Sebastian Jaimungal
Sebastian Jaimungal
Verified email at utoronto.ca
Title
Cited by
Cited by
Year
Algorithmic and high-frequency trading
Á Cartea, S Jaimungal, J Penalva
Cambridge University Press, 2015
2822015
Fourier Space Time-Stepping for Option Pricing with Levy Models
S Jaimungal, KR Jackson, V Surkov
Computational Finance 12 (2), 1-29, 2008
168*2008
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
1542014
Catastrophe options with stochastic interest rates and compound Poisson losses
S Jaimungal, T Wang
Insurance: Mathematics and Economics 38 (3), 469-483, 2006
1292006
Modelling asset prices for algorithmic and high-frequency trading
A Cartea, S Jaimungal
Applied Mathematical Finance 20 (6), 512-547, 2013
1002013
Risk metrics and fine tuning of high‐frequency trading strategies
Á Cartea, S Jaimungal
Mathematical Finance 25 (3), 576-611, 2015
972015
Optimal execution with limit and market orders
A Cartea, S Jaimungal
Quantitative Finance 15 (8), 1279-1291, 2015
882015
Algorithmic trading with model uncertainty
Á Cartea, R Donnelly, S Jaimungal
SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017
85*2017
Incorporating order-flow into optimal execution
A Cartea, S Jaimungal
Mathematics and Financial Economics 10 (3), 339-364, 2016
852016
Mean-field game strategies for optimal execution
X Huang, S Jaimungal, M Nourian
Applied Mathematical Finance 26 (2), 153-185, 2019
73*2019
Enhancing trading strategies with order book signals
A Cartea, R Donnelly, S Jaimungal
Applied Mathematical Finance 25 (1), 1-35, 2018
672018
Energy spot price models and spread options pricing
S Hikspoors, S Jaimungal
International Journal of Theoretical and Applied Finance 10 (07), 1111-1135, 2007
552007
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
53*2016
Lévy-based cross-commodity models and derivative valuation
S Jaimungal, V Surkov
SIAM Journal on Financial Mathematics 2 (1), 464-487, 2011
462011
Asymptotic pricing of commodity derivatives using stochastic volatility spot models
S Hikspoors, S Jaimungal
Applied Mathematical Finance 15 (5-6), 449-477, 2008
452008
Algorithmic trading with learning
Á Cartea, S Jaimungal, D Kinzebulatov
Available at SSRN 2373196, 2014
372014
Incorporating risk and ambiguity aversion into a hybrid model of default
S Jaimungal, G Sigloch
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
352012
Incorporating risk and ambiguity aversion into a hybrid model of default
S Jaimungal, G Sigloch
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
352012
Pricing equity-linked pure endowments with risky assets that follow Lévy processes
S Jaimungal, VR Young
Insurance: Mathematics and Economics 36 (3), 329-346, 2005
352005
Mean field games with partial information for algorithmic trading
P Casgrain, S Jaimungal
arXiv preprint arXiv:1803.04094, 2018
34*2018
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Articles 1–20