Tim S.T. Leung
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Identifer
Contact
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http://faculty.washington.edu/timleung/ |
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Tim S.T. Leung
Boeing Professor of Applied Math; Director, Computational Finance Risk Management (CFRM) program
Department of Applied Mathematics
University of Washington
Lewis Hall #217, Box 353 |
Affiliations
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University of Washington (weight: 80%)
- http://depts.washington.edu/amath/
- location: Seattle, WA USA
Research profile
author of:
- Optimal Timing to Purchase Options (RePEc:arx:papers:1008.3650)
by Tim Leung & Michael Ludkovski - American Step-Up and Step-Down Default Swaps under Levy Models (RePEc:arx:papers:1012.3234)
by Tim Siu-Tang Leung & Kazutoshi Yamazaki - Default Swap Games Driven by Spectrally Negative Levy Processes (RePEc:arx:papers:1105.0238)
by Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki - Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing (RePEc:arx:papers:1109.5316)
by Tim Leung & Qingshuo Song & Jie Yang - Risk Premia and Optimal Liquidation of Credit Derivatives (RePEc:arx:papers:1110.0220)
by Tim Leung & Peng Liu - Stochastic Modeling and Fair Valuation of Drawdown Insurance (RePEc:arx:papers:1310.3860)
by Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis - Leveraged {ETF} implied volatilities from {ETF} dynamics (RePEc:arx:papers:1404.6792)
by Tim Leung & Matthew Lorig & Andrea Pascucci - Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit (RePEc:arx:papers:1411.5062)
by Tim Leung & Xin Li - Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs (RePEc:arx:papers:1411.6080)
by Tim Leung & Xin Li & Zheng Wang - Accounting for Earnings Announcements in the Pricing of Equity Options (RePEc:arx:papers:1412.8414)
by Tim Leung & Marco Santoli - The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs (RePEc:arx:papers:1501.02276)
by Tim Leung & Brian Ward - Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach (RePEc:arx:papers:1501.06221)
by Jinbeom Kim & Tim Leung - Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties (RePEc:arx:papers:1502.00358)
by Tim Leung & Yoshihiro Shirai - An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions (RePEc:arx:papers:1502.00861)
by Eric Dahlgren & Tim Leung - Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs (RePEc:arx:papers:1504.04682)
by Tim Leung & Xin Li & Zheng Wang - ESO Valuation with Job Termination Risk and Jumps in Stock Price (RePEc:arx:papers:1504.08073)
by Tim Leung & Haohua Wan - Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models (RePEc:arx:papers:1505.07313)
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang - An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting (RePEc:arx:papers:1505.07705)
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang - Optimal Static Quadratic Hedging (RePEc:arx:papers:1506.02074)
by Tim Leung & Matthew Lorig - Speculative Futures Trading under Mean Reversion (RePEc:arx:papers:1601.04210)
by Tim Leung & Jiao Li & Xin Li & Zheng Wang - Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty (RePEc:arx:papers:1604.04963)
by Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward - Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics (RePEc:arx:papers:1610.08143)
by Tim Leung & Zheng Wang - Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options (RePEc:arx:papers:1610.09403)
by Kevin Guo & Tim Leung - Understanding the Tracking Errors of Commodity Leveraged ETFs (RePEc:arx:papers:1610.09404)
by Kevin Guo & Tim Leung - Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies (RePEc:arx:papers:1611.03110)
by Tim Leung & Jamie Kang - Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach (RePEc:arx:papers:1612.01013)
by Tim Leung & Hyungbin Park - Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach (RePEc:arx:papers:1701.00875)
by Tim Leung & Yerkin Kitapbayev - Optimal Trading with a Trailing Stop (RePEc:arx:papers:1701.03960)
by Tim Leung & Hongzhong Zhang - Dynamic Index Tracking and Risk Exposure Control Using Derivatives (RePEc:arx:papers:1705.10454)
by Tim Leung & Brian Ward - Mean Reversion Trading with Sequential Deadlines and Transaction Costs (RePEc:arx:papers:1707.03498)
by Yerkin Kitapbayev & Tim Leung - Optimal Timing to Trade Along a Randomized Brownian Bridge (RePEc:arx:papers:1801.00372)
by Tim Leung & Jiao Li & Xin Li - Mean Reverting Portfolios via Penalized OU-Likelihood Estimation (RePEc:arx:papers:1803.06460)
by Jize Zhang & Tim Leung & Aleksandr Y. Aravkin - Optimal Dynamic Basis Trading (RePEc:arx:papers:1809.05961)
by Bahman Angoshtari & Tim Leung - A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization (RePEc:arx:papers:1810.10563)
by Jize Zhang & Tim Leung & Aleksandr Aravkin - A Stochastic Control Approach to Managed Futures Portfolios (RePEc:arx:papers:1811.01916)
by Tim Leung & Raphael Yan - A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options (RePEc:arx:papers:1906.03562)
by Tim Leung & Yang Zhou - Tracking VIX with VIX Futures: Portfolio Construction and Performance (RePEc:arx:papers:1907.00293)
by Tim Leung & Brian Ward - Optimal Trading of a Basket of Futures Contracts (RePEc:arx:papers:1910.04943)
by Bahman Angoshtari & Tim Leung - Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework (RePEc:arx:papers:1910.06432)
by Tim Leung & Yang Zhou - Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model (RePEc:arx:papers:2102.12601)
by Tim Leung & Yang Zhou - Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices (RePEc:arx:papers:2105.08133)
by Tim Leung & Theodore Zhao - Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning (RePEc:arx:papers:2105.10871)
by Tim Leung & Theodore Zhao - Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework (RePEc:arx:papers:2309.05512)
by Tim Leung & Kevin W. Lu - Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs (RePEc:arx:papers:2310.02084)
by Tim Leung & Hyungbin Park & Heejun Yeo - Optimal positioning in derivative securities in incomplete markets (RePEc:arx:papers:2403.00139)
by Tim Leung & Matthew Lorig & Yoshihiro Shirai - Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options (RePEc:bla:mathfi:v:19:y:2009:i:1:p:99-128)
by Tim Leung & Ronnie Sircar - Leveraged Etf Implied Volatilities From Etf Dynamics (RePEc:bla:mathfi:v:27:y:2017:i:4:p:1035-1068)
by Tim Leung & Matthew Lorig & Andrea Pascucci - An optimal multiple stopping approach to infrastructure investment decisions (RePEc:eee:dyncon:v:53:y:2015:i:c:p:251-267)
by Dahlgren, Eric & Leung, Tim - Pricing derivatives with counterparty risk and collateralization: A fixed point approach (RePEc:eee:ejores:v:249:y:2016:i:2:p:525-539)
by Kim, Jinbeom & Leung, Tim - Stochastic modeling and fair valuation of drawdown insurance (RePEc:eee:insuma:v:53:y:2013:i:3:p:840-850)
by Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia - Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options (RePEc:eee:jocoma:v:6:y:2017:i:c:p:32-49)
by Guo, Kevin & Leung, Tim - Default swap games driven by spectrally negative Lévy processes (RePEc:eee:spapps:v:123:y:2013:i:2:p:347-384)
by Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi - Credit derivatives and risk aversion (RePEc:eme:aecozz:s0731-9053(08)22011-6)
by Tim Leung & Ronnie Sircar & Thaleia Zariphopoulou - Constructing cointegrated cryptocurrency portfolios for statistical arbitrage (RePEc:eme:sefpps:sef-08-2018-0264)
by Tim Leung & Hung Nguyen - Asynchronous ADRs: overnight vs intraday returns and trading strategies (RePEc:eme:sefpps:sef-10-2016-0254)
by Jamie Kang & Tim Leung - The golden target: analyzing the tracking performance of leveraged gold ETFs (RePEc:eme:sefpps:v:32:y:2015:i:3:p:278-297)
by Tim Leung & Brian Ward - Foreign currency exposure within country exchange traded funds (RePEc:eme:sefpps:v:33:y:2016:i:2:p:222-243)
by Owen Williams - Optimal Timing to Trade along a Randomized Brownian Bridge (RePEc:gam:jijfss:v:6:y:2018:i:3:p:75-:d:166614)
by Tim Leung & Jiao Li & Xin Li - Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics (RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:464-:d:649104)
by Tim Leung & Theodore Zhao - A Diversification Framework for Multiple Pairs Trading Strategies (RePEc:gam:jrisks:v:11:y:2023:i:5:p:93-:d:1148312)
by Kiseop Lee & Tim Leung & Boming Ning - Multiscale Volatility Analysis for Noisy High-Frequency Prices (RePEc:gam:jrisks:v:11:y:2023:i:7:p:117-:d:1179658)
by Tim Leung & Theodore Zhao - Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management (RePEc:hal:journl:hal-02108777)
by S. Sheng & C.Y. Wong & Léopold Lessassy & K. Lai & T. Leung & Bao Yang - Optimal mean-reverting spread trading: nonlinear integral equation approach (RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0295-y)
by Yerkin Kitapbayev & Tim Leung - Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics (RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0336-1)
by Tim Leung & Zheng Wang - Optimal dynamic basis trading (RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00348-x)
by Bahman Angoshtari & Tim Leung - Optimal trading of a basket of futures contracts (RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-019-00357-w)
by Bahman Angoshtari & Tim Leung - Constrained dynamic futures portfolios with stochastic basis (RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-021-00398-0)
by Xiaodong Chen & Tim Leung & Yang Zhou - Speculative Futures Trading under Mean Reversion (RePEc:kap:apfinm:v:23:y:2016:i:4:d:10.1007_s10690-016-9215-9)
by Tim Leung & Jiao Li & Xin Li & Zheng Wang - An Optimal Timing Approach to Option Portfolio Risk Management (RePEc:pal:palchp:978-1-137-02509-8_17)
by Tim Leung & Peng Liu - Impact of risk aversion and belief heterogeneity on trading of defaultable claims (RePEc:spr:annopr:v:243:y:2016:i:1:d:10.1007_s10479-013-1524-z)
by Jinbeom Kim & Tim Leung - Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing (RePEc:spr:finsto:v:17:y:2013:i:4:p:839-870)
by Tim Leung & Qingshuo Song & Jie Yang - Implied Volatility of Leveraged ETF Options (RePEc:taf:apmtfi:v:22:y:2015:i:2:p:162-188)
by Tim Leung & Ronnie Sircar - Dynamic Index Tracking and Risk Exposure Control Using Derivatives (RePEc:taf:apmtfi:v:25:y:2018:i:2:p:180-212)
by Tim Leung & Brian Ward - American step-up and step-down default swaps under L�vy models (RePEc:taf:quantf:v:13:y:2013:i:1:p:137-157)
by Tim Leung & Kazutoshi Yamazaki - Optimal static quadratic hedging (RePEc:taf:quantf:v:16:y:2016:i:9:p:1341-1355)
by Tim Leung & Matthew Lorig - Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty (RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207)
by Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward - Optimal dynamic pairs trading of futures under a two-factor mean-reverting model (RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275)
by Tim Leung & Raphael Yan - A stochastic control approach to managed futures portfolios (RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500051)
by Tim Leung & Raphael Yan - How to mine gold without digging (RePEc:wsi:ijfexx:v:06:y:2019:i:01:n:s2424786319500099)
by Kevin Guo & Tim Leung & Brian Ward - Optimal dynamic futures portfolio in a regime-switching market framework (RePEc:wsi:ijfexx:v:06:y:2019:i:04:n:s2424786319500348)
by Tim Leung & Yang Zhou - On the efficacy of optimized exit rule for mean reversion trading (RePEc:wsi:ijfexx:v:07:y:2020:i:03:n:s2424786320500243)
by Donovan Lee & Tim Leung - Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices (RePEc:wsi:ijfexx:v:09:y:2022:i:01:n:s2424786321410085)
by Tim Leung & Theodore Zhao - Risk Premia And Optimal Liquidation Of Credit Derivatives (RePEc:wsi:ijtafx:v:15:y:2012:i:08:n:s0219024912500598)
by Tim Leung & Peng Liu - Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit (RePEc:wsi:ijtafx:v:18:y:2015:i:03:n:s021902491550020x)
by Tim Leung & Xin Li - An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting (RePEc:wsi:ijtafx:v:18:y:2015:i:05:n:s0219024915500326)
by Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang - LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500376)
by Tim Leung & Hyungbin Park - Mean Reversion Trading With Sequential Deadlines And Transaction Costs (RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500048)
by Yerkin Kitapbayev & Tim Leung - Effort Expenditure For Cash Flow In A Mean-Field Equilibrium (RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500146)
by Ryan Donnelly & Tim Leung - A Top-Down Approach For The Multiple Exercises And Valuation Of Employee Stock Options (RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500041)
by Tim Leung & Yang Zhou - Optimal Dynamic Futures Portfolio Under A Multifactor Gaussian Framework (RePEc:wsi:ijtafx:v:24:y:2021:i:05:n:s021902492150028x)
by Tim Leung & Raphael Yan & Yang Zhou - Accounting for earnings announcements in the pricing of equity options (RePEc:wsi:jfexxx:v:01:y:2014:i:04:n:s2345768614500317)
by Tim Leung & Marco Santoli - Optimal derivative liquidation timing under path-dependent risk penalties (RePEc:wsi:jfexxx:v:02:y:2015:i:01:n:s234576861550004x)
by Tim Leung & Yoshihiro Shirai - Employee Stock Options:Exercise Timing, Hedging, and Valuation (RePEc:wsi:wsbook:10437)
by Tim Leung - Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications (RePEc:wsi:wsbook:9839)
by Tim Leung & Xin Li - Tracking VIX with VIX Futures: Portfolio Construction and Performance (RePEc:wsi:wschap:9789811222634_0021)
by Tim Leung & Brian Ward - Introduction (RePEc:wsi:wschap:9789814725927_0001)
by Tim Leung & Xin Li - Trading Under the Ornstein-Uhlenbeck Model (RePEc:wsi:wschap:9789814725927_0002)
by Tim Leung & Xin Li - Trading Under the Exponential OU Model (RePEc:wsi:wschap:9789814725927_0003)
by Tim Leung & Xin Li - Trading Under the CIR Model (RePEc:wsi:wschap:9789814725927_0004)
by Tim Leung & Xin Li - Futures Trading Under Mean Reversion (RePEc:wsi:wschap:9789814725927_0005)
by Tim Leung & Xin Li - Optimal Liquidation of Options (RePEc:wsi:wschap:9789814725927_0006)
by Tim Leung & Xin Li - Trading Credit Derivatives (RePEc:wsi:wschap:9789814725927_0007)
by Tim Leung & Xin Li