Research

Preprints

2026

Infinite-variation Lévy processes are either strongly eroded or abrupt

J. González Cázares, D. Kramer-Bang and A. Mijatović · arXiv:2610.20916

Lévy processes

Published & accepted papers

2020

Non-asymptotic bounds for sampling algorithms without log-concavity

M. Majka, A. Mijatović and L. Szpruch · arXiv:1808.07105 · Annals of Applied Probability, Vol. 30, no. 4, pp. 1534-1581 (2020)

MCMC & sampling

2019

Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation

A. Mijatović and J. Vogrinc · arXiv:1707.08510 · Advances in Applied Probability, 51(4), 994-1026 (2019)

MCMC & sampling

2018

On the Poisson equation for Metropolis-Hastings chains

A. Mijatović and J. Vogrinc · Bernoulli Vol. 24, no. 3 (2018), 2401–2428

MCMC & sampling

2018

A radial invariance principle for non-homogeneous random walks

N. Georgiou, A. Mijatović and A. Wade · Electronic Communications in Probability Vol. 23 (2018), 11 pp

Limit theorems & random walks

2017

Procuring load curtailment from local customers under uncertainty

A. Mijatović, J. Moriarty and J. Vogrinc · Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (August 2017), doi: 10.1098/rsta.2016.0311

Mathematical finance Stochastic control & coupling

2016

Anomalous recurrence properties of many-dimensional zero-drift random walks

N. Georgiou, M. Menshikov, A. Mijatović and A. Wade · Advances in Applied Probability Vol. 48, no. A (2016), 99--118

Limit theorems & random walks

2016

Joint asymptotic distribution of certain path functionals of the reflected process

A. Mijatović and M. Pistorius · Electronic Communications in Probability Vol. 21 (2016), 1–18

Lévy processes Limit theorems & random walks

2016

Brownian manifolds, negative type and geo-temporal covariances

N. H. Bingham, A. Mijatović and T. Symons · Communications on Stochastic Analysis Vol. 10, no. 4 (2016)

Geometry & topology

2016

A new look at short-term implied volatility in asset price models with jumps

A. Mijatović and P. Tankov · Mathematical Finance Vol. 26, Issue 1 (January 2016), 149–183

Mathematical finance Lévy processes

2015

An integral equation for Root’s barrier and the generation of Brownian increments

P. Gassiat, A. Mijatović and H. Oberhauser · Annals of Applied Probability Vol. 25, no. 4 (2015), 2039–2065

Simulation & numerical methods Diffusions & SDEs

2015

Coupling and tracking of regime-switching martingales

S. D. Jacka and A. Mijatović · Electronic Journal of Probability Vol. 20 (2015), 39pp

Stochastic control & coupling

2015

Markov chain approximations to scale functions of Lévy processes

A. Mijatović, M. Vidmar and S. D. Jacka · Stochastic Processes and their Applications Vol. 125, Issue 10 (October 2015), 3932– 3957

Lévy processes Simulation & numerical methods

2015

On the loss of the semimartingale property at the hitting time of a level

A. Mijatović and M. Urusov · Journal of Theoretical Probability Vol. 28, Issue 3 (September 2015), 892–922

Diffusions & SDEs

2015

Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes

A. Mijatović and M. Pistorius · Stochastic Processes and their Applications Vol. 125, Issue 8 (August 2015), 2937– 2954

Lévy processes Limit theorems & random walks

2015

Asymptotic independence of three statistics of maximal segmental scores

A. Mijatović and M. Pistorius · Statistics & Probability Letters Vol. 99 (April 2015), 185–191

Limit theorems & random walks

2014

Arbitrage-free prediction of the implied volatility smile

P. Dellaportas and A. Mijatović · Risk Magazine, Technical Paper section, 30 April (2014)

Mathematical finance

2014

Markov Chain approximations for transition densities of Lévy processes

A. Mijatović, M. Vidmar and S. D. Jacka · Electronic Journal of Probability Vol. 19 (2014), 1–37

Lévy processes Simulation & numerical methods

2014

Mirror and synchronous couplings of geometric Brownian motions

S. D. Jacka, A. Mijatović and D. Siraj · Stochastic Processes and their Applications Vol. 124, no. 2 (2014), 1055–1069

Stochastic control & coupling Diffusions & SDEs

2014

Large deviations for the extended Heston model: the large-time case

A. Jacquier and A. Mijatović · Asia-Pacific Financial Markets Vol. 21 (2014), 263–280

Mathematical finance

2014

A note on delta hedging in markets with jumps

A. Mijatović and M. Urusov · IMA Journal of Applied Mathematics Vol. 79, no. 2 (2014), 300–312

Mathematical finance Lévy processes

2013

Continuously monitored barrier options under Markov processes

A. Mijatović and M. Pistorius · Mathematical Finance Vol. 23, no. 1 (2013), 1–38

Mathematical finance

2013

Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

A. Jacquier, M. Keller-Ressel and A. Mijatović · Stochastics Vol. 85, no. 2 (2013), 321–345

Mathematical finance Lévy processes

2012

Convergence of integral functionals of one-dimensional diffusions

A. Mijatović and M. Urusov · Electronic Communications in Probability Vol. 17 (2012), 1–13

Diffusions & SDEs

2012

On the limit distributions of continuous-state branching processes with immigration

M. Keller-Ressel and A. Mijatović · Stochastic Processes and their Applications Vol. 122, no. 6 (2012), 2329–2345

Limit theorems & random walks

2012

On the drawdown of completely asymmetric Lévy processes

A. Mijatović and M. Pistorius · Stochastic Processes and their Applications Vol. 122, no. 11 (2012), 3812–3836

Lévy processes Mathematical finance

2012

Martingale property of generalized stochastic exponentials

A. Mijatović, N. Novak and M. Urusov · Séminaire de Probabilités, XLIV, Lecture Notes in Mathematics Vol. 2046 (2012), 41–59

Diffusions & SDEs

2012

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

A. Mijatović and M. Urusov · Finance & Stochastics Vol. 16, no. 2 (2012), 225–247

Mathematical finance Diffusions & SDEs

2011

A note on essential smoothness in the Heston model

M. Forde, A. Jacquier and A. Mijatović · Finance & Stochastics Vol. 15 (2011), 781–784

Mathematical finance

2011

Volatility derivatives in market models with jumps

H. Lo and A. Mijatović · International Journal of Theoretical and Applied Finance Vol. 14, no. 07 (2011), 1159–1193

Mathematical finance Lévy processes

2010

Asymptotic formulae for implied volatility in the Heston model

M. Forde , A. Jacquier and A. Mijatović · Proceedings of the Royal Society A Vol. 466, no. 2124 (2010), 3593–3620

Mathematical finance

2009

A stochastic volatility model for risk-reversals in foreign exchange

C. Albanese and A. Mijatović · International Journal of Theoretical and Applied Finance Vol. 12, Issue 6 (2009), 877–899

Mathematical finance

2005

Simplicial structures of knot-complements

A. Mijatović · Mathematical Research Letters Vol. 12, no. 5-6 (2005), 843–856

Geometry & topology

2005

Triangulations of fibre-free Haken 3-manifolds

A. Mijatović · Pacific Journal of Mathematics Vol. 219, no. 1 (2005), 139–186

Geometry & topology

2004

Triangulations of Seifert fibred manifolds

A. Mijatović · Mathematische Annalen Vol. 330, no. 2 (2004), 235–273

Geometry & topology

2003

Simplifying triangulations of the 3-sphere

A. Mijatović · Pacific Journal of Mathematics Vol. 208, no. 2 (2003), 291–324

Geometry & topology

Edited volumes

Book chapters

2021

Reflecting random walks in curvilinear wedges

M. V. Menshikov, A. Mijatović and A. R. Wade · arXiv:2001.06685 · In and Out of Equilibrium 3: Celebrating Vladas Sidoravicius, in Series Progress in Probability, Springer International Publishing (2021), Editors Maria Eulália Vares, Roberto Fernández, Luiz Renato Fontes, Charles M. Newman, 637-675

Limit theorems & random walks Diffusions & SDEs

2011

Exotic derivatives in stochastic volatility models with jumps

A. Mijatović and M. Pistorius · arXiv:0912.2595 · Advanced Mathematical Methods for Finance, Springer, 2011, Editors G. Di Nunno, B. Oksendal, 455–508

Mathematical finance Lévy processes

Conference proceedings

2009

On additive time-changes of Feller processes

A. Mijatović and M. Pistorius · arXiv:0909.4881 · Progress in Analysis and its Applications, Proceedings of the 7th International Isaac Congress, Imperial College London UK, 13 - 18 July 2009, 431–437

Lévy processes

Unpublished manuscripts