| 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, Statistics …, 2009 | 93 | 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 | 83 | 2015 |
| Optimal mean reversion trading: Mathematical analysis and practical applications TS Leung, X Li World Scientific, 2015 | 45 | 2015 |
| Implied volatility of leveraged ETF options T Leung, R Sircar Applied Mathematical Finance 22 (2), 162-188, 2015 | 40 | 2015 |
| The golden target: Analyzing the tracking performance of leveraged gold ETFs T Leung, B Ward Studies in Economics and Finance, 2015 | 34 | 2015 |
| Stochastic modeling and fair valuation of drawdown insurance H Zhang, T Leung, O Hadjiliadis Insurance: Mathematics and Economics 53 (3), 840-850, 2013 | 33 | 2013 |
| Understanding the tracking errors of commodity leveraged ETFs K Guo, T Leung Commodities, energy and environmental finance, 39-63, 2015 | 31 | 2015 |
| An optimal multiple stopping approach to infrastructure investment decisions E Dahlgren, T Leung Journal of Economic Dynamics and Control 53, 251-267, 2015 | 29 | 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 | 28 | 2009 |
| Leveraged ETF implied volatilities from ETF dynamics T Leung, M Lorig, A Pascucci Mathematical Finance 27 (4), 1035-1068, 2017 | 26 | 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 | 25 | 2015 |
| Speculative futures trading under mean reversion T Leung, J Li, X Li, Z Wang Asia-Pacific Financial Markets 23 (4), 281-304, 2016 | 24 | 2016 |
| Optimal timing to purchase options T Leung, M Ludkovski SIAM Journal on Financial Mathematics 2 (1), 768-793, 2011 | 24 | 2011 |
| Credit derivatives and risk aversion T Leung, R Sircar, T Zariphopoulou Econometrics and Risk Management, 2008 | 23 | 2008 |
| American step-up and step-down default swaps under Lévy models T Leung, K Yamazaki Quantitative Finance 13 (1), 137-157, 2013 | 20 | 2013 |
| Forward indifference valuation of American options T Leung, R Sircar, T Zariphopoulou Stochastics An International Journal of Probability and Stochastic Processes …, 2012 | 20 | 2012 |
| Default swap games driven by spectrally negative Lévy processes M Egami, T Leung, K Yamazaki Stochastic Processes and their Applications 123 (2), 347-384, 2013 | 19 | 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 | 18 | 2015 |
| Leveraged ETFs: Admissible leverage and risk horizon T Leung, M Santoli Journal of Investment Strategies 2 (1), 39-61, 2012 | 18 | 2012 |
| Accounting for risk aversion in derivatives purchase timing T Leung, M Ludkovski Mathematics and Financial Economics 6 (4), 363-386, 2012 | 18 | 2012 |
Xin LiColumbia UniversityVerified email at columbia.edu
