Sebastian Jaimungal

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

http://http:/sebastian.statistics.utoronto.ca

SCHOLARLY PAPERS

61

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249

CROSSREF CITATIONS

162

Scholarly Papers (61)

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 8,744 (1,305)
Citation 34

Abstract:

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

2.

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, King's College London and University of Toronto - Department of Statistics
Downloads 6,252 (2,311)
Citation 22

Abstract:

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

3.

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 6,021 (2,453)
Citation 29

Abstract:

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

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 3,453 (6,326)
Citation 8

Abstract:

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

5.

Deep Reinforcement Learning for Algorithmic Trading

Number of pages: 24 Posted: 10 Apr 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 3,217 (7,107)
Citation 5

Abstract:

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reinforcement learning, machine learning, algorithmic trading, foreign exchange, triplets

6.

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 3,215 (7,103)
Citation 5

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

7.

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 3,086 (7,566)
Citation 7

Abstract:

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

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, King's College London and University of Toronto - Department of Statistics
Downloads 2,700 (9,335)
Citation 20

Abstract:

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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 2,586 (10,025)
Citation 10

Abstract:

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

10.

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 2,106 (13,951)
Citation 20

Abstract:

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

11.

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 1,780 (18,121)
Citation 31

Abstract:

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

12.

Mean-Field Game Strategies for Optimal Execution

Applied Mathematical Finance
Number of pages: 30 Posted: 16 Mar 2015 Last Revised: 09 Apr 2019
Xuancheng Huang, Sebastian Jaimungal and Mojtaba Nourian
university of Toronto, University of Toronto - Department of Statistics and Bank of Montreal
Downloads 1,423 (25,433)
Citation 16

Abstract:

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

13.

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 1,327 (28,234)
Citation 12

Abstract:

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

14.

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 1,311 (28,722)
Citation 1

Abstract:

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

15.

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 1,308 (28,831)
Citation 10

Abstract:

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

16.

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 1,150 (34,737)
Citation 5

Abstract:

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

17.

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 976 (44,066)
Citation 3

Abstract:

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

18.

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 944 (45,965)
Citation 9

Abstract:

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

19.

Spoofing and Price Manipulation in Order Driven Markets

Number of pages: 38 Posted: 02 Aug 2019 Last Revised: 30 Jan 2020
Álvaro Cartea, Sebastian Jaimungal and Yixuan Wang
University of Oxford, University of Toronto - Department of Statistics and University of Oxford
Downloads 940 (46,364)
Citation 11

Abstract:

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Market making, Spoofing, Layering, High-frequency trading, Market quality

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 913 (48,177)
Citation 4

Abstract:

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

21.

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 895 (49,555)
Citation 3

Abstract:

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

22.

FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs

Number of pages: 30 Posted: 07 Mar 2023 Last Revised: 11 Apr 2023
Vedant Choudhary, Sebastian Jaimungal and Maxime Bergeron
University of Toronto - Department of Statistical Sciences, University of Toronto - Department of Statistics and Riskfuel Analytics
Downloads 797 (58,025)

Abstract:

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generative models, neural SDEs, functional data analysis, implied volatility

23.

Portfolio Optimisation within a Wasserstein Ball

Number of pages: 37 Posted: 08 Feb 2021 Last Revised: 21 Jun 2022
Silvana M. Pesenti and Sebastian Jaimungal
University of Toronto and University of Toronto - Department of Statistics
Downloads 767 (61,056)
Citation 8

Abstract:

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Portfolio Allocation, Behavioural Finance, Wasserstein Distance, Tail Value-at-Risk, Benchmark

24.

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 757 (62,115)
Citation 2

Abstract:

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

25.

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 757 (62,115)
Citation 3

Abstract:

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

26.

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 726 (65,680)
Citation 9

Abstract:

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

27.

Optimal Trading in Automatic Market Makers with Deep Learning

Number of pages: 14 Posted: 18 Apr 2023
Sebastian Jaimungal, Yuri Saporito, Max O. Souza and Yuri Thamsten
University of Toronto - Department of Statistics, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics, UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística and UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística
Downloads 583 (86,839)

Abstract:

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Cryptocurrency, Optimal Trading, Automatic Market Makers, Decentralized Finance, Deep learning, Stochastic Control

28.

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 572 (88,780)
Citation 1

Abstract:

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

29.

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 572 (88,780)

Abstract:

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

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 570 (89,155)
Citation 1

Abstract:

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

31.

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 562 (90,754)

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Gas storage, Swing Options, LSMC

32.

Latency and Liquidity Risk

Number of pages: 33 Posted: 10 Aug 2019 Last Revised: 13 Oct 2021
Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt
University of Oxford, University of Toronto - Department of Statistics and Mathematical Institute, University of Oxford
Downloads 558 (91,793)
Citation 4

Abstract:

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Marked point processes, high-frequency trading, algorithmic trading, latency, forward-backward stochastic differential equations

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 546 (94,144)
Citation 2

Abstract:

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

34.

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning

Number of pages: 41 Posted: 13 Jul 2022 Last Revised: 01 May 2023
Anthony Coache, Sebastian Jaimungal and Álvaro Cartea
University of Toronto - Department of Statistics, University of Toronto - Department of Statistics and University of Oxford
Downloads 505 (103,896)
Citation 5

Abstract:

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Dynamic Risk Measures, Reinforcement Learning, Risk-Awareness, Elicitability, Consistent Scoring Functions,Time-Consistency, Actor-Critic Algorithm, Portfolio Allocation, Statistical Arbitrage

35.

Trading Foreign Exchange Triplets

SIAM Journal on Financial Mathematics
Number of pages: 35 Posted: 18 Oct 2017 Last Revised: 27 Apr 2020
Álvaro Cartea, Sebastian Jaimungal and Tianyi Jia
University of Oxford, University of Toronto - Department of Statistics and University of Toronto
Downloads 500 (104,950)
Citation 1

Abstract:

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

36.

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 492 (107,006)

Abstract:

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

37.

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
King's College London, University of Toronto - Department of Statistics and BMO Capital Markets
Downloads 489 (107,808)
Citation 3

Abstract:

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

38.

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 479 (110,488)

Abstract:

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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

39.

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

Applied Mathematical Finance, 25:3, 268-294, DOI: 10.1080/1350486X.2018.1507751
Number of pages: 33 Posted: 31 Jan 2017 Last Revised: 23 Mar 2019
Ali Al-Aradi and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 468 (113,584)
Citation 2

Abstract:

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

40.

Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes

SIAM Review, Forthcoming
Number of pages: 36 Posted: 08 Jan 2019
Álvaro Cartea, Sebastian Jaimungal and Jason Ricci
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 467 (113,889)
Citation 7

Abstract:

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

41.

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 434 (124,130)

Abstract:

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

42.

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. Souza and Jorge P. Zubelli
University of Toronto - Department of Statistics, UFF - Universidade Federal Fluminense - Instituto de Matemática e Estatística and Instituto de Matematica Pura e Aplicada (IMPA)
Downloads 428 (126,816)

Abstract:

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

43.

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 (UCSB) - Statistics & Applied Probablity, University of Toronto - Department of Statistics and University of Washington - Applied Mathematics
Downloads 397 (137,532)
Citation 2

Abstract:

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Spectral Methods, Stochastic Volatility, Barrier Options

44.

Portfolio Liquidation and Ambiguity Aversion

Number of pages: 40 Posted: 04 Apr 2017
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 361 (155,328)
Citation 2

Abstract:

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

45.

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 311 (179,489)
Citation 3

Abstract:

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Ambiguity Aversion, Model Uncertainty, Electricity Interconnector, Statistical Arbitrage

46.

Mixing LSMC and PDE Methods to Price Bermudan Options

Number of pages: 38 Posted: 18 Nov 2016 Last Revised: 10 Jan 2020
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 309 (180,702)

Abstract:

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

47.

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 289 (193,930)
Citation 1

Abstract:

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

48.

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 277 (202,525)
Citation 2

Abstract:

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

49.

Risk Budgeting Allocation for Dynamic Risk Measures

Number of pages: 34 Posted: 23 May 2023 Last Revised: 24 Jun 2023
University of Toronto - Department of Statistics, University of Toronto, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 241 (232,573)

Abstract:

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Dynamic Risk Measures, Portfolio Allocation, Risk Parity, Elicitability, Deep Learning

50.

Robust Risk-Aware Reinforcement Learning

Number of pages: 13 Posted: 27 Aug 2021 Last Revised: 15 Dec 2021
Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang and Hariom Tatsat
University of Toronto - Department of Statistics, University of Toronto, University of Toronto and affiliation not provided to SSRN
Downloads 228 (245,297)
Citation 7

Abstract:

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Robust Optimisation, Reinforcement Learning, Risk Measures, Wasserstein Distance, Statistical Arbitrage, Portfolio Optimisation

51.

Active and Passive Portfolio Management with Latent Factors

Number of pages: 41 Posted: 07 May 2019
Ali Al-Aradi and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 223 (250,548)
Citation 3

Abstract:

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Active Portfolio Management, Convex Analysis, Stochastic Portfolio Theory, Growth Optimal Portfolio, Hidden Markov Models, Partial information, Machine Learning

52.

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Forthcoming in Mathematical Finance
Number of pages: 42 Posted: 27 Apr 2018 Last Revised: 15 Feb 2020
Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 223 (250,548)
Citation 1

Abstract:

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algorithmic trading, hedging, price impact

53.

Stressing Dynamic Loss Models

Number of pages: 36 Posted: 18 Nov 2022 Last Revised: 03 Oct 2023
Emma Kroell, Silvana M. Pesenti and Sebastian Jaimungal
University of Toronto, University of Toronto and University of Toronto - Department of Statistics
Downloads 213 (261,543)
Citation 1

Abstract:

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Reverse Stress Testing, Compound Poisson Processes, KL divergence, Value-at-Risk, Conditional Value-at-Risk

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 212 (261,825)

Abstract:

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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
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Abstract:

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real option, investment under uncertainty, technical uncertainty, irreversibility, Markov chains.

55.

Exploratory Control with Tsallis Entropy for Latent Factor Models

SIAM Journal on Financial Mathematics
Number of pages: 33 Posted: 22 Nov 2022 Last Revised: 24 Jan 2024
Ryan Francis Donnelly and Sebastian Jaimungal
King's College London and University of Toronto - Department of Statistics
Downloads 193 (286,092)

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stochastic control, exploratory control, entropy regularization, reinforcement learning

56.

Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes

Number of pages: 33 Posted: 18 Jul 2022 Last Revised: 03 Aug 2022
University of Toronto - Department of Statistics, University of Toronto and Mathematical Institute, University of Oxford
Downloads 184 (298,566)

Abstract:

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Relative entropy, Kullback-Leibler, Levy-Ito processes, Reverse sensitivity, Risk Management, Model Uncertainty, Cryptocurrency

57.

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 164 (330,300)

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

58.

Robust Risk-Aware Option Hedging

Number of pages: 16 Posted: 05 Apr 2023 Last Revised: 18 Apr 2023
David Wu and Sebastian Jaimungal
Cornell University - Operations Research and Industrial Engineering and University of Toronto - Department of Statistics
Downloads 154 (348,220)

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Reinforcement Learning, Risk Measures, Option Hedging

59.

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 114 (439,681)

Abstract:

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

60.

Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets

Number of pages: 27 Posted: 14 Aug 2019 Last Revised: 31 Mar 2020
Arvind Shrivats and Sebastian Jaimungal
University of Toronto - Department of Statistics and University of Toronto - Department of Statistics
Downloads 98 (489,656)
Citation 4

Abstract:

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Commodity Markets, Stochastic Control, SREC, Cap and Trade, Market Design

61.

Optimal Robust Reinsurance with Multiple Insurers

Number of pages: 31 Posted: 23 Aug 2023 Last Revised: 21 Mar 2024
Emma Kroell, Sebastian Jaimungal and Silvana M. Pesenti
University of Toronto, University of Toronto - Department of Statistics and University of Toronto
Downloads 63 (632,749)

Abstract:

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Stackelberg game, reinsurance, excess-of-loss reinsurance, barycentre, Kullback-Leibler divergence