Aleksandar Mijatovic

Finance · 2009–2012

A researcher in the Science corpus: 4 papers; trusts 21 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 51 citations into it; #6,595 of 10,518 by trust here, #6,162 by citations
• Economics and Econometrics — 12 citations into it
• Mathematical Physics — 12 citations into it; #8,535 of 8,562 by trust here, #5,408 by citations
• Management Science and Operations Research — 11 citations into it; #7,823 of 11,946 by trust here, #10,893 by citations

Whom Aleksandar Mijatovic trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Peter P. Carr
2. Andreas E. Kyprianou
3. Roger Lee
4. Denis Belomestny
5. Ioannis Karatzas
6. Martijn Pistorius
7. Ludger Rüschendorf
8. Dmitry Davydov
9. Iris R. Wang
10. Marc Yor

Who trusts Aleksandar Mijatovic overall

1. David Landriault
2. Bin Li
3. Ioannis Karatzas
4. Philip Protter
5. Hongzhong Zhang

Papers from Aleksandar Mijatovic's perspective

Ordered by how strongly the researchers Aleksandar Mijatovic trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Fine Structure of Asset Retums : An Empirical Investigation '
2. THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
3. Introductory Lectures on Fluctuations of Lévy Processes with Applications
4. Lévy processes and infinitely divisible distributions
5. Lévy Processes in Finance: Pricing Financial Derivatives
6. Financial Modelling with Jump Processes
7. Non-Gaussian Merton-Black-Scholes theory
8. Smoothness of scale functions for spectrally negative Lévy processes
9. Spectral estimation of the fractional order of a Lévy process
10. On the martingale property of stochastic exponentials (Journal of Applied Probability)

Their papers

• On the drawdown of completely asymmetric Lévy processes (2011) — 92 citations
• A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2012) — 57 citations
• Asymptotic formulae for implied volatility in the Heston model (2009) — 59 citations
• On the martingale property of certain local martingales (2009) — 146 citations