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Exotic derivatives under stochastic volatility models with jumps
Mijatovi´c, Aleksandar; Pistorius, Martijn - In: Advanced mathematical methods for finance, (pp. 455-508). 2011
Persistent link: https://www.econbiz.de/10008991275
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Preface: Spectral and cubature methods in finance and econometrics : an Interdisciplinary International Research Workshop University of Leicester, United Kingdom, 18 - 20 June 2009
Levendorskij, Sergej Z.; Mijatovi´c, Aleksandar; … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 5-7
Persistent link: https://www.econbiz.de/10009408859
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Local time and the pricing of time-dependent barrier
Mijatovi´c, Aleksandar - In: Finance and stochastics 14 (2010) 1, pp. 13-48
Persistent link: https://www.econbiz.de/10003924781
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250
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Approximating Lévy processes with a view to option pricing
Crosby, John; Le Saux, Nolwenn; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 63-91
Persistent link: https://www.econbiz.de/10008860423
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - 2009
Persistent link: https://www.econbiz.de/10009428004
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Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine; Mijatovi´c, Aleksandar - In: Asia-Pacific financial markets 21 (2014) 3, pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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Volatility derivatives in market models with jumps
Lo, Harry; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
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A new look at short-term implied volatility in asset price models with jumps
Mijatovi´c, Aleksandar; Tankov, Peter - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 149-183
Persistent link: https://www.econbiz.de/10011550267
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949