Sebastian Jaimungal

48 papers Journal 46Unranked 2

Year	Rank	Type	Title / Venue / Authors
2026	J	`jnl`	Kullback-Leibler Barycenter of Stochastic Processes. SIAM J. Financial Math. Sebastian Jaimungal, Silvana M. Pesenti
2026	J	`jnl`	Robust Reinforcement Learning with Dynamic Distortion Risk Measures. SIAM J. Math. Data Sci. Anthony Coache, Sebastian Jaimungal
2025	J	`jnl`	Deep Learning and Elicitability for McKean-Vlasov FBSDEs With Common Noise. CoRR Felipe J. P. Antunes, Yuri F. Saporito, Sebastian Jaimungal
2025	J	`jnl`	Learning conditional distributions on continuous spaces. J. Mach. Learn. Res. Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal
2025	J	`jnl`	Multi-Agent Reinforcement Learning for Greenhouse Gas Offset Credit Markets. CoRR Liam Welsh, Udit Grover, Sebastian Jaimungal
2025	J	`jnl`	Risk Budgeting Allocation for Dynamic Risk Measures. Oper. Res. Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito, Rodrigo S. Targino
2025	J	`jnl`	Risk-Averse Markov Decision Processes Through a Distributional Lens. Math. Oper. Res. Ziteng Cheng, Sebastian Jaimungal
2024	J	`jnl`	Exploratory Control with Tsallis Entropy for Latent Factor Models. SIAM J. Financial Math. Ryan Donnelly, Sebastian Jaimungal
2024	J	`jnl`	Learning conditional distributions on continuous spaces. CoRR Cyril Bénézet, Ziteng Cheng, Sebastian Jaimungal
2024	J	`jnl`	Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. SIAM J. Control. Optim. Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
2024	J	`jnl`	Robust Reinforcement Learning with Dynamic Distortion Risk Measures. CoRR Anthony Coache, Sebastian Jaimungal
2024	J	`jnl`	Short Communication: The Price of Information. SIAM J. Financial Math. Sebastian Jaimungal, Xiaofei Shi
2023	J	`jnl`	Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. SIAM J. Financial Math. Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron
2023	J	`jnl`	Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
2023	J	`jnl`	Distributional Method for Risk Averse Reinforcement Learning. CoRR Ziteng Cheng, Sebastian Jaimungal, Nick Martin
2023	J	`jnl`	Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning. CoRR Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
2023	J	`jnl`	FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. CoRR Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron
2023	J	`jnl`	Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. Silvana M. Pesenti, Sebastian Jaimungal
2023	J	`jnl`	Robust Risk-Aware Option Hedging. CoRR David Wu, Sebastian Jaimungal
2022	J	`jnl`	Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. CoRR Anthony Coache, Sebastian Jaimungal, Álvaro Cartea
2022	J	`jnl`	Exploratory LQG mean field games with entropy regularization. Autom. Dena Firoozi, Sebastian Jaimungal
2022	J	`jnl`	Optimal Trading with Signals and Stochastic Price Impact. SIAM J. Financial Math. Jean-Pierre Fouque, Sebastian Jaimungal, Yuri F. Saporito
2022	J	`jnl`	Robust Risk-Aware Reinforcement Learning. SIAM J. Financial Math. Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
2021	J	`jnl`	Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. CoRR Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron
2021	J	`jnl`	Deep Learning for Principal-Agent Mean Field Games. CoRR Steven Campbell, Yichao Chen, Arvind Shrivats, Sebastian Jaimungal
2021	J	`jnl`	Reinforcement Learning with Dynamic Convex Risk Measures. CoRR Anthony Coache, Sebastian Jaimungal
2021	J	`jnl`	Robust Risk-Aware Reinforcement Learning. CoRR Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat
2020	J	`jnl`	A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. CoRR Arvind Shrivats, Dena Firoozi, Sebastian Jaimungal
2020	J	`jnl`	Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems. Syst. Control. Lett. Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
2020	J	`jnl`	Exploratory LQG Mean Field Games with Entropy Regularization. CoRR Dena Firoozi, Sebastian Jaimungal
2020	J	`jnl`	Mixing LSMC and PDE Methods to Price Bermudan Options. SIAM J. Financial Math. David Farahany, Kenneth R. Jackson, Sebastian Jaimungal
2020	J	`jnl`	Trading Foreign Exchange Triplets. SIAM J. Financial Math. Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia
2019	J	`jnl`	Deep Q-Learning for Nash Equilibria: Nash-DQN. CoRR Philippe Casgrain, Brian Ning, Sebastian Jaimungal
2019	J	`jnl`	Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM J. Financial Math. Álvaro Cartea, Luhui Gan, Sebastian Jaimungal
2018	J	`jnl`	Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Rev. Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
2018	J	`jnl`	Convex Analysis for LQG Systems with Applications to Major Minor LQG Mean Field Game Systems. CoRR Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
2018	J	`jnl`	Double Deep Q-Learning for Optimal Execution. CoRR Brian Ning, Franco Ho Ting Ling, Sebastian Jaimungal
2018	J	`jnl`	Mean Field Game Systems with Common Noise and Markovian Latent Processes. CoRR Dena Firoozi, Peter E. Caines, Sebastian Jaimungal
2018	—	`conf`	Mean Field Game Systems with Common and Latent Processes. CDC Dena Firoozi, Sebastian Jaimungal, Peter E. Caines
2017	J	`jnl`	Algorithmic Trading with Model Uncertainty. SIAM J. Financial Math. Álvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
2017	J	`jnl`	Using managerial revenue and cost estimates to value early stage real option investments. Ann. Oper. Res. Sebastian Jaimungal, Yuri A. Lawryshyn
2016	J	`jnl`	A Closed-Form Execution Strategy to Target Volume Weighted Average Price. SIAM J. Financial Math. Álvaro Cartea, Sebastian Jaimungal
2016	J	`jnl`	Model Uncertainty in Commodity Markets. SIAM J. Financial Math. Álvaro Cartea, Sebastian Jaimungal, Zhen Qin
2014	J	`jnl`	Buy Low, Sell High: A High Frequency Trading Perspective. SIAM J. Financial Math. Álvaro Cartea, Sebastian Jaimungal, Jason Ricci
2011	J	`jnl`	Lévy-Based Cross-Commodity Models and Derivative Valuation. SIAM J. Financial Math. Sebastian Jaimungal, Vladimir Surkov
2011	J	`jnl`	Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. SIAM J. Financial Math. Jean-Pierre Fouque, Sebastian Jaimungal, Matthew J. Lorig
2009	—	`conf`	Kernel-Based Copula Processes. ECML/PKDD (1) Sebastian Jaimungal, Eddie K. H. Ng
2007	J	`jnl`	Option Valuation using Fourier Space Time Stepping CoRR Kenneth R. Jackson, Sebastian Jaimungal, Vladimir Surkov