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Professor Aleksandar Mijatovic

Aleks is a Professor of Probability at the Department of Statistics at the University of Warwick and Deputy Head of Department for Research. He is a 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

Alex Mijatovic