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Professor Aleksandar Mijatovic

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: a.mijatovic@warwick.ac.uk

Alex Mijatovic