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Sebastian Jaimungal
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2020 – today
- 2024
- [j21]Sebastian Jaimungal
, Silvana M. Pesenti
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62(2): 982-1005 (2024) - [j20]Ryan Donnelly
Exploratory Control with Tsallis Entropy for Latent Factor Models. SIAM J. Financial Math. 15(1): 26-53 (2024) - [j19]Sebastian Jaimungal
Short Communication: The Price of Information. SIAM J. Financial Math. 15(3): 54- (2024) - [i18]Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal:
Learning conditional distributions on continuous spaces. CoRR abs/2406.09375 (2024) - [i17]Anthony Coache, Sebastian Jaimungal:
Robust Reinforcement Learning with Dynamic Distortion Risk Measures. CoRR abs/2409.10096 (2024) - 2023
- [j18]Brian Ning, Sebastian Jaimungal
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. SIAM J. Financial Math. 14(4): 1004-1027 (2023) - [j17]Silvana M. Pesenti
Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. 14(4): 1175-1214 (2023) - [j16]Anthony Coache, Sebastian Jaimungal
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. 14(4): 1249-1289 (2023) - [i16]Ziteng Cheng, Sebastian Jaimungal
Distributional Method for Risk Averse Reinforcement Learning. CoRR abs/2302.14109 (2023) - [i15]Vedant Choudhary, Sebastian Jaimungal
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. CoRR abs/2303.00859 (2023) - [i14]David Wu, Sebastian Jaimungal
Robust Risk-Aware Option Hedging. CoRR abs/2303.15216 (2023) - [i13]Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning. CoRR abs/2308.08427 (2023) - 2022
- [j15]Dena Firoozi, Sebastian Jaimungal
Exploratory LQG mean field games with entropy regularization. Autom. 139: 110177 (2022) - [j14]Sebastian Jaimungal
Robust Risk-Aware Reinforcement Learning. SIAM J. Financial Math. 13(1): 213-226 (2022) - [j13]Jean-Pierre Fouque, Sebastian Jaimungal
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13(3): 944-968 (2022) - [i12]Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. CoRR abs/2206.14666 (2022) - 2021
- [i11]Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron:
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. CoRR abs/2108.04941 (2021) - [i10]Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat:
Robust Risk-Aware Reinforcement Learning. CoRR abs/2108.10403 (2021) - [i9]Steven Campbell, Yichao Chen, Arvind Shrivats, Sebastian Jaimungal:
Deep Learning for Principal-Agent Mean Field Games. CoRR abs/2110.01127 (2021) - [i8]Anthony Coache, Sebastian Jaimungal:
Reinforcement Learning with Dynamic Convex Risk Measures. CoRR abs/2112.13414 (2021) - 2020
- [j12]Dena Firoozi
Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems. Syst. Control. Lett. 142: 104734 (2020) - [j11]David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. 11(1): 201-239 (2020) - [j10]Álvaro Cartea
Trading Foreign Exchange Triplets. SIAM J. Financial Math. 11(3): 690-719 (2020) - [i7]Arvind Shrivats, Dena Firoozi, Sebastian Jaimungal:
A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. CoRR abs/2003.04938 (2020) - [i6]Dena Firoozi, Sebastian Jaimungal:
Exploratory LQG Mean Field Games with Entropy Regularization. CoRR abs/2011.12946 (2020)
2010 – 2019
- 2019
- [j9]Álvaro Cartea
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM J. Financial Math. 10(3): 790-814 (2019) - [i5]Philippe Casgrain
Deep Q-Learning for Nash Equilibria: Nash-DQN. CoRR abs/1904.10554 (2019) - 2018
- [j8]Álvaro Cartea
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Rev. 60(3): 673-703 (2018) - [c2]Dena Firoozi, Sebastian Jaimungal
Mean Field Game Systems with Common and Latent Processes. CDC 2018: 5500-5505 - [i4]Dena Firoozi, Peter E. Caines, Sebastian Jaimungal:
Mean Field Game Systems with Common Noise and Markovian Latent Processes. CoRR abs/1809.07865 (2018) - [i3]Dena Firoozi, Sebastian Jaimungal, Peter E. Caines:
Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean Field Game Systems. CoRR abs/1810.07551 (2018) - [i2]Brian Ning, Franco Ho Ting Ling, Sebastian Jaimungal:
Double Deep Q-Learning for Optimal Execution. CoRR abs/1812.06600 (2018) - 2017
- [j7]Sebastian Jaimungal
Using managerial revenue and cost estimates to value early stage real option investments. Ann. Oper. Res. 259(1-2): 173-190 (2017) - [j6]Álvaro Cartea
Algorithmic Trading with Model Uncertainty. SIAM J. Financial Math. 8(1): 635-671 (2017) - 2016
- [j5]Álvaro Cartea
Model Uncertainty in Commodity Markets. SIAM J. Financial Math. 7(1): 1-33 (2016) - [j4]Álvaro Cartea
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. 7(1): 760-785 (2016) - 2014
- [j3]Álvaro Cartea
Buy Low, Sell High: A High Frequency Trading Perspective. SIAM J. Financial Math. 5(1): 415-444 (2014) - 2011
- [j2]Sebastian Jaimungal
Lévy-Based Cross-Commodity Models and Derivative Valuation. SIAM J. Financial Math. 2(1): 464-487 (2011) - [j1]Jean-Pierre Fouque, Sebastian Jaimungal
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2(1): 665-691 (2011)
2000 – 2009
- 2009
- [c1]Sebastian Jaimungal
Kernel-Based Copula Processes. ECML/PKDD (1) 2009: 628-643 - 2007
- [i1]Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov:
Option Valuation using Fourier Space Time Stepping. CoRR abs/cs/0703068 (2007)
Coauthor Index
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