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Jaimungal, Sebastian


 SSRN Author Rank: 882 by Downloads
 

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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. Jaimungal, Sebastian's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
18,948
Total
Citations
46
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 College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
3,480
(1,523)
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 College London
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
3,073
(1,869)
5

3.   Incl. Electronic Paper
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
10 Jun 15
1,573
(6,110)
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
1,456
(6,973)
17

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:
12 Jun 13
1,107
(10,962)
4

6.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
01 Jan 14
Last Revised:
19 Feb 14
982
(13,211)
 

7.  
Cartea, Álvaro
University College London
Donnelly, Ryan Francis
University of Toronto - Department of Mathematics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
29 Dec 14
793
(18,281)
 

8.  
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
577
(28,617)
2

9.  
Optimal Execution with Limit and Market Orders | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming: Quantitative Finance
Number of Pages in PDF File: 24
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
Last Revised:
21 Nov 14
562
(29,846)
 

10.  
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
448
(39,783)
1

11.  
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
406
(44,951)
1

12.  
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
University of Toronto
Posted:
15 Dec 08
Last Revised:
16 Feb 10
374
(49,707)
1

13.  
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
347
(54,467)
 

14.  
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
343
(55,201)
1

15.   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
341
(55,593)
5

16.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
20 Nov 11
Last Revised:
01 May 15
325
(58,868)
1

17.  
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
324
(59,087)
 

18.  
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
University of Toronto - Department of Mathematics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Rubisov, Dmitri
BMO Capital Markets
Posted:
14 Jan 12
Last Revised:
27 Apr 15
320
(59,918)
1

19.  
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
283
(68,799)
2

20.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
31 Jan 15
Last Revised:
16 Jun 15
227
(87,043)
 

21.  
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
219
(90,260)
 

22.  
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
218
(90,651)
 

23.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
22 Jan 15
214
(92,862)
 

24.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
24 Dec 14
Last Revised:
27 Jan 15
197
(100,673)
 

25.  
Cartea, Álvaro
University College London
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
196
(100,673)
 

26.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Nourian, Mojtaba
Bank of Montreal
Posted:
16 Mar 15
143
(133,568)
 

27.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
01 Aug 15
116
(184,239)
 

28.  
Kobari, Laleh
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
01 Mar 13
108
(166,176)
 

29.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Jul 15
Last Revised:
24 Jul 15
86
(196,508)
 

30.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Qin, Zhen
University of Toronto - Department of Statistics
Posted:
16 May 15
Last Revised:
22 Jun 15
68
(222,477)
 

31.  
Al-Aradi, Ali
University of Toronto - Department of Statistics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
06 Oct 14
42
(278,646)
 


Records 1 - 31 of 31 matches
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