Reader in Probability & Director of Imperial Probability Centre

Department of Mathematics, Imperial College London

180 Queen's Gate, London SW7 2AZ

Room 612, Huxley Building

Tel: +44 (0)20 7594 2830

Fax: +44 (0)24 7652 4532

Email: a.mijatovic@imperial.ac.uk

Web: Imperial College homepage

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**Probability**: martingales and their applications; processes with jumps; SDEs; stochastic and functional analysis; random walks; Markov chains; coupling; branching**Mathematical finance**: pricing and hedging of derivatives; implied volatility surface; Stochastic Volatility models with Jumps (SVJ); stochastic control & optimal stopping**Statistics**: calibration and parameter estimation algorithms for continuous-time models (FI, equity and FX data); option price prediction; regularisation**Numerical stochastics**: simulation of processes with and without jumps; weak and strong approximations; multi-level Monte Carlo; Markov Chain Monte Carlo