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Jaimungal, Sebastian


 SSRN Author Rank: 1,130 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
14,486
Total
Citations
45
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 |
Applied Mathematical Finance, Vol. 20, No. 6, 2013
Working Paper Series
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
09 Dec 10
Last Revised:
28 Feb 14
3,000
(1,682)
4

2.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download |
SIAM Journal of Financial Mathematics, Forthcoming
Accepted Paper Series
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:
16 Apr 14
2,440
(2,482)
5

3.  
Fourier Space Time-Stepping for Option Pricing With Levy Models | Show Abstract | Download |
Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Working Paper Series
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
1,367
(6,700)
17

4.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
05 Oct 12
1,329
(7,027)
1

5.  
Levy Based Cross-Commodity Models and Derivative Valuation | Show Abstract | Download |
SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Accepted Paper Series
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
18 Nov 08
Last Revised:
12 Jun 13
1,041
(10,492)
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
575
(25,057)
 

7.  
Cartea, Álvaro
University College London
Donnelly, Ryan
University of Toronto - Department of Mathematics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
15 Aug 13
Last Revised:
25 Nov 13
520
(28,742)
 

8.  
Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Forthcoming
Accepted Paper Series
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
04 Mar 10
Last Revised:
22 Jun 13
479
(32,032)
2

9.  
Stepping Through Fourier Space | Show Abstract | Download |
RISK, pp. 78-83, July 2009
Accepted Paper Series
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Surkov, Vladimir
RBC Capital Markets
Posted:
14 Oct 08
Last Revised:
29 Jun 11
431
(36,699)
 

10.  
An Insurance Risk Model with Stochastic Volatility | Show Abstract | Download |
Insurance: Mathematics and Economics, Vol. 46, No. 1, pp. 52-66
Accepted Paper Series
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
355
(46,459)
1

11.  
Kernel-Based Copula Processes | Show Abstract | Download |
European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases (ECML PKDD), Bled, Slovenia, 2009
Accepted Paper Series
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
329
(50,931)
 

12.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
24 Dec 10
Last Revised:
17 Apr 14
316
(53,461)
1

13.   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:
21 Jan 12
316
(53,461)
5

14.  
Real Option Pricing with Mean-Reverting Investment and Project Value | Show Abstract | Download |
The European Journal of Finance, Forthcoming
Accepted Paper Series
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:
29 Jun 11
279
(61,697)
 

15.  
Valuing GWBs with Stochastic Interest Rates and Volatility | Show Abstract | Download |
Quantitative Finance, Forthcoming
Accepted Paper Series
Donnelly, Ryan
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:
10 Aug 13
265
(65,632)
1

16.  
Optimal Execution with a Price Limiter | Show Abstract | Download |
RISK, Forthcoming
Accepted Paper Series
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Kinzebulatov, Damir
The Fields Institute for Mathematical Sciences
Posted:
13 Jan 13
Last Revised:
09 May 14
259
(67,228)
1

17.  
Fouque, Jean-Pierre
University of California, Santa Barbara - Statistics & Applied Probablity
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lorig, Matthew
Applied Mathematics, University of Washington
Posted:
03 Aug 10
Last Revised:
29 Jun 11
259
(66,972)
2

18.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
20 Nov 11
254
(68,338)
1

19.  
Valuing Clustering in Catastrophe Derivatives | Show Abstract | Download |
Forthcoming, Quantitative Finance
Accepted Paper Series
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Chong, Yuxiang
University of Toronto
Posted:
29 Mar 11
Last Revised:
20 Mar 13
200
(87,652)
 

20.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
19 Feb 14
195
(90,243)
 

21.  
Cartea, Álvaro
University College London
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
99
(157,793)
 

22.  
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
99
(157,793)
 

23.  
Kobari, Laleh
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
01 Mar 13
79
(182,498)
 


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