Sebastian Jaimungal

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Álvaro CarteaUniversity of Oxford and Oxford-Man InstituteVerified email at maths.ox.ac.uk
Dena FirooziHEC Montréal - University of MontrealVerified email at hec.ca
Silvana PesentiUniversity of TorontoVerified email at utoronto.ca
Ken JacksonProfessor of Computer Science, University of TorontoVerified email at cs.toronto.edu
Arvind ShrivatsSusquehanna International GroupVerified email at sig.com
Leandro Sánchez-BetancourtMathematical Institute, and Oxford-Man Institute, University of OxfordVerified email at maths.ox.ac.uk
Jose PenalvaUniversidad Carlos III, MadridVerified email at emp.uc3m.es
Gordon W. SemenoffUniversity of British ColumbiaVerified email at phas.ubc.ca
Ali Al-AradiUniversity of TorontoVerified email at utoronto.ca
Daniel NourianSenior Manager of Machine Learning at BMOVerified email at bmo.com
Max SouzaInstituto de Matemática e Estatística, Universidade Federal Fluminense,Verified email at id.uff.br
Peter CainesMcGill University MontrealVerified email at cim.mcgill.ca
Yuri SaporitoAssistant Professor, School of Applied Mathematics (EMAp), Fundação Getúlio Vargas (FGV)Verified email at fgv.br
Jean-Pierre FouqueUniversity of California Santa BarbaraVerified email at pstat.ucsb.edu
Jorge P. ZubelliKhalifa University & IMPAVerified email at ku.ac.ae
Ariel ZhitnitskyVerified email at phas.ubc.ca
Alexander KreininIBM, Risk Analytics and University of TorontoVerified email at bell.net
Virginia R. YoungDepartment of Mathematics, University of MichiganVerified email at umich.edu
Matthew LorigUniversity of WashingtonVerified email at uw.edu
Viqar HusainDepartment of Mathematics and Statistics, University of New BrunswickVerified email at unb.ca

Sebastian Jaimungal

University of Toronto

Verified email at utoronto.ca - Homepage

stochastic control mean field games reinforcement learning machine learning mathematical finance


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Algorithmic and high-frequency trading Á Cartea, S Jaimungal, J Penalva Cambridge University Press, 2015	503	2015
Buy low, sell high: A high frequency trading perspective Á Cartea, S Jaimungal, J Ricci SIAM Journal on Financial Mathematics 5 (1), 415-444, 2014	243	2014
Fourier Space Time-Stepping for Option Pricing with Levy Models S Jaimungal, KR Jackson, V Surkov Computational Finance 12 (2), 1-29, 2008	204*	2008
Incorporating order-flow into optimal execution Á Cartea, S Jaimungal Mathematics and Financial Economics 10, 339-364, 2016	172	2016
Catastrophe options with stochastic interest rates and compound Poisson losses S Jaimungal, T Wang Insurance: Mathematics and Economics 38 (3), 469-483, 2006	145	2006
Algorithmic trading with model uncertainty Á Cartea, R Donnelly, S Jaimungal SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017	136*	2017
Enhancing trading strategies with order book signals A Cartea, R Donnelly, S Jaimungal Applied Mathematical Finance 25 (1), 1-35, 2018	130	2018
Optimal execution with limit and market orders Á Cartea, S Jaimungal Quantitative Finance 15 (8), 1279-1291, 2015	130	2015
Risk metrics and fine tuning of high‐frequency trading strategies Á Cartea, S Jaimungal Mathematical Finance 25 (3), 576-611, 2015	127	2015
Modelling asset prices for algorithmic and high-frequency trading A Cartea, S Jaimungal Applied Mathematical Finance 20 (6), 512-547, 2013	118	2013
Double deep q-learning for optimal execution B Ning, FHT Lin, S Jaimungal Applied Mathematical Finance 28 (4), 361-380, 2021	108	2021
Mean-field game strategies for optimal execution X Huang, S Jaimungal, M Nourian Applied Mathematical Finance 26 (2), 153-185, 2019	107*	2019
A closed-form execution strategy to target volume weighted average price Á Cartea, S Jaimungal SIAM Journal on Financial Mathematics 7 (1), 760-785, 2016	80*	2016
Mean‐field games with differing beliefs for algorithmic trading P Casgrain, S Jaimungal Mathematical Finance 30 (3), 995-1034, 2020	71	2020
Energy spot price models and spread options pricing S Hikspoors, S Jaimungal International Journal of Theoretical and Applied Finance 10 (07), 1111-1135, 2007	58	2007
Mean field games with partial information for algorithmic trading P Casgrain, S Jaimungal arXiv preprint arXiv:1803.04094, 2018	52*	2018
Lévy-based cross-commodity models and derivative valuation S Jaimungal, V Surkov SIAM Journal on Financial Mathematics 2 (1), 464-487, 2011	52	2011
Trading co‐integrated assets with price impact Á Cartea, L Gan, S Jaimungal Mathematical Finance 29 (2), 542-567, 2019	51	2019
Asymptotic pricing of commodity derivatives using stochastic volatility spot models S Hikspoors, S Jaimungal Applied Mathematical Finance 15 (5-6), 449-477, 2008	50	2008
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets AV Shrivats, D Firoozi, S Jaimungal Mathematical Finance 32 (3), 779-824, 2022	49*	2022

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