Tim Leung
Tim Leung
Boeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) Program
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Cited by
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Optimal mean reversion trading with transaction costs and stop-loss exit
T Leung, X Li
International Journal of Theoretical and Applied Finance 18 (03), 1550020, 2015
Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options
T Leung, R Sircar
Mathematical Finance: An International Journal of Mathematics, Statisticsá…, 2009
Optimal mean reversion trading: Mathematical analysis and practical applications
TS Leung, X Li
World Scientific, 2015
Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
T Leung, H Nguyen
Studies in Economics and Finance 36 (3), 581-599, 2019
Implied volatility of leveraged ETF options
T Leung, R Sircar
Applied Mathematical Finance 22 (2), 162-188, 2015
The golden target: Analyzing the tracking performance of leveraged gold ETFs
T Leung, B Ward
Studies in Economics and Finance 32 (3), 278-297, 2015
Understanding the tracking errors of commodity leveraged ETFs
K Guo, T Leung
Commodities, energy and environmental finance, 39-63, 2015
Stochastic modeling and fair valuation of drawdown insurance
H Zhang, T Leung, O Hadjiliadis
Insurance: Mathematics and Economics 53 (3), 840-850, 2013
An optimal multiple stopping approach to infrastructure investment decisions
E Dahlgren, T Leung
Journal of Economic Dynamics and Control 53, 251-267, 2015
Exponential hedging with optimal stopping and application to employee stock option valuation
T Leung, R Sircar
SIAM Journal on Control and Optimization 48 (3), 1422-1451, 2009
Leveraged ETF implied volatilities from ETF dynamics
T Leung, M Lorig, A Pascucci
Mathematical Finance 27 (4), 1035-1068, 2017
Optimal multiple trading times under the exponential OU model with transaction costs
T Leung, X Li, Z Wang
Stochastic Models 31 (4), 554-587, 2015
Speculative futures trading under mean reversion
T Leung, J Li, X Li, Z Wang
Asia-Pacific Financial Markets 23, 281-304, 2016
Optimal static quadratic hedging
T Leung, M Lorig
Quantitative Finance 16 (9), 1341-1355, 2016
Special issue on AI and FinTech: the challenge ahead
L Cao, G Yuan, T Leung, W Zhang
IEEE intelligent systems 35 (2), 3-6, 2020
Optimal timing to purchase options
T Leung, M Ludkovski
SIAM Journal on Financial Mathematics 2 (1), 768-793, 2011
Credit derivatives and risk aversion
T Leung, R Sircar, T Zariphopoulou
Econometrics and Risk Management, 275-291, 2008
Pricing derivatives with counterparty risk and collateralization: A fixed point approach
J Kim, T Leung
European Journal of Operational Research 249 (2), 525-539, 2016
American step-up and step-down default swaps under LÚvy models
T Leung, K Yamazaki
Quantitative Finance 13 (1), 137-157, 2013
Forward indifference valuation of American options
T Leung, R Sircar, T Zariphopoulou
Stochastics An International Journal of Probability and Stochastic Processesá…, 2012
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