Seuraa
Sebastian Jaimungal
Sebastian Jaimungal
University of Toronto
Vahvistettu sähköpostiosoite verkkotunnuksessa utoronto.ca - Kotisivu
Nimike
Viittaukset
Viittaukset
Vuosi
Algorithmic and high-frequency trading
Á Cartea, S Jaimungal, J Penalva
Cambridge University Press, 2015
5432015
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
2512014
Fourier Space Time-Stepping for Option Pricing with Levy Models
S Jaimungal, KR Jackson, V Surkov
Computational Finance 12 (2), 1-29, 2008
202*2008
Incorporating order-flow into optimal execution
Á Cartea, S Jaimungal
Mathematics and Financial Economics 10, 339-364, 2016
1872016
Catastrophe options with stochastic interest rates and compound Poisson losses
S Jaimungal, T Wang
Insurance: Mathematics and Economics 38 (3), 469-483, 2006
1502006
Enhancing trading strategies with order book signals
A Cartea, R Donnelly, S Jaimungal
Applied Mathematical Finance 25 (1), 1-35, 2018
1462018
Algorithmic trading with model uncertainty
Á Cartea, R Donnelly, S Jaimungal
SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017
1442017
Double deep q-learning for optimal execution
B Ning, FHT Lin, S Jaimungal
Applied Mathematical Finance 28 (4), 361-380, 2021
1342021
Optimal execution with limit and market orders
Á Cartea, S Jaimungal
Quantitative Finance 15 (8), 1279-1291, 2015
1342015
Risk metrics and fine tuning of high‐frequency trading strategies
Á Cartea, S Jaimungal
Mathematical Finance 25 (3), 576-611, 2015
1282015
Modelling asset prices for algorithmic and high-frequency trading
A Cartea, S Jaimungal
Applied Mathematical Finance 20 (6), 512-547, 2013
1192013
Mean-field game strategies for optimal execution
X Huang, S Jaimungal, M Nourian
Applied Mathematical Finance 26 (2), 153-185, 2019
112*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
782020
Energy spot price models and spread options pricing
S Hikspoors, S Jaimungal
International Journal of Theoretical and Applied Finance 10 (07), 1111-1135, 2007
612007
Algorithmic trading, stochastic control, and mutually exciting processes
A Cartea, S Jaimungal, J Ricci
SIAM review 60 (3), 673-703, 2018
602018
Mean field games with partial information for algorithmic trading
P Casgrain, S Jaimungal
arXiv preprint arXiv:1803.04094, 2018
56*2018
Trading algorithms with learning in latent alpha models
P Casgrain, S Jaimungal
Mathematical Finance 29 (3), 735-772, 2019
542019
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
53*2022
Lévy-based cross-commodity models and derivative valuation
S Jaimungal, V Surkov
SIAM Journal on Financial Mathematics 2 (1), 464-487, 2011
532011
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Artikkelit 1–20