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Jaimungal, Sebastian


 SSRN Author Rank: 983 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
16,954
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 |
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
3,287
(1,559)
4

2.  
Buy Low Sell High: A High Frequency Trading Perspective | Show Abstract | Download This Paper |
SIAM Journal of Financial Mathematics, Forthcoming
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:
16 Apr 14
2,826
(2,067)
5

3.  
Risk Metrics and Fine Tuning of High Frequency Trading Strategies | Show Abstract | Download This Paper |
Forthcoming, Mathematical Finance
Number of Pages in PDF File: 37
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
26 Feb 12
Last Revised:
05 Oct 12
1,476
(6,428)
1

4.  
Fourier Space Time-Stepping for Option Pricing With Levy Models | Show Abstract | Download This Paper |
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
1,418
(6,883)
17

5.  
Levy Based Cross-Commodity Models and Derivative Valuation | Show Abstract | Download This Paper |
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
1,085
(10,708)
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
825
(16,354)
 

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
700
(20,739)
 

8.  
Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models | Show Abstract | Download This Paper |
International Journal of Theoretical and Applied Finance, Forthcoming
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:
22 Jun 13
546
(29,378)
2

9.  
Stepping Through Fourier Space | Show Abstract | Download This Paper |
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
442
(38,578)
1

10.  
Optimal Execution with Limit and Market Orders | Show Abstract | Download This Paper |
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
427
(40,350)
 

11.  
An Insurance Risk Model with Stochastic Volatility | Show Abstract | Download This Paper |
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
370
(47,941)
1

12.  
Optimal Execution with a Price Limiter | Show Abstract | Download This Paper |
RISK, Forthcoming
Number of Pages in PDF File: 11
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
354
(50,813)
1

13.  
Kernel-Based Copula Processes | Show Abstract | Download This Paper |
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
342
(52,817)
 

14.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
24 Dec 10
Last Revised:
17 Apr 14
330
(55,108)
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:
21 Jan 12
329
(55,288)
5

16.  
Real Option Pricing with Mean-Reverting Investment and Project Value | Show Abstract | Download This Paper |
The European Journal of Finance, Forthcoming
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:
29 Jun 11
308
(59,748)
 

17.  
Valuing GWBs with Stochastic Interest Rates and Volatility | Show Abstract | Download This Paper |
Quantitative Finance, Forthcoming
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:
10 Aug 13
297
(62,255)
1

18.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
20 Nov 11
290
(63,939)
1

19.  
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models | Show Abstract | Download This Paper |
SIAM Journal of Financial Mathematics, Forthcoming
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:
29 Jun 11
275
(67,843)
2

20.  
Valuing Clustering in Catastrophe Derivatives | Show Abstract | Download This Paper |
Forthcoming, Quantitative Finance
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:
20 Mar 13
212
(89,222)
 

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
169
(110,648)
 

22.  
Cartea, Álvaro
University College London
Cheeseman, James
British Petroleum
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
13 Jan 14
163
(114,366)
 

23.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
31 Jan 15
Last Revised:
06 Feb 15
104
(164,966)
 

24.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
24 Dec 14
Last Revised:
27 Jan 15
104
(163,804)
 

25.  
Cartea, Álvaro
University College London
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
22 Jan 15
103
(164,966)
 

26.  
Kobari, Laleh
University of Toronto
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Lawryshyn, Yuri
University of Toronto
Posted:
01 Mar 13
102
(166,117)
 

27.  
Al-Aradi, Ali
University of Toronto - Department of Statistics
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Posted:
06 Oct 14
37
(283,546)
 

28.  
Jaimungal, Sebastian
University of Toronto - Department of Statistics
Nourian, Mojtaba
Bank of Montreal
Posted:
16 Mar 15
33
(295,357)
 


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