Damir Kinzebulatov

The Fields Institute for Mathematical Sciences

Post Doctoral Fellow

222 College Street, Second Floor

Toronto, Ontario M5T 3J1

Canada

  • The Fields Institute for Mathematical Sciences

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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1.

Algorithmic Trading with Learning

Number of pages: 28 Posted: 01 Jan 2014 Last Revised: 13 Oct 2015
Álvaro Cartea, Sebastian Jaimungal and Damir Kinzebulatov
University of Oxford, University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 3,225 (5,707)
Citation 8

Abstract:

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Algorithmic Trading, High Frequency Trading, Nonlinear Filtering, Brownian Bridge, Stochastic Optimal Control, Adverse Selection

2.

Optimal Execution with a Price Limiter

RISK, July 2014
Number of pages: 11 Posted: 13 Jan 2013 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Damir Kinzebulatov
University of Toronto - Department of Statistics and The Fields Institute for Mathematical Sciences
Downloads 852 (43,386)
Citation 9

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Optimal Execution, Optimal Liquidation, Stochastic Control, Conditional Tail Expectation, Limit Order Book

3.

Optimal Accelerated Share Repurchase

Number of pages: 34 Posted: 27 Nov 2013 Last Revised: 04 Jun 2017
Sebastian Jaimungal, Damir Kinzebulatov and Dmitri Rubisov
University of Toronto - Department of Statistics, The Fields Institute for Mathematical Sciences and BMO Capital Markets
Downloads 820 (45,718)
Citation 3

Abstract:

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Accelerated Share Repurchase, Optimal Liquidation, American Option, Stochastic Control, Optimal Stopping