Aleksandar Mijatovic

According to our database, Aleksandar Mijatovic authored at least 9 papers between 2010 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function.

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatovic

CoRR, 2023

2022

Geometrically Convergent Simulation of the Extrema of Lévy Processes.

Jorge Ignacio González Cázares, Aleksandar Mijatovic, Gerónimo Uribe Bravo

Math. Oper. Res., 2022

2020

An algorithm for simulating Brownian increments on a sphere.

Aleksandar Mijatovic, Veno Mramor, Gerónimo Uribe Bravo

CoRR, 2020

2015

Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications.

Aleksandar Mijatovic, Martijn Pistorius, Johannes Stolte

J. Appl. Probab., 2015

Direct Test Methodology for HDL Verification.

Rados Dabic, Sasa Jednak, Ilija Adzic, Dusko Stanic, Aleksandar Mijatovic, Stanislav Vuckovic

Proceedings of the 18th IEEE International Symposium on Design and Diagnostics of Electronic Circuits & Systems, 2015

2013

Correction note for 'The large-maturity smile for the Heston model'.

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish, Aleksandar Mijatovic

Finance Stochastics, 2013

2012

Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models.

Aleksandar Mijatovic, Mikhail Urusov

Finance Stochastics, 2012

2011

A note on essential smoothness in the Heston model.

Martin Forde, Antoine Jacquier, Aleksandar Mijatovic

Finance Stochastics, 2011

2010

Local time and the pricing of time-dependent barrier options.

Aleksandar Mijatovic

Finance Stochastics, 2010