Sebastian Jaimungal
University of Toronto
H-index: 30
North America-Canada
Top articles of Sebastian Jaimungal
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Stressing dynamic loss models | Insurance: Mathematics and Economics | Emma Kroell Silvana M Pesenti Sebastian Jaimungal | 2024/1/1 |
Reinforcement learning with dynamic convex risk measures | Mathematical Finance | Anthony Coache Sebastian Jaimungal | 2024/4 |
Exploratory control with Tsallis entropy for latent factor models | SIAM Journal on Financial Mathematics | Ryan Donnelly Sebastian Jaimungal | 2024/3/31 |
The Price of Information | arXiv preprint arXiv:2402.11864 | Sebastian Jaimungal Xiaofei Shi | 2024/2/19 |
Nash Equilibria in Greenhouse Gas Offset Credit Markets | arXiv preprint arXiv:2401.01427 | Liam Welsh Sebastian Jaimungal | 2024/1/2 |
Optimal trading in automatic market makers with deep learning | Available at SSRN | Sebastian Jaimungal Yuri Saporito Max O Souza Yuri Thamsten | 2023/4/4 |
Optimal Robust Reinsurance with Multiple Insurers | arXiv preprint arXiv:2308.11828 | Emma Kroell Sebastian Jaimungal Silvana M Pesenti | 2023/8/22 |
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning | arXiv preprint arXiv:2308.08427 | Ziteng Cheng Anthony Coache Sebastian Jaimungal | 2023/8/16 |
Funvol: A multi-asset implied volatility market simulator using functional principal components and neural sdes | arXiv preprint arXiv:2303.00859 | Vedant Choudhary Sebastian Jaimungal Maxime Bergeron | 2023/3/1 |
Conditionally elicitable dynamic risk measures for deep reinforcement learning | SIAM Journal on Financial Mathematics | Anthony Coache Sebastian Jaimungal Álvaro Cartea | 2023/12/31 |
Distributional Method for Risk Averse Reinforcement Learning | arXiv preprint arXiv:2302.14109 | Ziteng Cheng Sebastian Jaimungal Nick Martin | 2023/2/27 |
Risk Budgeting Allocation for Dynamic Risk Measures | arXiv preprint arXiv:2305.11319 | Sebastian Jaimungal Silvana M Pesenti Yuri F Saporito Rodrigo S Targino | 2023/5/18 |
Arbitrage-free implied volatility surface generation with variational autoencoders | SIAM Journal on Financial Mathematics | Brian Ning Sebastian Jaimungal Xiaorong Zhang Maxime Bergeron | 2023/12/31 |
Mean field regret in discrete time games | arXiv preprint arXiv:2301.06930 | Ziteng Cheng Sebastian Jaimungal | 2023/1/17 |
Robust risk-aware option hedging | Applied Mathematical Finance | David Wu Sebastian Jaimungal | 2023/5/4 |
Portfolio optimization within a Wasserstein ball | SIAM Journal on Financial Mathematics | Silvana M Pesenti Sebastian Jaimungal | 2023/12/31 |
Reinforcement Learning for Algorithmic Trading | Álvaro Cartea Sebastian Jaimungal Leandro Sánchez-Betancourt | 2023/4/30 | |
Decoding the age–chemical structure of the Milky Way disc: an application of copulas and elicitable maps | Monthly Notices of the Royal Astronomical Society | Aarya A Patil Jo Bovy Sebastian Jaimungal Neige Frankel Henry W Leung | 2023/12 |
Exploratory LQG mean field games with entropy regularization | Automatica | Dena Firoozi Sebastian Jaimungal | 2022/5/1 |
Robust risk-aware reinforcement learning | SIAM Journal on Financial Mathematics | Sebastian Jaimungal Silvana M Pesenti Ye Sheng Wang Hariom Tatsat | 2022 |
Co-Authors
