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1

Enhancing trading strategies with order book signals

Cartea, Álvaro, Donnelly, Ryan, Jaimungal, Sebastian

Journal:

Applied Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 3.37 MB

english, 2018

2

RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY  TRADING STRATEGIES

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

Mathematical Finance

Year:

2015

Language:

english

File:

PDF, 1.14 MB

english, 2015

3

Modelling Asset Prices for Algorithmic and High-Frequency Trading

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

Applied Mathematical Finance

Year:

2013

Language:

english

File:

PDF, 488 KB

english, 2013

4

Buy Low, Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Jaimungal, Sebastian, Ricci, Jason

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 436 KB

english, 2014

5

Incorporating order-flow into optimal execution

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

Mathematics and Financial Economics

Year:

2016

Language:

english

File:

PDF, 950 KB

english, 2016

6

Algorithmic Trading with Model Uncertainty

Cartea, Álvaro, Donnelly, Ryan, Jaimungal, Sebastian

Journal:

SIAM Journal on Financial Mathematics

Year:

2017

Language:

english

File:

PDF, 508 KB

english, 2017

7

ALGORITHMIC TRADING WITH LEARNING

CARTEA, ÁLVARO, JAIMUNGAL, SEBASTIAN, KINZEBULATOV, DAMIR

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 1.16 MB

english, 2016

8

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

Al-Aradi, Ali, Jaimungal, Sebastian

Journal:

Applied Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 2.81 MB

english, 2018

9

Trading algorithms with learning in latent alpha models

Casgrain, Philippe, Jaimungal, Sebastian

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 1.71 MB

english, 2018

10

Optimal execution with limit and market orders

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 682 KB

english, 2015

11

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

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 1.85 MB

english, 2016

12

TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE

CARTEA, ÁLVARO, JAIMUNGAL, SEBASTIAN, RICCI, JASON

Journal:

International Journal of Theoretical and Applied Finance

Year:

2018

Language:

english

File:

PDF, 1.70 MB

english, 2018

13

Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes

Cartea, Álvaro, Jaimungal, Sebastian, Ricci, Jason

Journal:

Year:

2018

Language:

english

File:

PDF, 592 KB

english, 2018

14

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

Cartea, Álvaro, Gan, Luhui, Jaimungal, Sebastian

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 950 KB

english, 2019

15

A Closed-Form Execution Strategy to Target VWAP

Cartea, lvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.87 MB

english, 2014

16

ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS

CARTEA, ÁLVARO, JAIMUNGAL, SEBASTIAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2016

Language:

english

File:

PDF, 368 KB

english, 2016

17

Modeling Asset Prices for Algorithmic and High Frequency Trading

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 517 KB

english, 2010

18

Risk Measures and Fine Tuning of High Frequency Trading Strategies

Cartea, Álvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 854 KB

english, 2012

19

INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT

Sebastian Jaimungal, Georg Sigloch

Journal:

Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 892 KB

english, 2012

20

Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models

Hikspoors, Samuel, Jaimungal, Sebastian

Journal:

Applied Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 767 KB

english, 2008

21

Model Uncertainty in Commodity Markets

Cartea, Álvaro, Jaimungal, Sebastian, Qin, Zhen

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 973 KB

english, 2016

22

[WORLD SCIENTIFIC TMU Finance Workshop 2014 - Tokyo Metropolitan University (TMU) Akihabara Satellite Campus (6 – 7 November 2014)] Recent Advances in Financial Engineering 2014 - Volume Imbalance and Market Making *

Cartea, Álvaro, Donnelly, Ryan, Jaimungal, Sebastian

Language:

english

File:

PDF, 1.62 MB

english

23

Enhancing Trading Strategies with Order Book Signals

Cartea, lvaro, Donnelly, Ryan Francis, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 731 KB

english, 2015

24

Foreign exchange markets with Last Look

Cartea, Álvaro, Jaimungal, Sebastian, Walton, Jamie

Journal:

Mathematics and Financial Economics

Year:

2018

Language:

english

File:

PDF, 940 KB

english, 2018

25

Algorithmic Trading with Learning

Cartea, lvaro, Jaimungal, Sebastian, Kinzebulatov, Damir

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.12 MB

english, 2013

26

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

Al-Aradi, Ali, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.14 MB

english, 2017

27

A two-state jump model

Albanese, Claudio, Jaimungal, Sebastian, Rubisov, Dmitri H

Journal:

Quantitative Finance

Year:

2003

Language:

english

File:

PDF, 212 KB

english, 2003

28

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

Fouque, Jean-Pierre, Jaimungal, Sebastian, Lorig, Matthew J.

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 538 KB

english, 2011

29

ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING

HIKSPOORS, SAMUEL, JAIMUNGAL, SEBASTIAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 747 KB

english, 2007

30

IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION

CARTEA, ÁLVARO, JAIMUNGAL, SEBASTIAN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2017

Language:

english

File:

PDF, 628 KB

english, 2017

31

Trading Algorithms with Learning in Latent Alpha Models

Casgrain, Philippe, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 2.54 MB

english, 2016

32

Optimal Execution with Limit and Market Orders

Cartea, lvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 665 KB

english, 2014

33

Fourier Space Time-Stepping for Option Pricing With Levy Models

Jackson, Kenneth R., Jaimungal, Sebastian, Surkov, Vladimir

Journal:

SSRN Electronic Journal

Year:

2007

Language:

english

File:

PDF, 352 KB

english, 2007

34

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Jaimungal, Sebastian, Ricci, Jason

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 785 KB

english, 2011

35

Mean-Field Game Strategies for a Major-Minor Agent Optimal Execution Problem

Jaimungal, Sebastian, Nourian, Mojtaba

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 525 KB

english, 2015

36

Mixing LSMC and PDE Methods to Price Bermudan Options

Farahany, David, Jackson, Kenneth R., Jaimungal, Sebastian

Journal:

SIAM Journal on Financial Mathematics

Year:

2020

File:

PDF, 2.13 MB

2020

37

An insurance risk model with stochastic volatility

Yichun Chi, Sebastian Jaimungal, X. Sheldon Lin

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 2.52 MB

english, 2010

38

T-duality in lattice regularized σ-models

Sebastian Jaimungal

Journal:

Physics Letters B

Year:

1998

Language:

english

File:

PDF, 85 KB

english, 1998

39

The emerging evidence for vitamin D–mediated regulation of apolipoprotein A-I synthesis

Sarada Jaimungal, Kent Wehmeier, Arshag D. Mooradian, Michael J. Haas

Journal:

Nutrition Research

Year:

2011

Language:

english

File:

PDF, 537 KB

english, 2011

40

Lévy-Based Cross-Commodity Models and Derivative Valuation

Jaimungal, Sebastian, Surkov, Vladimir

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 703 KB

english, 2011

41

Valuing clustering in catastrophe derivatives

Jaimungal, Sebastian, Chong, Yuxiang

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 445 KB

english, 2014

42

Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility

Donnelly, Ryan, Jaimungal, Sebastian, Rubisov, Dmitri H.

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 893 KB

english, 2014

43

VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS

JAIMUNGAL, SEBASTIAN, SURKOV, VLADIMIR

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 841 KB

english, 2013

44

Using managerial revenue and cost estimates to value early stage real option investments

Jaimungal, Sebastian, Lawryshyn, Yuri

Journal:

Annals of Operations Research

Year:

2016

Language:

english

File:

PDF, 1.50 MB

english, 2016

45

Not just for native speakers: writing across and beyond postcolonial theory

Sherry Jaimungal, Cristina

Journal:

Postcolonial Studies / Culture, Politics, Economy

Year:

2017

Language:

english

File:

PDF, 504 KB

english, 2017

46

Trading co-integrated assets with price impact

Cartea, Álvaro, Gan, Luhui, Jaimungal, Sebastian

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 647 KB

english, 2018

47

Trading Strategies within the Edges of No-Arbitrage

Cartea, lvaro, Jaimungal, Sebastian, Ricci, Jason

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 1.47 MB

english, 2015

48

Optimal Execution with a Price Limiter

Jaimungal, Sebastian, Kinzebulatov, Damir

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 681 KB

english, 2013

49

Incorporating Order-Flow into Optimal Execution

Cartea, lvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 712 KB

english, 2015

50

Algorithmic Trading of Co-Integrated Assets

Cartea, lvaro, Jaimungal, Sebastian

Journal:

SSRN Electronic Journal

Year:

2015

Language:

english

File:

PDF, 393 KB

english, 2015