Sebastian Jaimungal

Finance · 2006–2018

A researcher in the Science corpus: 4 papers; trusts 12 researchers and is trusted by 3 researchers here, as inferred from the citation graph.

Subfields

• Finance — 14 citations into it; #6,157 of 10,518 by trust here, #6,162 by citations
• Economics and Econometrics — 12 citations into it; #16,085 of 23,481 by trust here, #20,008 by citations
• Management Science and Operations Research — 5 citations into it

Whom Sebastian Jaimungal trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Jean-Pierre Fouque 3
2. Samuel H. Cox
3. H. Pedersen
4. Anders B. Trolle
5. Aurélien Alfonsi
6. Marco Avellaneda
7. Alexander Schied
8. Eduardo S. Schwartz
9. Sasha Stoikov
10. Jim Gatheral

Who trusts Sebastian Jaimungal overall

1. Pierre Cardaliaguet
2. Fred Espen Benth
3. Charles-Albert Lehalle

Papers from Sebastian Jaimungal's perspective

Ordered by how strongly the researchers Sebastian Jaimungal trusts endorse each paper. Same corpus, a different order for every researcher.

1. Brownian Motion and Stochastic Calculus
2. Derivatives in Financial Markets with Stochastic Volatility
3. MEAN-REVERTING STOCHASTIC VOLATILITY
4. Optimal execution strategies in limit order books with general shape functions
5. The Price Impact of Order Book Events
6. Energy and Power Risk Management
7. Energy Derivatives: Pricing and Risk Management
8. Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
9. Catastrophe Risk Bonds
10. Inequality Among World Citizens: 1820-1992

Their papers

• Incorporating order-flow into optimal execution (2016) — 137 citations
• Enhancing trading strategies with order book signals (2018) — 105 citations
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models (2008) — 47 citations
• Catastrophe options with stochastic interest rates and compound Poisson losses (2006) — 108 citations