Sebastian Jaimungal

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

http://www.utstat.utoronto.ca/sjaimung

SCHOLARLY PAPERS

44

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40,411

CITATIONS
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Top 10,503

in Total Papers Citations

40

Scholarly Papers (44)

1.

Buy Low Sell High: A High Frequency Trading Perspective

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: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 5,050 (1,345)
Citation 4

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Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Self-Exciting Processes, Hawkes Processes

2.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 4,961 (1,385)
Citation 4

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High Frequency Traders, Algorithmic Trading, Durations, Hidden Markov Model

3.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 2,792 (3,790)

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order imbalance, algorithmic trading, high-frequency trading, order flow, market making, adverse selection

4.

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 2,512 (4,529)

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

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,265 (5,294)
Citation 2

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Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Mathematical Finance, Vol. 25, Issue 3, pp. 576-611, 2015
Number of pages: 36 Posted: 09 Jun 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 0
Citation 2
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Algorithmic Trading, High Frequency Trading, Momentum Trading, Market Impact, Adverse Selection, Risk Metrics, Inventory Risk

6.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,237 (5,520)

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Pairs trading, algorithmic trading, high-frequency trading, co-integration, short-term alpha, stochastic control

7.

Fourier Space Time-Stepping for Option Pricing With Levy Models

Journal of Computational Finance, Vol. 12, No. 2, pp. 1-29, 2008
Number of pages: 30 Posted: 10 Oct 2007 Last Revised: 01 Jul 2009
Kenneth R. Jackson, Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Computer Science, University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,718 (8,604)
Citation 13

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Fourier space time-stepping, option pricing, Levy processes, multi-asset options

8.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 1,685 (8,904)
Citation 1

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market making, algorithmic trading, high frequency trading, robust optimization, ambiguity aversion, Knightian uncertainty, Poisson random measures, short term alpha, adverse selection

9.

Optimal Execution with Limit and Market Orders

Quantitative Finance, Volume 15, Issue 8, 2015
Number of pages: 24 Posted: 19 Feb 2014 Last Revised: 01 Sep 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 1,455 (11,299)

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Algorithmic Trading, High Frequency Trading, Optimal Execution, Impulse Control

10.

Levy Based Cross-Commodity Models and Derivative Valuation

SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Number of pages: 31 Posted: 18 Nov 2008 Last Revised: 15 Jun 2016
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,234 (14,654)
Citation 4

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Multi asset commodity derivatives, Option pricing, Mean reverting Levy processes, Fourier transform based method

11.

Trading Algorithms with Learning in Latent Alpha Models

Number of pages: 42 Posted: 19 Nov 2016 Last Revised: 21 Dec 2017
Philippe Casgrain and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 982 (20,725)

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Algorithmic Trading, Statistical Arbitrage, Latent Alpha, Stochastic Control, Machine Learning

12.

Incorporating Order-Flow into Optimal Execution

Mathematics and Financial Economics, Forthcoming
Number of pages: 28 Posted: 31 Jan 2015 Last Revised: 08 Feb 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 892 (23,853)

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Order-Flow, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation, Price Impact

13.

Foreign Exchange Markets with Last Look

Mathematics and Financial Economics, Forthcoming
Number of pages: 40 Posted: 15 Jul 2015 Last Revised: 01 May 2018
Álvaro Cartea, Sebastian Jaimungal and Jamie Walton
University of Oxford, University of Toronto - Department of Statistics and University College London - Department of Mathematics
Downloads 839 (26,079)

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Last Look, Foreign Exchange, Latency Arbitrage, Spamming, Spraying, Stale Quotes, Algorithmic Trading, Low Latency Traders, High-Frequency Trading

14.

A Closed-Form Execution Strategy to Target Volume Weighted Average Price

SIAM Journal on Financial Mathematics, Vol. 7, pp. 760–785, (2016)
Number of pages: 32 Posted: 24 Dec 2014 Last Revised: 13 Nov 2016
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 761 (29,857)

Abstract:

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VWAP, POV, TWAP, Algorithmic Trading, High Frequency Trading, Acquisition, Liquidation

15.

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 688 (34,233)

Abstract:

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

16.

Valuing Early Exercise Interest Rate Options with Multi-Factor Affine Models

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: 27 Posted: 04 Mar 2010 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 685 (34,459)
Citation 1

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Option pricing, interest-rate derivatives, affine models, fourier space time-stepping, accrual swaps, range notes

17.

Mean-Field Game Strategies for Optimal Execution

Number of pages: 41 Posted: 16 Mar 2015 Last Revised: 26 Jan 2017
Xuancheng Huang, Sebastian Jaimungal and Mojtaba Nourian
university of Toronto, University of Toronto - Department of Statistics and Bank of Montreal
Downloads 643 (37,632)

Abstract:

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Algorithmic trading, high frequency trading, optimal execution, stochastic optimal control, mean-field games, market microstructure theory

18.

Trading Cointegrated Assets with Price Impact

Number of pages: 32 Posted: 28 Oct 2015 Last Revised: 15 Jul 2018
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 600 (41,130)

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algorithmic trading, optimal execution, price impact, cointegration, cross price impact

19.

Irreversible Investments and Ambiguity Aversion

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 27 Posted: 20 Nov 2011 Last Revised: 25 Jul 2017
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 599 (41,223)

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Real Options, Ambiguity Aversion, Risk Aversion, Robust Optimal Control, Indifference Pricing

20.

Order-Flow and Liquidity Provision

Number of pages: 9 Posted: 22 Jan 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 579 (43,078)

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Algorithmic Trading, High Frequency Trading, Market Making, Short Term Alpha, Adverse Selection, Order Flow

21.

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 543 (46,735)

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

22.

Stepping Through Fourier Space

RISK, pp. 78-83, July 2009
Number of pages: 8 Posted: 14 Oct 2008 Last Revised: 29 Jun 2011
Sebastian Jaimungal and Vladimir Surkov
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 502 (51,644)
Citation 1

Abstract:

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Option pricing, Levy processes, regime switching, Fourier methods, American options, catastrophe options

23.

Trading Strategies within the Edges of No-Arbitrage

Number of pages: 37 Posted: 25 Sep 2015
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 498 (52,166)

Abstract:

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Optimal Trading, high-frequency Trading, Algorithmic Trading, Limit Orders, Market Orders, Stochastic Control, Impulse Control, No-arbitrage bounds

24.

Incorporating Managerial Information into Real Option Valuation

Fields Volume on Commodities, Energy, and Environmental Finance, Forthcoming
Number of pages: 25 Posted: 24 Dec 2010 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Yuri Lawryshyn
University of Toronto - Department of Statistics and University of Toronto
Downloads 469 (56,280)

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Real Options, Managerial Information, Cash-Flow Replication, Indifference Pricing, Entry-Exit Problem

25.

An Insurance Risk Model with Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 46, No. 1, pp. 52-66
Number of pages: 31 Posted: 15 Dec 2008 Last Revised: 16 Feb 2010
Yichun Chi, Sebastian Jaimungal and X. Sheldon Lin
China Institute for Actuarial Science, Central University of Finance and Economics, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 440 (60,847)
Citation 1

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Gerber-Shiu expected discounted penalty function, Integro-differential equation, Singular perturbation theory, Stochastic volatility, Perturbed compound Poisson risk process, Phase-type distribution, Ornstein-Uhlenbeck process

26.

Valuing GWBs with Stochastic Interest Rates and Volatility

Donnelly, Ryan Francis, Sebastian Jaimungal, and Dmitri Rubisov. "Valuing GWBs with stochastic interest rates and volatility." Quantitative Finance (2012).
Number of pages: 26 Posted: 14 Jan 2012 Last Revised: 27 Apr 2015
Ryan Francis Donnelly, Sebastian Jaimungal and Dmitri Rubisov
University of Washington - Department of Applied Mathematics, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 413 (65,709)
Citation 1

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Insurance Guarantees, Withdrawal Benefits, Stochastic Volatility, Stochastic Interest Rates, ADI methods, Asian Options, Mixed Fund

27.

Model Uncertainty in Commodity Markets

Forthcoming: SIAM Journal of Financial Mathematics
Number of pages: 40 Posted: 16 May 2015 Last Revised: 16 Oct 2015
Álvaro Cartea, Sebastian Jaimungal and Zhen Qin
University of Oxford, University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 408 (66,689)
Citation 1

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Ambiguity aversion, Knightian uncertainty, Commodities, Certainty Equivalent, Robust Pricing, Indifference Pricing, Optimal Control

28.

Kernel-Based Copula Processes

European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases (ECML PKDD), Bled, Slovenia, 2009
Number of pages: 16 Posted: 05 Aug 2009
Sebastian Jaimungal and Eddie K. H. Ng
University of Toronto - Department of Statistics and University of Toronto - The Edward S. Rogers Sr. Department of Electrical and Computer Engineering
Downloads 403 (67,723)

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Copula, Kernel Methods, Gaussian Processes, Time-Series Analysis, Heteroskedasticity, Maximum Likelihood Estimation, Financial Derivatives, Risk Management

Incorporating Risk and Ambiguity Aversion into a Hybrid Model of Default

Jaimungal, Sebastian, and Georg Sigloch. "Incorporating risk and ambiguity aversion into a hybrid model of default." Mathematical Finance 22.1 (2012): 57-81.
Number of pages: 31 Posted: 25 Feb 2009 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Georg Sigloch
University of Toronto - Department of Statistics and University of Toronto - Department of Mathematics
Downloads 395 (68,669)
Citation 6

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Strucutural Models, Intensity Models, Stochastic Optimal Control, Robust Optimization, Indifference Valuation, Defaultable Bonds, Credit Default Swap

Incorporating Risk and Ambiguity Aversion into a Hybrid Model of Default

Mathematical Finance, Vol. 22, Issue 1, pp. 57-81, 2012
Number of pages: 25 Posted: 21 Jan 2012
Sebastian Jaimungal and Georg Sigloch
University of Toronto - Department of Statistics and University of Toronto - Department of Mathematics
Downloads 3 (616,359)
Citation 6
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hybrid default model, indifference valuation, robust optimization, ambiguity aversion, risk aversion

30.

Real Option Pricing with Mean-Reverting Investment and Project Value

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: 28 Posted: 17 Oct 2010 Last Revised: 27 Apr 2015
Sebastian Jaimungal, Max O. de Souza and Jorge P. Zubelli
University of Toronto - Department of Statistics, UFF and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 390 (70,301)

Abstract:

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Real Options, Mean-Reverting, Investment under Uncertainty, Uncertain Costs

31.

Outperformance and Tracking : Dynamic Asset Allocation for Active and Passive Portfolio Management

Number of pages: 29 Posted: 31 Jan 2017 Last Revised: 19 Mar 2018
Ali Al-Aradi and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 381 (72,294)

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Active portfolio management, Stochastic Portfolio Theory, Portfolio Optimization, Stochastic Control, Growth Optimal Portfolio, Functionally Generated Portfolios

32.

How to Value a Gas Storage Facility

Number of pages: 41 Posted: 13 Jan 2014
Álvaro Cartea, James Cheeseman and Sebastian Jaimungal
University of Oxford, British Petroleum and University of Toronto - Department of Statistics
Downloads 374 (73,885)

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Gas storage, Swing Options, LSMC

33.

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models

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: 22 Posted: 03 Aug 2010 Last Revised: 27 Apr 2015
Jean-Pierre Fouque, Sebastian Jaimungal and Matthew Lorig
University of California, Santa Barbara - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 348 (80,247)
Citation 1

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Spectral Methods, Stochastic Volatility, Barrier Options

34.

Valuing Clustering in Catastrophe Derivatives

Jaimungal, Sebastian, and Yuxiang Chong. "Valuing clustering in catastrophe derivatives." Quantitative Finance 14.2 (2014): 259-270.
Number of pages: 22 Posted: 29 Mar 2011 Last Revised: 27 Apr 2015
Sebastian Jaimungal and Yuxiang Chong
University of Toronto - Department of Statistics and University of Toronto
Downloads 256 (112,297)

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Catastrophe Derivatives, Catastrophe Risk, Regime Switching, Self-Exciting Processes

35.

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders

Number of pages: 30 Posted: 13 Apr 2017
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 225 (127,904)

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Optimal hedging, market impact, impulse control, algorithmic trading, high-frequency trading

36.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 193 (147,967)

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Optimal Execution, Ambiguity Aversion, Model Uncertainty, Algorithmic Trading, High Frequency Trading, Short Term Alpha, Adverse Selection, Robust Optimization

37.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 51 Posted: 18 Nov 2016 Last Revised: 23 Mar 2018
David Farahany, Kenneth R. Jackson and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Toronto - Department of Computer Science and University of Toronto - Department of Statistics
Downloads 189 (150,807)

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least-squares Monte Carlo, bermudan options, stochastic volatility, variance reduction, dimension reduction

38.

Speculative Trading of Electricity Contracts in Interconnected Locations

Number of pages: 33 Posted: 17 Nov 2016
Álvaro Cartea, Sebastian Jaimungal and Zhen Qin
University of Oxford, University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 163 (172,038)

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Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

Technical Uncertainty in Real Options with Learning

Number of pages: 20 Posted: 06 Oct 2014 Last Revised: 24 Jun 2017
Ali Al-Aradi, Álvaro Cartea and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Oxford and University of Toronto - Department of Statistics
Downloads 153 (182,764)

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Real Options, Irreversible Investment, Technical Uncertainty, Learning

Technical Uncertainty in Real Options with Learning

Journal of Energy Markets, Vol. 11, No. 4, 2018
Number of pages: 24 Posted: 10 Dec 2018
Ali Al-Aradi, Álvaro Cartea and Sebastian Jaimungal
University of Toronto - Department of Statistics, University of Oxford and University of Toronto - Department of Statistics
Downloads 0
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real option, investment under uncertainty, technical uncertainty, irreversibility, Markov chains.

40.

Trading Foreign Exchange Triplets

Number of pages: 29 Posted: 18 Oct 2017 Last Revised: 10 Jan 2018
Álvaro Cartea, Sebastian Jaimungal and Tianyi Jia
University of Oxford, University of Toronto - Department of Statistics and University of Toronto
Downloads 150 (184,393)

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Foreign Exchange, Currency Pairs, Optimal Liquidation, Execution, Inventory Aversion, Ambiguity Aversion

41.

The Effect of Environmental Policies and Market Uncertainty on the Oilsands Rate of Expansion

Number of pages: 30 Posted: 01 Mar 2013
Laleh Kobari, Sebastian Jaimungal and Yuri Lawryshyn
University of Toronto, University of Toronto - Department of Statistics and University of Toronto
Downloads 139 (196,190)

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OR in natural resources, Irreversible investment, Real options, Oilsands

42.

Robust Stochastic Games and Systemic Risk

Number of pages: 30 Posted: 24 Aug 2017
Xuancheng Huang and Sebastian Jaimungal
University of Toronto and University of Toronto - Department of Statistics
Downloads 87 (274,020)

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Interbank Borrowing and Lending, Mean- Field Games, Nash Equilibrium, Stochastic Games, Model Uncertainty, Ambiguity Aversion

43.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Number of pages: 27 Posted: 27 Apr 2018 Last Revised: 16 Jun 2018
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, University of Washington - Department of Applied Mathematics and University of Toronto - Department of Statistics
Downloads 73 (304,125)

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algorithmic trading, hedging, price impact

44.

Mean-Field Games and Ambiguity Aversion

Number of pages: 22 Posted: 11 Sep 2017
Xuancheng Huang and Sebastian Jaimungal
University of Toronto and University of Toronto - Department of Statistics
Downloads 39 (404,964)

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Mean-Field Games, Nash Equilibrium, Stochastic Games, Model Uncertainty, Ambiguity Aversion