From the 1 of 14 linked papers with an AI index.
1 citations · 1 across the 4 of their papers we have counts for
14 papers
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
The paper studies how an agent can share continuous‑time losses with a counterparty when the true loss distribution is ambiguous, using a chi‑squared divergence based mean‑variance…
Risk-averse mean field games: exploitability and non-asymptotic analysis
Ziteng Cheng, Sebastian Jaimungal
In this paper, we use mean field games (MFGs) to investigate approximations of -player games (pGs) with uniformly symmetrically continuous heterogeneous closed-loop actions.…
Deep Learning and Elicitability for McKean-Vlasov FBSDEs With Common Noise
Felipe J. P. Antunes, Yuri F. Saporito, Sebastian Jaimungal
We present a novel numerical method for solving McKean--Vlasov forward--backward stochastic differential equations (MV--FBSDEs) with common noise, combining Picard iterations, elic…
Optimal Trading in Automated Market Makers with Deep Learning
Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza +1
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interact…
Multi-Agent Reinforcement Learning for Greenhouse Gas Offset Credit Markets
Liam Welsh, Udit Grover, Sebastian Jaimungal
Climate change is a major threat to the future of humanity, and its impacts are being intensified by excess man-made greenhouse gas emissions. One method governments can employ to…
Equilibrium Liquidity and Risk Offsetting in Decentralised Markets
Fayçal Drissi, Xuchen Wu, Sebastian Jaimungal
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strateg…