Option Valuation using Fourier Space Time Stepping - Kenneth R. Jackson; Sebastian Jaimungal; Vladimir Surkov (CoRR, 2007)

Kernel-Based Copula Processes. - Sebastian Jaimungal; Eddie K. H. Ng (ECML/PKDD (1), 2009)

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models. - Jean-Pierre Fouque; Sebastian Jaimungal; Matthew J. Lorig (SIAM J. Financial Math., 2011)

Lévy-Based Cross-Commodity Models and Derivative Valuation. - Sebastian Jaimungal; Vladimir Surkov (SIAM J. Financial Math., 2011)

Buy Low, Sell High: A High Frequency Trading Perspective. - Álvaro Cartea; Sebastian Jaimungal; Jason Ricci (SIAM J. Financial Math., 2014)

A Closed-Form Execution Strategy to Target Volume Weighted Average Price. - Álvaro Cartea; Sebastian Jaimungal (SIAM J. Financial Math., 2016)

Model Uncertainty in Commodity Markets. - Álvaro Cartea; Sebastian Jaimungal; Zhen Qin (SIAM J. Financial Math., 2016)

Using managerial revenue and cost estimates to value early stage real option investments. - Sebastian Jaimungal; Yuri A. Lawryshyn (Ann. Oper. Res., 2017)

Algorithmic Trading with Model Uncertainty. - Álvaro Cartea; Ryan Donnelly; Sebastian Jaimungal (SIAM J. Financial Math., 2017)

Mean Field Game Systems with Common and Latent Processes. - Dena Firoozi; Sebastian Jaimungal; Peter E. Caines (CDC, 2018)

Mean Field Game Systems with Common Noise and Markovian Latent Processes. - Dena Firoozi; Peter E. Caines; Sebastian Jaimungal (CoRR, 2018)

Double Deep Q-Learning for Optimal Execution. - Brian Ning; Franco Ho Ting Ling; Sebastian Jaimungal (CoRR, 2018)

Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. - Álvaro Cartea; Sebastian Jaimungal; Jason Ricci (SIAM Rev., 2018)

Deep Q-Learning for Nash Equilibria: Nash-DQN. - Philippe Casgrain; Brian Ning; Sebastian Jaimungal (CoRR, 2019)

Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. - Álvaro Cartea; Luhui Gan; Sebastian Jaimungal (SIAM J. Financial Math., 2019)

A Mean-Field Game Approach to Equilibrium Pricing, Optimal Generation, and Trading in Solar Renewable Energy Certificate (SREC) Markets. - Arvind Shrivats; Dena Firoozi; Sebastian Jaimungal (CoRR, 2020)

Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems. - Dena Firoozi; Sebastian Jaimungal; Peter E. Caines (Syst. Control. Lett., 2020)

Trading Foreign Exchange Triplets. - Álvaro Cartea; Sebastian Jaimungal; Tianyi Jia (SIAM J. Financial Math., 2020)

Mixing LSMC and PDE Methods to Price Bermudan Options. - David Farahany; Kenneth R. Jackson; Sebastian Jaimungal (SIAM J. Financial Math., 2020)

Deep Learning for Principal-Agent Mean Field Games. - Steven Campbell; Yichao Chen; Arvind Shrivats; Sebastian Jaimungal (CoRR, 2021)

Reinforcement Learning with Dynamic Convex Risk Measures. - Anthony Coache; Sebastian Jaimungal (CoRR, 2021)

Exploratory LQG mean field games with entropy regularization. - Dena Firoozi; Sebastian Jaimungal (Autom., 2022)

Robust Risk-Aware Reinforcement Learning. - Sebastian Jaimungal; Silvana M. Pesenti; Ye Sheng Wang; Hariom Tatsat (SIAM J. Financial Math., 2022)

Optimal Trading with Signals and Stochastic Price Impact. - Jean-Pierre Fouque; Sebastian Jaimungal; Yuri F. Saporito (SIAM J. Financial Math., 2022)

Distributional Method for Risk Averse Reinforcement Learning. - Ziteng Cheng; Sebastian Jaimungal; Nick Martin (CoRR, 2023)

FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs. - Vedant Choudhary; Sebastian Jaimungal; Maxime Bergeron (CoRR, 2023)

Robust Risk-Aware Option Hedging. - David Wu; Sebastian Jaimungal (CoRR, 2023)

Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning. - Ziteng Cheng; Anthony Coache; Sebastian Jaimungal (CoRR, 2023)

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. - Anthony Coache; Sebastian Jaimungal; Álvaro Cartea (SIAM J. Financial Math., 2023)

Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. - Brian Ning; Sebastian Jaimungal; Xiaorong Zhang; Maxime Bergeron (SIAM J. Financial Math., 2023)

Portfolio Optimization within a Wasserstein Ball. - Silvana M. Pesenti; Sebastian Jaimungal (SIAM J. Financial Math., 2023)

Learning conditional distributions on continuous spaces. - Cyril Bénézet; Ziteng Cheng; Sebastian Jaimungal (CoRR, 2024)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures. - Anthony Coache; Sebastian Jaimungal (CoRR, 2024)

Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes. - Sebastian Jaimungal; Silvana M. Pesenti; Leandro Sánchez-Betancourt (SIAM J. Control. Optim., 2024)

Short Communication: The Price of Information. - Sebastian Jaimungal; Xiaofei Shi (SIAM J. Financial Math., 2024)

Exploratory Control with Tsallis Entropy for Latent Factor Models. - Ryan Donnelly; Sebastian Jaimungal (SIAM J. Financial Math., 2024)

Risk Budgeting Allocation for Dynamic Risk Measures. - Silvana M. Pesenti; Sebastian Jaimungal; Yuri F. Saporito; Rodrigo S. Targino (Oper. Res., 2025)

Multi-Agent Reinforcement Learning for Greenhouse Gas Offset Credit Markets. - Liam Welsh; Udit Grover; Sebastian Jaimungal (CoRR, 2025)