Tim Leung
Tim Leung
Boeing Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) Program
Verified email at uw.edu - Homepage
Cited by
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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 with transaction costs and stop-loss exit
T Leung, X Li
International Journal of Theoretical and Applied Finance 18 (03), 1550020, 2015
Optimal mean reversion trading: Mathematical analysis and practical applications
TS Leung, X Li
World Scientific, 2015
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, 2015
Stochastic modeling and fair valuation of drawdown insurance
H Zhang, T Leung, O Hadjiliadis
Insurance: Mathematics and Economics 53 (3), 840-850, 2013
Understanding the tracking errors of commodity leveraged ETFs
K Guo, T Leung
Commodities, energy and environmental finance, 39-63, 2015
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 (4), 281-304, 2016
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, 2008
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
Default swap games driven by spectrally negative LÚvy processes
M Egami, T Leung, K Yamazaki
Stochastic Processes and their Applications 123 (2), 347-384, 2013
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
T Leung, K Yamazaki, H Zhang
International Journal of Theoretical and Applied Finance 18 (05), 1550032, 2015
Leveraged ETFs: Admissible leverage and risk horizon
T Leung, M Santoli
Journal of Investment Strategies 2 (1), 39-61, 2012
Accounting for risk aversion in derivatives purchase timing
T Leung, M Ludkovski
Mathematics and Financial Economics 6 (4), 363-386, 2012
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