Alex is a Professor at the Department of Statistics. He is a Turing Fellow and Strategic Leader of the Mathematical Foundations Challenge of the Programme on Data-Centric Engineering at The Alan Turing Institute.
Alex was previously Chair in Probability at King's College London and Reader in Probability at Imperial College London. Alex completed a Ph.D. in low-dimensional topology at the DPMMS and Trinity College Cambridge, before briefly working in the City as a front-office quantitative analyst.
His 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
- 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 his papers are available on arXiv.
Email: aleks dot mijatovic at gmail dot com (a dot mijatovic at warwick dot ac dot uk or amijatovic at turing dot ac dot uk also work)
Office: D0.14 Zeeman Building