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Sebastian Jaimungal
Sebastian Jaimungal
Bestätigte E-Mail-Adresse bei utoronto.ca
Titel
Zitiert von
Zitiert von
Jahr
Algorithmic and high-frequency trading
Á Cartea, S Jaimungal, J Penalva
Cambridge University Press, 2015
3512015
Buy low, sell high: A high frequency trading perspective
Á Cartea, S Jaimungal, J Ricci
SIAM Journal on Financial Mathematics 5 (1), 415-444, 2014
1882014
Fourier Space Time-Stepping for Option Pricing with Levy Models
S Jaimungal, KR Jackson, V Surkov
Computational Finance 12 (2), 1-29, 2008
176*2008
Catastrophe options with stochastic interest rates and compound Poisson losses
S Jaimungal, T Wang
Insurance: Mathematics and Economics 38 (3), 469-483, 2006
1352006
Incorporating order-flow into optimal execution
A Cartea, S Jaimungal
Mathematics and Financial Economics 10 (3), 339-364, 2016
1162016
Modelling asset prices for algorithmic and high-frequency trading
A Cartea, S Jaimungal
Applied Mathematical Finance 20 (6), 512-547, 2013
1112013
Algorithmic trading with model uncertainty
Á Cartea, R Donnelly, S Jaimungal
SIAM Journal on Financial Mathematics 8 (1), 635-671, 2017
110*2017
Risk metrics and fine tuning of high‐frequency trading strategies
Á Cartea, S Jaimungal
Mathematical Finance 25 (3), 576-611, 2015
1102015
Optimal execution with limit and market orders
A Cartea, S Jaimungal
Quantitative Finance 15 (8), 1279-1291, 2015
1022015
Mean-field game strategies for optimal execution
X Huang, S Jaimungal, M Nourian
Applied Mathematical Finance 26 (2), 153-185, 2019
85*2019
Enhancing trading strategies with order book signals
A Cartea, R Donnelly, S Jaimungal
Applied Mathematical Finance 25 (1), 1-35, 2018
822018
Energy spot price models and spread options pricing
S Hikspoors, S Jaimungal
International Journal of Theoretical and Applied Finance 10 (07), 1111-1135, 2007
582007
Double deep q-learning for optimal execution
B Ning, FHT Lin, S Jaimungal
Applied Mathematical Finance 28 (4), 361-380, 2021
562021
A closed-form execution strategy to target volume weighted average price
Á Cartea, S Jaimungal
SIAM Journal on Financial Mathematics 7 (1), 760-785, 2016
55*2016
Lévy-based cross-commodity models and derivative valuation
S Jaimungal, V Surkov
SIAM Journal on Financial Mathematics 2 (1), 464-487, 2011
492011
Asymptotic pricing of commodity derivatives using stochastic volatility spot models
S Hikspoors, S Jaimungal
Applied Mathematical Finance 15 (5-6), 449-477, 2008
482008
Mean field games with partial information for algorithmic trading
P Casgrain, S Jaimungal
arXiv preprint arXiv:1803.04094, 2018
46*2018
Algorithmic trading with learning
Á Cartea, S Jaimungal, D Kinzebulatov
Available at SSRN 2373196, 2014
422014
Mean‐field games with differing beliefs for algorithmic trading
P Casgrain, S Jaimungal
Mathematical Finance 30 (3), 995-1034, 2020
412020
Incorporating risk and ambiguity aversion into a hybrid model of default
S Jaimungal, G Sigloch
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2012
392012
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