3 papers
math.PR2024
Stationary entrance chains and applications to random walks
Aleksandar Mijatovic, Vladislav Vysotsky
For a Markov chain with values in a Polish space, consider the entrance chain, obtained by sampling at the moments when it enters a fixed set from its complement .…
q-fin.CP2022
A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
Aleksandar Mijatović, Romain Palfray
This paper develops a novel weak multilevel Monte-Carlo (MLMC) approximation scheme for Lévy-driven Stochastic Differential Equations (SDEs). The scheme is based on the state space…
q-fin.PR2009
Continuously monitored barrier options under Markov processes
Aleksandar Mijatovic, Martijn Pistorius
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Marko…