Tim Leung

Available identifiers

zbMath Open leung.timMaRDI QIDQ320988

List of research outcomes

Publication	Date of Publication	Type
Constrained dynamic futures portfolios with stochastic basis	2023-04-27	Paper
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK	2021-10-20	Paper
Optimal trading with a trailing stop	2021-04-23	Paper
Optimal trading of a basket of futures contracts	2020-06-26	Paper
A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS	2020-06-25	Paper
Sparse mean-reverting portfolios via penalized likelihood optimization	2020-01-20	Paper
Optimal dynamic basis trading	2019-11-07	Paper
EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM	2019-06-24	Paper
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics	2019-06-18	Paper
Employee Stock Options	2019-05-17	Paper
Optimal starting–stopping and switching of a CIR process with fixed costs	2019-03-12	Paper
Timing options for a startup with early termination and competition risks	2019-03-12	Paper
Speculative futures trading under mean reversion	2018-12-03	Paper
Dynamic Index Tracking and Risk Exposure Control Using Derivatives	2018-12-03	Paper
Optimal static quadratic hedging	2018-11-14	Paper
Implied Volatility of Leveraged ETF Options	2018-09-18	Paper
An optimal multiple stopping approach to infrastructure investment decisions	2018-08-13	Paper
MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS	2018-03-15	Paper
LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS	2017-10-24	Paper
Optimal mean-reverting spread trading: nonlinear integral equation approach	2017-10-13	Paper
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH	2017-10-13	Paper
Impact of risk aversion and belief heterogeneity on trading of defaultable claims	2016-11-07	Paper
Pricing derivatives with counterparty risk and collateralization: a fixed point approach	2016-10-07	Paper
Leveraged Exchange-Traded Funds	2016-04-12	Paper
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs	2015-12-08	Paper
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING	2015-09-22	Paper
ESO Valuation with Job Termination Risk and Jumps in Stock Price	2015-08-28	Paper
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models	2015-08-20	Paper
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT	2015-06-29	Paper
Stochastic modeling and fair valuation of drawdown insurance	2014-06-23	Paper
American step-up and step-down default swaps under Lévy models	2014-02-08	Paper
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing	2013-11-06	Paper
RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES	2013-03-12	Paper
Accounting for risk aversion in derivatives purchase timing	2013-02-26	Paper
Default swap games driven by spectrally negative Lévy processes	2013-01-24	Paper
Forward indifference valuation of American options	2012-12-13	Paper
Optimal Timing to Purchase Options	2012-04-19	Paper
Credit derivatives and risk aversion	2010-06-30	Paper
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation	2010-06-10	Paper
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS	2009-03-06	Paper

Research outcomes over time

Doctoral students

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