Sebastian Jaimungal

Publication Activity (10 Years)

Years Active: 2007-2024
Publications (10 Years): 35

Top Topics

Nash Equilibria

Stochastic Control

Reinforcement Learning

Weighted Average

Top Venues

SIAM J. Financial Math.

Ann. Oper. Res.

Publications

Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal
Learning conditional distributions on continuous spaces. CoRR (2024)
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. 62 (2) (2024)
Sebastian Jaimungal, Xiaofei Shi
Short Communication: The Price of Information. SIAM J. Financial Math. 15 (3) (2024)
Ryan Donnelly, Sebastian Jaimungal
Exploratory Control with Tsallis Entropy for Latent Factor Models. SIAM J. Financial Math. 15 (1) (2024)
Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning. CoRR (2023)
Ziteng Cheng, Sebastian Jaimungal, Nick Martin
Distributional Method for Risk Averse Reinforcement Learning. CoRR (2023)
David Wu, Sebastian Jaimungal
Robust Risk-Aware Option Hedging. CoRR (2023)
Silvana M. Pesenti, Sebastian Jaimungal
Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. 14 (4) (2023)
Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. CoRR (2023)
Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. SIAM J. Financial Math. 14 (4) (2023)
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. 14 (4) (2023)
Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. 13 (3) (2022)
Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. CoRR (2022)
Dena Firoozi, Sebastian Jaimungal
Exploratory LQG mean field games with entropy regularization. Autom. 139 (2022)
Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
Robust Risk-Aware Reinforcement Learning. SIAM J. Financial Math. 13 (1) (2022)
Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. CoRR (2021)
Sebastian Jaimungal, Silvana Pesenti, Ye Sheng Wang, Hariom Tatsat
Robust Risk-Aware Reinforcement Learning. CoRR (2021)
Steven Campbell, Yichao Chen, Arvind Shrivats, Sebastian Jaimungal
Deep Learning for Principal-Agent Mean Field Games. CoRR (2021)
Anthony Coache, Sebastian Jaimungal
Reinforcement Learning with Dynamic Convex Risk Measures. CoRR (2021)
Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems. Syst. Control. Lett. 142 (2020)
Dena Firoozi, Sebastian Jaimungal
Exploratory LQG Mean Field Games with Entropy Regularization. CoRR (2020)
Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
Trading Foreign Exchange Triplets. SIAM J. Financial Math. 11 (3) (2020)
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 (2020)
David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. 11 (1) (2020)
Álvaro Cartea, Luhui Gan, Sebastian Jaimungal
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM J. Financial Math. 10 (3) (2019)
Philippe Casgrain, Brian Ning, Sebastian Jaimungal
Deep Q-Learning for Nash Equilibria: Nash-DQN. CoRR (2019)
Brian Ning, Franco Ho Ting Ling, Sebastian Jaimungal
Double Deep Q-Learning for Optimal Execution. CoRR (2018)
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Rev. 60 (3) (2018)
Dena Firoozi, Peter E. Caines, Sebastian Jaimungal
Mean Field Game Systems with Common Noise and Markovian Latent Processes. CoRR (2018)
Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean Field Game Systems. CoRR (2018)
Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
Mean Field Game Systems with Common and Latent Processes. CDC (2018)
Sebastian Jaimungal, Yuri Lawryshyn
Using managerial revenue and cost estimates to value early stage real option investments. Ann. Oper. Res. 259 (1-2) (2017)
Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
Algorithmic Trading with Model Uncertainty. SIAM J. Financial Math. 8 (1) (2017)
Álvaro Cartea, Sebastian Jaimungal, Zhen Qin
Model Uncertainty in Commodity Markets. SIAM J. Financial Math. 7 (1) (2016)
Álvaro Cartea, Sebastian Jaimungal
A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. 7 (1) (2016)
Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
Buy Low, Sell High: A High Frequency Trading Perspective. SIAM J. Financial Math. 5 (1) (2014)
Sebastian Jaimungal, Vladimir Surkov
Lévy-Based Cross-Commodity Models and Derivative Valuation. SIAM J. Financial Math. 2 (1) (2011)
Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. 2 (1) (2011)
Sebastian Jaimungal, Eddie K. H. Ng
Kernel-Based Copula Processes. ECML/PKDD (1) (2009)
Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov
Option Valuation using Fourier Space Time Stepping CoRR (2007)