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Professor Aleksandar Mijatović

 Aleksander Mijatovic

Telephone: +44 020 7848 7916

Email: aleksandar.mijatovic@kcl.ac.uk

Office: S4.35, Strand Building, Strand Campus

Title: Chair in Probability

Biography

Aleksandar Mijatović holds a Chair in Probability, within the Financial Mathematics research group in the Department of Mathematics of King's College London.  Before joining KCL, Professor Mijatović was a Reader in Probability at Imperial College London and Associate Professor at the University of Warwick. He has worked as a front-office quantitative analyst for the Foreign Exchange Derivatives desk at the Royal Bank of Scotland in the City of London. His earlier positions include a Lectureship and a Research Fellowship at Imperial. He holds a PhD in low-dimensional topology from Trinity College, Cambridge.

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

More Information

research profile
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