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Sebastian Jaimungal - Publications

Affiliations: 
Statistics University of Toronto, Toronto, ON, Canada 
Area:
Statistics, Finance
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46 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Cartea Á, Jaimungal S, Wang Y. Spoofing and Price Manipulation in Order Driven Markets Applied Mathematical Finance. 27: 67-98. DOI: 10.2139/Ssrn.3431139  0.515
2020 Cartea Á, Jaimungal S, Jia T. Trading Foreign Exchange Triplets Siam Journal On Financial Mathematics. 11: 690-719. DOI: 10.2139/Ssrn.3054656  0.398
2020 Farahany D, Jackson KR, Jaimungal S. Mixing LSMC and PDE Methods to Price Bermudan Options Siam Journal On Financial Mathematics. 11: 201-239. DOI: 10.1137/19M1249035  0.411
2020 Cartea Á, Donnelly RF, Jaimungal S. Hedging Non-Tradable Risks with Transaction Costs and Price Impact Mathematical Finance. 30: 833-868. DOI: 10.1111/Mafi.12259  0.546
2020 Casgrain P, Jaimungal S. Mean‐field games with differing beliefs for algorithmic trading Mathematical Finance. 30: 995-1034. DOI: 10.1111/Mafi.12237  0.476
2020 Shrivats A, Jaimungal S. Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets Applied Mathematical Finance. 27: 99-131. DOI: 10.1080/1350486X.2020.1754260  0.408
2019 Cartea Á, Gan L, Jaimungal S. Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders Siam Journal On Financial Mathematics. 10: 790-814. DOI: 10.2139/Ssrn.2952132  0.487
2019 Casgrain P, Jaimungal S. Trading algorithms with learning in latent alpha models Mathematical Finance. 29: 735-772. DOI: 10.2139/Ssrn.2871403  0.452
2019 Cartea Á, Jaimungal S, Qin Z. Speculative trading of electricity contracts in interconnected locations Energy Economics. 79: 3-20. DOI: 10.2139/Ssrn.2870814  0.516
2019 Cartea Á, Jaimungal S, Walton J. Foreign Exchange Markets with Last Look Mathematics and Financial Economics. 13: 1-30. DOI: 10.2139/Ssrn.2630662  0.481
2019 Huang X, Jaimungal S, Nourian M. Mean-Field Game Strategies for Optimal Execution Applied Mathematical Finance. 26: 153-185. DOI: 10.2139/Ssrn.2578733  0.406
2019 Cartea Á, Gan L, Jaimungal S. Trading Cointegrated Assets with Price Impact Mathematical Finance. 29: 542-567. DOI: 10.1111/Mafi.12181  0.501
2018 Cartea Á, Jaimungal S, Ricci J. Trading Strategies Within The Edges Of No-Arbitrage International Journal of Theoretical and Applied Finance. 21: 1850025. DOI: 10.2139/Ssrn.2664567  0.681
2018 Al-Aradi A, Cartea Á, Jaimungal S. Technical Uncertainty in Real Options with Learning The Journal of Energy Markets. 11: 51-73. DOI: 10.2139/Ssrn.2505444  0.379
2018 Cartea Á, Jaimungal S, Ricci J. Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes Siam Review. 60: 673-703. DOI: 10.1137/18M1176968  0.603
2018 Al-Aradi A, Jaimungal S. Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management Applied Mathematical Finance. 25: 268-294. DOI: 10.1080/1350486X.2018.1507751  0.419
2018 Cartea Á, Donnelly RF, Jaimungal S. Enhancing trading strategies with order book signals Applied Mathematical Finance. 25: 1-35. DOI: 10.1080/1350486X.2018.1434009  0.619
2017 Jaimungal S, Kinzebulatov D, Rubisov D. Optimal accelerated share repurchases Applied Mathematical Finance. 24: 216-245. DOI: 10.2139/Ssrn.2360394  0.503
2017 Cartea Á, Jaimungal S. Irreversible Investments and Ambiguity Aversion International Journal of Theoretical and Applied Finance. 20: 1-26. DOI: 10.2139/Ssrn.1961786  0.463
2017 Cartea Á, Donnelly RF, Jaimungal S. Algorithmic Trading with Model Uncertainty Siam Journal On Financial Mathematics. 8: 635-671. DOI: 10.1137/16M106282X  0.627
2016 CARTEA Á, JAIMUNGAL S. ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS International Journal of Theoretical and Applied Finance. DOI: 10.2139/Ssrn.2637883  0.492
2016 Cartea Á, Jaimungal S, Qin Z. Model Uncertainty in Commodity Markets Siam Journal On Financial Mathematics. 7: 1-33. DOI: 10.2139/Ssrn.2606679  0.495
2016 Cartea Á, Jaimungal S. Incorporating order-flow into optimal execution Mathematics and Financial Economics. 10: 339-364. DOI: 10.2139/Ssrn.2557457  0.508
2016 Cartea Á, Jaimungal S, Kinzebulatov D. ALGORITHMIC TRADING with LEARNING International Journal of Theoretical and Applied Finance. 19. DOI: 10.2139/Ssrn.2373196  0.476
2016 Cartea Á, Jaimungal S. A Closed-Form Execution Strategy to Target Volume Weighted Average Price Siam Journal On Financial Mathematics. 7: 760-785. DOI: 10.1137/16M1058406  0.457
2016 Jaimungal S, Lawryshyn Y. Using managerial revenue and cost estimates to value early stage real option investments Annals of Operations Research. 1-18. DOI: 10.1007/S10479-016-2344-8  0.407
2015 Cartea Á, Jaimungal S. Optimal execution with limit and market orders Quantitative Finance. 15: 1279-1291. DOI: 10.2139/Ssrn.2397805  0.481
2015 Cartea Á, Jaimungal S. Risk metrics and fine tuning of high-frequency trading strategies Mathematical Finance. 25: 576-611. DOI: 10.2139/Ssrn.2010417  0.54
2015 Cartea Á, Jaimungal S. RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES: risk matrics and hf trading strategies Mathematical Finance. 25: 576-611. DOI: 10.1111/Mafi.12023  0.357
2014 Cartea Á, Jaimungal S, Ricci J. Buy low, sell high: A high frequency trading perspective Siam Journal On Financial Mathematics. 5: 415-444. DOI: 10.2139/Ssrn.1964781  0.586
2014 Jaimungal S, Chong Y. Valuing clustering in catastrophe derivatives Quantitative Finance. 14: 259-270. DOI: 10.2139/Ssrn.1793423  0.305
2014 Donnelly R, Jaimungal S, Rubisov DH. Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility Quantitative Finance. 14: 369-382. DOI: 10.1080/14697688.2013.837580  0.379
2014 Kobari L, Jaimungal S, Lawryshyn Y. A real options model to evaluate the effect of environmental policies on the oil sands rate of expansion Energy Economics. 45: 155-165. DOI: 10.1016/J.Eneco.2014.06.010  0.646
2013 Cartea A, Jaimungal S. Modelling Asset Prices for Algorithmic and High-Frequency Trading Applied Mathematical Finance. 20: 512-547. DOI: 10.2139/Ssrn.1722202  0.509
2013 Jaimungal S, Surkov V. Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models International Journal of Theoretical and Applied Finance. 16: 1350034. DOI: 10.2139/Ssrn.1562638  0.387
2013 Jaimungal S, de Souza MO, Zubelli JP. Real option pricing with mean-reverting investment and project value European Journal of Finance. 19: 625-644. DOI: 10.1080/1351847X.2011.601660  0.389
2012 Jaimungal S, Sigloch G. Incorporating risk and ambiguity aversion into a hybrid model of default Mathematical Finance. 22: 57-81. DOI: 10.1111/J.1467-9965.2010.00457.X  0.467
2011 Fouque JP, Jaimungal S, Lorig MJ. Spectral decomposition of option prices in fast mean-reverting stochastic volatility models Siam Journal On Financial Mathematics. 2: 665-691. DOI: 10.1137/100803614  0.478
2011 Jaimungal S, Surkov V. Lévy-based cross-commodity models and derivative valuation Siam Journal On Financial Mathematics. 2: 464-487. DOI: 10.1137/100791609  0.494
2010 Chi Y, Jaimungal S, Lin XS. An insurance risk model with stochastic volatility Insurance: Mathematics and Economics. 46: 52-66. DOI: 10.1016/J.Insmatheco.2009.03.006  0.338
2008 Jackson KR, Jaimungal S, Surkov V. Fourier Space Time-Stepping for Option Pricing With Levy Models Journal of Computational Finance. 12: 1-29. DOI: 10.2139/Ssrn.1020209  0.383
2008 Hikspoors S, Jaimungal S. Asymptotic pricing of commodity derivatives using stochastic volatility spot models Applied Mathematical Finance. 15: 449-477. DOI: 10.1080/13504860802170432  0.504
2007 Hikspoors S, Jaimungal S. Energy spot price models and spread options pricing International Journal of Theoretical and Applied Finance. 10: 1111-1135. DOI: 10.1142/S0219024907004573  0.527
2006 Jaimungal S, Wang T. Catastrophe options with stochastic interest rates and compound Poisson losses Insurance: Mathematics and Economics. 38: 469-483. DOI: 10.1016/J.Insmatheco.2005.11.008  0.414
2005 Jaimungal S, Young VR. Pricing equity-linked pure endowments with risky assets that follow Lévy processes Insurance: Mathematics and Economics. 36: 329-346. DOI: 10.1016/J.Insmatheco.2005.02.010  0.51
2003 Albanese C, Jaimungal S, Rubisov DH. A two-state jump model Quantitative Finance. 3: 145-154. DOI: 10.1088/1469-7688/3/2/308  0.417
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