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Sebastian Jaimungal

SSRN Author Rank: 577 by Downloads and 10,097 by Citations

 

University of Toronto - Department of Statistics


 100 St. George St.
 Toronto, Ontario M5S 3G3
 Canada
 HOME PAGE: http://www.utstat.utoronto.ca/sjaimung
 email address

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. Sebastian Jaimungal's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
27,286
Total
Citations
42
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Modeling Asset Prices for Algorithmic and High Frequency Trading | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of Pages in PDF File: 32
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
3,560
(1,370)
4

2.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download This Paper | Open PDF in Browser |
Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of Pages in PDF File: 37
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ricci, Jason
University of Toronto, Department of Statistics
Posted:
26 Nov 11
Last Revised:
27 Apr 15
3,160
(1,628)
3

3.   Incl. Electronic Paper
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
10 Jun 15
1,863
(5,528)
1

4.  
Fourier Space Time-Stepping for Option Pricing With Levy Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of Pages in PDF File: 30
Jackson, Kenneth R.
University of Toronto - Department of Computer Science
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
10 Oct 07
Last Revised:
01 Jul 09
1,461
(7,538)
14

5.  
Levy Based Cross-Commodity Models and Derivative Valuation | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Number of Pages in PDF File: 31
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
18 Nov 08
Last Revised:
15 Jun 16
1,111
(12,008)
4

6.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
01 Jan 14
Last Revised:
13 Oct 15
1,048
(6,890)
 

7.  
Cartea, Álvaro
University of Oxford
Donnelly, Ryan Francis
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
29 Dec 14
823
(13,983)
1

8.  
Optimal Execution with Limit and Market Orders | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Volume 15, Issue 8, 2015
Number of Pages in PDF File: 24
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
Last Revised:
01 Sep 15
611
(17,506)
 

9.  
Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models | Show Abstract | Download This Paper | Open PDF in Browser |
Jaimungal, Sebastian, and Vladimir Surkov. "Valuing Early-Exercise Interest-Rate Options With Multi-Factor Affine Models." International Journal of Theoretical and Applied Finance 16.06 (2013).
Number of Pages in PDF File: 27
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
04 Mar 10
Last Revised:
27 Apr 15
581
(30,202)
2

10.  
Algorithmic Trading of Co-Integrated Assets | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Forthcoming
Number of Pages in PDF File: 17
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
01 Aug 15
Last Revised:
24 May 16
556
(7,996)
 

11.  
Stepping Through Fourier Space | Show Abstract | Download This Paper | Open PDF in Browser |
RISK, pp. 78-83, July 2009
Number of Pages in PDF File: 8
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
14 Oct 08
Last Revised:
29 Jun 11
452
(43,722)
1

12.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
13 Jan 13
Last Revised:
27 Apr 15
418
(36,946)
 

13.  
An Insurance Risk Model with Stochastic Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Insurance: Mathematics and Economics, Vol. 46, No. 1, pp. 52-66
Number of Pages in PDF File: 31
Chi, Yichun
China Institute for Actuarial Science, Central University of Finance and Economics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lin, X. Sheldon
Department of Statistical Sciences, University of Toronto
Posted:
15 Dec 08
Last Revised:
16 Feb 10
376
(51,915)
1

14.   Incl. Electronic Paper
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Sigloch, Georg
University of Toronto - Department of Mathematics
Posted:
25 Feb 09
Last Revised:
27 Apr 15
371
(58,647)
6

15.  
Incorporating Managerial Information into Real Option Valuation | Show Abstract | Download This Paper | Open PDF in Browser |
Fields Volume on Commodities, Energy, and Environmental Finance, Forthcoming
Number of Pages in PDF File: 25
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
24 Dec 10
Last Revised:
27 Apr 15
353
(54,971)
1

16.  
Kernel-Based Copula Processes | Show Abstract | Download This Paper | Open PDF in Browser |
European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases (ECML PKDD), Bled, Slovenia, 2009
Number of Pages in PDF File: 16
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ng, Eddie K. H.
University of Toronto - The Edward S. Rogers Sr. Department of Electrical and Computer Engineering
Posted:
05 Aug 09
349
(59,982)
 

17.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
20 Nov 11
Last Revised:
01 May 15
335
(47,907)
1

18.  
Real Option Pricing with Mean-Reverting Investment and Project Value | Show Abstract | Download This Paper | Open PDF in Browser |
Jaimungal, Sebastian, Max O. De Souza, and Jorge P. Zubelli. "Real option pricing with mean-reverting investment and project value." The European Journal of Finance 19.7-8 (2013): 625-644.
Number of Pages in PDF File: 28
Jaimungal, Sebastian
University of Toronto - Department of Statistics
de Souza, Max O.
UFF
Zubelli, Jorge P.
Instituto de Matematica Pura e Aplicada (IMPA)
Posted:
17 Oct 10
Last Revised:
27 Apr 15
331
(59,549)
1

19.  
Valuing GWBs with Stochastic Interest Rates and Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
Donnelly, Ryan Francis, Sebastian Jaimungal, and Dmitri Rubisov. "Valuing GWBs with stochastic interest rates and volatility." Quantitative Finance (2012).
Number of Pages in PDF File: 26
Donnelly, Ryan Francis
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Rubisov, Dmitri
BMO Capital Markets
Posted:
14 Jan 12
Last Revised:
27 Apr 15
322
(59,549)
1

20.  
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models | Show Abstract | Download This Paper | Open PDF in Browser |
Fouque, Jean-Pierre, Sebastian Jaimungal, and Matthew J. Lorig. "Spectral decomposition of option prices in fast mean-reverting stochastic volatility models." SIAM Journal on Financial Mathematics 2.1 (2011): 665-691.
Number of Pages in PDF File: 22
Fouque, Jean-Pierre
University of California, Santa Barbara - Statistics & Applied Probablity
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
03 Aug 10
Last Revised:
27 Apr 15
288
(68,945)
1

21.  
Incorporating Order-Flow into Optimal Execution | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematics and Financial Economics, Forthcoming
Number of Pages in PDF File: 28
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
31 Jan 15
Last Revised:
08 Feb 16
255
(39,041)
 

22.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
22 Jan 15
245
(58,820)
 

23.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Rubisov, Dmitri
BMO Capital Markets
Posted:
27 Nov 13
240
(63,221)
 

24.  
Valuing Clustering in Catastrophe Derivatives | Show Abstract | Download This Paper | Open PDF in Browser |
Jaimungal, Sebastian, and Yuxiang Chong. "Valuing clustering in catastrophe derivatives." Quantitative Finance 14.2 (2014): 259-270.
Number of Pages in PDF File: 22
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Chong, Yuxiang
University of Toronto
Posted:
29 Mar 11
Last Revised:
27 Apr 15
223
(94,771)
 

25.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
24 Dec 14
Last Revised:
27 Jan 15
221
(49,949)
 

26.  
Cartea, Álvaro
University of Oxford
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
204
(83,930)
 

27.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Nourian, Mojtaba
Bank of Montreal
Posted:
16 Mar 15
170
(70,141)
 

28.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Walton, Jamie
University College London - Department of Mathematics
Posted:
15 Jul 15
Last Revised:
05 Aug 16
137
(44,532)
 

29.  
Kobari, Laleh
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
01 Mar 13
109
(171,902)
 

30.  
Model Uncertainty in Commodity Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming: SIAM Journal of Financial Mathematics
Number of Pages in PDF File: 40
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Qin, Zhen
University of Toronto - Department of Statistics
Posted:
16 May 15
Last Revised:
16 Oct 15
103
(89,298)
 

31.  
Cartea, Álvaro
University of Oxford
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Ricci, Jason
University of Toronto, Department of Statistics
Posted:
25 Sep 15
45
(85,009)
 

32.  
Al-Aradi, Ali
University of Toronto - Department of Statistics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
06 Oct 14
44
(275,786)
 

33.  
Cartea, Álvaro
University of Oxford
Gan, Luhui
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
28 Oct 15
0
(83,225)
 

34.  
Cartea, Álvaro
University of Oxford
Donnelly, Ryan Francis
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
03 Oct 15
Last Revised:
14 Oct 15
0
(13,403)
 


Records 1 - 34 of 34 matches
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