S. Jaimungal
Department of Statistics and Mathematical Finance Program, University of Toronto

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I occasionally take on projects from industry clients who require assistance with the modeling, valuation and hedging of derivative securities.

Sample Projects

  • Analysis of High Frequency Data and Algorithmic Trading Strategies
  • Derivatives Training

  • Valuation of Equity Indexed Annuities containing reset and high water mark features using a regime switching model;

  • A long-run scenario engine incorporating stochastic yield curves, inflation and equity prices for assessing long-term investment strategies;

  • A convertible debenture pricing engine, including default events, floating and state dependent coupons;

  • A pricing engine for European and American options, using a regime switching jump model;

  • An employee stock option calculator, incorporating earlier departure and barrier hitting exercise;

  • A distributed value-at-risk calculator, utilizing database access, web-services, and the .NET framework with an Excel front-end;

  • A valuation/hedging engine for interest rate swaptions using the SABR model;

  • A valuation engine for broker warrants.

If you are interested in pursuing a project, please contact me at:
sebastian [dot] jaimungal [at] utoronto [dot] ca