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

40

DOWNLOADS
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Top 493

in Total Papers Downloads

32,428

CITATIONS
Rank 10,183

SSRN RANKINGS

Top 10,183

in Total Papers Citations

42

Scholarly Papers (40)

1.

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 3,560 (1,339)
Citation 4

Abstract:

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

2.

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 3,160 (1,526)
Citation 4

Abstract:

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

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 2,015 (5,265)
Citation 2

Abstract:

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

Abstract:

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

4.

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 1,461 (7,941)
Citation 13

Abstract:

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

5.

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 1,111 (12,927)
Citation 4

Abstract:

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

6.

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 1,048 (5,655)

Abstract:

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

7.

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, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Department of Statistics
Downloads 823 (11,483)
Citation 1

Abstract:

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

8.

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 611 (13,585)

Abstract:

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

9.

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 581 (31,241)
Citation 1

Abstract:

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

10.

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 556 (6,382)

Abstract:

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

11.

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 452 (46,037)
Citation 1

Abstract:

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

12.

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 418 (33,729)

Abstract:

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

13.

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 376 (54,334)
Citation 1

Abstract:

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

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 372 (63,357)
Citation 6

Abstract:

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 (549,912)
Citation 6

Abstract:

hybrid default model, indifference valuation, robust optimization, ambiguity aversion, risk aversion

15.

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 353 (55,941)
Citation 1

Abstract:

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

16.

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 349 (63,395)

Abstract:

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

17.

Irreversible Investments and Ambiguity Aversion

Number of pages: 26 Posted: 20 Nov 2011 Last Revised: 01 May 2015
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Downloads 335 (47,138)
Citation 1

Abstract:

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

18.

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 331 (62,409)
Citation 1

Abstract:

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

19.

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
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 322 (59,761)
Citation 1

Abstract:

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

20.

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 288 (72,028)
Citation 1

Abstract:

Spectral Methods, Stochastic Volatility, Barrier Options

21.

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 255 (30,269)

Abstract:

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

22.

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 245 (49,988)

Abstract:

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

23.

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 240 (59,035)

Abstract:

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

24.

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 223 (100,687)

Abstract:

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

25.

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 221 (37,537)

Abstract:

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

26.

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 204 (79,157)

Abstract:

Gas storage, Swing Options, LSMC

27.

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 170 (50,407)

Abstract:

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

28.

Foreign Exchange Markets with Last Look

Number of pages: 40 Posted: 15 Jul 2015 Last Revised: 25 Oct 2016
Álvaro Cartea, Sebastian Jaimungal and Jamie Walton
University of Oxford, University of Toronto - Department of Statistics and University College London - Department of Mathematics
Downloads 137 (36,114)

Abstract:

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

29.

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 109 (175,789)

Abstract:

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

30.

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 103 (72,265)

Abstract:

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

31.

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 45 (67,568)

Abstract:

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

32.

Technical Uncertainty in Real Options with Learning

Number of pages: 20 Posted: 06 Oct 2014
Ali Al-Aradi and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 44 (278,775)

Abstract:

Real Options, Irreversible Investment, Technical Uncertainty, Learning

33.

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 0 (227,730)

Abstract:

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

34.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Department of Statistics
Downloads 0 (297,444)

Abstract:

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

35.

Beating the Market: Dynamic Asset Allocation with a Market Portfolio Benchmark

Number of pages: 35 Posted: 31 Jan 2017 Last Revised: 25 Apr 2017
Ali Al-Aradi and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 0 (107,367)

Abstract:

Active portfolio management, Stochastic Portfolio Theory, Portfolio Optimization, Stochastic Control, Tracking Error

36.

Trading Algorithms with Learning in Latent Alpha Models

Number of pages: 40 Posted: 19 Nov 2016 Last Revised: 29 Apr 2017
Philippe Casgrain and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 0 (33,572)

Abstract:

Algorithmic Trading, Statistical Arbitrage, Latent Alpha, Stochastic Control

37.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 32 Posted: 18 Nov 2016 Last Revised: 08 Jan 2017
David Farahany, Sebastian Jaimungal and Kenneth R. Jackson
University of Toronto - Department of Statistics, University of Toronto - Department of Statistics and University of Toronto - Department of Computer Science
Downloads 0 (196,498)

Abstract:

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 0 (250,084)

Abstract:

Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

39.

Liquidating Baskets of Co-Moving Assets

Number of pages: 24 Posted: 28 Oct 2015
Álvaro Cartea, Luhui Gan and Sebastian Jaimungal
University of Oxford, University of Toronto and University of Toronto - Department of Statistics
Downloads 0 (58,335)

Abstract:

optimal execution, price impact, co-integration, cross price impact, co-movements, algorithmic trading

40.

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, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Department of Statistics
Downloads 0 (7,839)

Abstract:

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