Sebastian Jaimungal

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Álvaro CarteaUniversity of Oxford and Oxford-Man InstituteDirección de correo verificada de maths.ox.ac.uk
Dena FirooziHEC Montréal - University of MontrealDirección de correo verificada de hec.ca
Silvana PesentiUniversity of TorontoDirección de correo verificada de utoronto.ca
Ken JacksonProfessor of Computer Science, University of TorontoDirección de correo verificada de cs.toronto.edu
Arvind ShrivatsSusquehanna International GroupDirección de correo verificada de sig.com
Leandro Sánchez-BetancourtMathematical Institute, and Oxford-Man Institute, University of OxfordDirección de correo verificada de maths.ox.ac.uk
Jose PenalvaUniversidad Carlos III, MadridDirección de correo verificada de emp.uc3m.es
Gordon W. SemenoffUniversity of British ColumbiaDirección de correo verificada de phas.ubc.ca
Ali Al-AradiUniversity of TorontoDirección de correo verificada de utoronto.ca
Daniel NourianSenior Manager of Machine Learning at BMODirección de correo verificada de bmo.com
Max SouzaInstituto de Matemática e Estatística, Universidade Federal Fluminense,Dirección de correo verificada de id.uff.br
Peter CainesMcGill University MontrealDirección de correo verificada de cim.mcgill.ca
Yuri SaporitoAssociate Professor, School of Applied Mathematics (EMAp), Fundação Getulio Vargas (FGV)Dirección de correo verificada de fgv.br
Jean-Pierre FouqueUniversity of California Santa BarbaraDirección de correo verificada de pstat.ucsb.edu
Jorge P. ZubelliKhalifa University & IMPADirección de correo verificada de ku.ac.ae
Ariel ZhitnitskyDirección de correo verificada de phas.ubc.ca
Alexander KreininIBM, Risk Analytics and University of TorontoDirección de correo verificada de bell.net
Virginia R. YoungDepartment of Mathematics, University of MichiganDirección de correo verificada de umich.edu
Matthew LorigUniversity of WashingtonDirección de correo verificada de uw.edu
Viqar HusainDepartment of Mathematics and Statistics, University of New BrunswickDirección de correo verificada de unb.ca

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Sebastian Jaimungal

University of Toronto

Dirección de correo verificada de utoronto.ca - Página principal

stochastic control mean field games reinforcement learning machine learning mathematical finance


Título Ordenar por citas Ordenar por año Ordenar por título	Citado por Citado por	Año
Algorithmic and high-frequency trading Á Cartea, S Jaimungal, J Penalva Cambridge University Press, 2015	523	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	249	2014
Fourier Space Time-Stepping for Option Pricing with Levy Models S Jaimungal, KR Jackson, V Surkov Computational Finance 12 (2), 1-29, 2008	205*	2008
Incorporating order-flow into optimal execution Á Cartea, S Jaimungal Mathematics and Financial Economics 10, 339-364, 2016	175	2016
Catastrophe options with stochastic interest rates and compound Poisson losses S Jaimungal, T Wang Insurance: Mathematics and Economics 38 (3), 469-483, 2006	148	2006
Algorithmic trading with model uncertainty Á Cartea, R Donnelly, S Jaimungal SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017	140*	2017
Enhancing trading strategies with order book signals A Cartea, R Donnelly, S Jaimungal Applied Mathematical Finance 25 (1), 1-35, 2018	136	2018
Optimal execution with limit and market orders Á Cartea, S Jaimungal Quantitative Finance 15 (8), 1279-1291, 2015	133	2015
Risk metrics and fine tuning of high‐frequency trading strategies Á Cartea, S Jaimungal Mathematical Finance 25 (3), 576-611, 2015	129	2015
Double deep q-learning for optimal execution B Ning, FHT Lin, S Jaimungal Applied Mathematical Finance 28 (4), 361-380, 2021	119	2021
Modelling asset prices for algorithmic and high-frequency trading A Cartea, S Jaimungal Applied Mathematical Finance 20 (6), 512-547, 2013	119	2013
Mean-field game strategies for optimal execution X Huang, S Jaimungal, M Nourian Applied Mathematical Finance 26 (2), 153-185, 2019	108*	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	81*	2016
Mean‐field games with differing beliefs for algorithmic trading P Casgrain, S Jaimungal Mathematical Finance 30 (3), 995-1034, 2020	73	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	53*	2018
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	52*	2022
Algorithmic trading, stochastic control, and mutually exciting processes A Cartea, S Jaimungal, J Ricci SIAM review 60 (3), 673-703, 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

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