Professor Aleksandar Mijatovic

Aleks is a Professor of Probability at the Department of Statistics at the University of Warwick and Fellow of the The Alan Turing Institute.

Aleks was previously Chair in Probability at the Department of Mathematics of King's College LondonLink opens in a new window and Reader in Probability at the Mathematics Department of Imperial College LondonLink opens in a new window. Aleks obtained his Ph.D. in low-dimensional topology at the DPMMSLink opens in a new window and Trinity College CambridgeLink opens in a new window, before working in the City of London as a front-office quantitative analyst in Foreign Exchange derivatives markets. Aleks’ research interests include:

The webpage and Aleks' YouTube channel Prob-AM contain more information about the research of his group. Aleks' research interests include:

• Probability: stability of stochastic systems; invariance principles; local time; coupling; stochastic processes on manifolds; stochastic analysis for processes with and without jumps; Levy processes; random walks; Markov chains; branching; stochastic control & optimal stopping

• Numerical stochastics: simulation of processes with and without jumps; weak and strong approximations; Markov chain Monte Carlo; exact simulation; stochastic gradient descent

• Mathematical finance: risk management and price prediction; implied volatility surface; stochastic volatility models with jumps; arbitrage

• Statistics: calibration and parameter estimation algorithms for continuous-time models using discrete observations; option price prediction; regularisation

Many of Aleks' papers are available on arXivLink opens in a new window. See also webpage and YouTube channel Prob-AM.

Email: aleks dot mijatovic at gmail dot com (a dot mijatovic at warwick dot ac dot uk also works)

Office: D0.14 Zeeman Building