Aleksandar Mijatovic

Publication Activity (10 Years)

Years Active: 2010-2023
Publications (10 Years): 5

Top Topics

Formal Analysis

Simulation Models

Top Venues

Finance Stochastics

J. Appl. Probab.

Math. Oper. Res.

Publications

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatovic
Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function. CoRR (2023)
Jorge Ignacio González Cázares, Aleksandar Mijatovic, Gerónimo Uribe Bravo
Geometrically Convergent Simulation of the Extrema of Lévy Processes. Math. Oper. Res. 47 (2) (2022)
Aleksandar Mijatovic, Veno Mramor, Gerónimo Uribe Bravo
An algorithm for simulating Brownian increments on a sphere. CoRR (2020)
Rados Dabic, Sasa Jednak, Ilija Adzic, Dusko Stanic, Aleksandar Mijatovic, Stanislav Vuckovic
Direct Test Methodology for HDL Verification. DDECS (2015)
Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications. J. Appl. Probab. 52 (4) (2015)
Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic
Correction note for 'The large-maturity smile for the Heston model'. Finance Stochastics 17 (1) (2013)
Aleksandar Mijatovic, Mikhail Urusov
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models. Finance Stochastics 16 (2) (2012)
Martin Forde, Antoine Jacquier, Aleksandar Mijatovic
A note on essential smoothness in the Heston model. Finance Stochastics 15 (4) (2011)
Aleksandar Mijatovic
Local time and the pricing of time-dependent barrier options. Finance Stochastics 14 (1) (2010)