Aleksandar, Vidmar, Matija and Jacka, Saul D. (2014) Markov chain approximations for transition densities of Lévy processes. Electronic Journal of Probability, Volume 19 . pp. 1-37. Article number 7. doi:10.1214/EJP.v19-2208

2012

Keller-Ressel, Martin and Mijatović, Aleksandar (2012) On the limit distributions of continuous-state branching processes with immigration. Stochastic Processes and their Applications, Vol.122 (No.6). pp. 2329-2345. doi:10.1016/j.spa.2012.03.012

Mijatović, Aleksandar and Urusov, Mikhail (2012) Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance and Stochastics, Vol.16 (No.2). pp. 225-247. doi:10.1007/s00780-010-0152-6

Mijatović, Aleksandar, Novak, Nika and Urusov, Mikhail (2012) Martingale property of generalized stochastic exponentials. In: Séminaire de Probabilités XLIV. Lecture Notes in Mathematics, Volume 2046 . Berlin Heidelberg: Springer, pp. 41-59. ISBN 9783642274602

Mijatović, Aleksandar and Pistorius, Martijn R. (2012) On the drawdown of completely asymmetric Lévy processes. Stochastic Processes and their Applications, Vol. 122 (No. 11). pp. 3812-3836. doi:10.1016/j.spa.2012.06.012

Mijatović, Aleksandar and Urusov, Mikhail (2012) On the martingale property of certain local martingales. Probability Theory and Related Fields, Vol. 152 (No. 1-2). pp. 1-30. doi:10.1007/s00440-010-0314-7

2011

Lo, Harry and Mijatović, Aleksandar (2011) Volatility derivatives in market models with jumps. International Journal of Theoretical and Applied Finance, Vol.14 (No.7). pp. 1159-1158. doi:10.1142/S0219024911006656

Forde, Martin, Jacquier, Antoine and Mijatović, Aleksandar (2011) A note on essential smoothness in the Heston model. Finance and Stochastics, 15 (4). pp. 781-784. doi:10.1007/s00780-011-0162-z