Sebastian Jaimungal
Affiliations: | Statistics | University of Toronto, Toronto, ON, Canada |
Area:
Statistics, FinanceGoogle:
"Sebastian Jaimungal"Children
Sign in to add trainee| Ryan F. Donnelly | grad student | 2014 | University of Toronto |
| Laleh Kobari | grad student | 2014 | University of Toronto |
| Jason Ricci | grad student | 2014 | University of Toronto |
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Publications
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| Cartea Á, Jaimungal S, Wang Y. (2020) Spoofing and Price Manipulation in Order Driven Markets Applied Mathematical Finance. 27: 67-98 |
| Cartea Á, Jaimungal S, Jia T. (2020) Trading Foreign Exchange Triplets Siam Journal On Financial Mathematics. 11: 690-719 |
| Farahany D, Jackson KR, Jaimungal S. (2020) Mixing LSMC and PDE Methods to Price Bermudan Options Siam Journal On Financial Mathematics. 11: 201-239 |
| Cartea Á, Donnelly RF, Jaimungal S. (2020) Hedging Non-Tradable Risks with Transaction Costs and Price Impact Mathematical Finance. 30: 833-868 |
| Casgrain P, Jaimungal S. (2020) Mean‐field games with differing beliefs for algorithmic trading Mathematical Finance. 30: 995-1034 |
| Shrivats A, Jaimungal S. (2020) Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets Applied Mathematical Finance. 27: 99-131 |
| Cartea Á, Gan L, Jaimungal S. (2019) Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders Siam Journal On Financial Mathematics. 10: 790-814 |
| Casgrain P, Jaimungal S. (2019) Trading algorithms with learning in latent alpha models Mathematical Finance. 29: 735-772 |
| Cartea Á, Jaimungal S, Qin Z. (2019) Speculative trading of electricity contracts in interconnected locations Energy Economics. 79: 3-20 |
| Cartea Á, Jaimungal S, Walton J. (2019) Foreign Exchange Markets with Last Look Mathematics and Financial Economics. 13: 1-30 |