The following pages link to Tim Leung (Q320988):
Displaying 43 items.
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims (Q338909) (← links)
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing (Q377458) (← links)
- Speculative futures trading under mean reversion (Q1627723) (← links)
- An optimal multiple stopping approach to infrastructure investment decisions (Q1657596) (← links)
- Default swap games driven by spectrally negative Lévy processes (Q1933591) (← links)
- Accounting for risk aversion in derivatives purchase timing (Q1938997) (← links)
- Stochastic modeling and fair valuation of drawdown insurance (Q2015656) (← links)
- Optimal trading with a trailing stop (Q2020306) (← links)
- Optimal trading of a basket of futures contracts (Q2191860) (← links)
- Sparse mean-reverting portfolios via penalized likelihood optimization (Q2288638) (← links)
- Optimal dynamic basis trading (Q2334405) (← links)
- Optimal mean-reverting spread trading: nonlinear integral equation approach (Q2408713) (← links)
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics (Q2422122) (← links)
- Constrained dynamic futures portfolios with stochastic basis (Q2701100) (← links)
- Leveraged Exchange-Traded Funds (Q2798416) (← links)
- ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470) (← links)
- Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models (Q2942281) (← links)
- AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING (Q2947345) (← links)
- Optimal starting–stopping and switching of a CIR process with fixed costs (Q3119637) (← links)
- Timing options for a startup with early termination and competition risks (Q3119648) (← links)
- Forward indifference valuation of American options (Q3145087) (← links)
- Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs (Q3458137) (← links)
- Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation (Q3566970) (← links)
- Credit derivatives and risk aversion (Q3572021) (← links)
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS (Q3608737) (← links)
- Optimal static quadratic hedging (Q4554507) (← links)
- Dynamic Index Tracking and Risk Exposure Control Using Derivatives (Q4559474) (← links)
- MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS (Q4608111) (← links)
- Implied Volatility of Leveraged ETF Options (Q4682478) (← links)
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
- A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS (Q5114675) (← links)
- OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK (Q5157844) (← links)
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT (Q5256839) (← links)
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (Q5367499) (← links)
- LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS (Q5371136) (← links)
- Employee Stock Options (Q5376639) (← links)
- EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM (Q5384678) (← links)
- Optimal Timing to Purchase Options (Q5388685) (← links)
- American step-up and step-down default swaps under Lévy models (Q5746748) (← links)
- Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework (Q6490771) (← links)
- Financial time series analysis and forecasting with Hilbert-Huang transform feature generation and machine learning (Q6579697) (← links)
- Robust long-term growth rate of expected utility for leveraged ETFs (Q6655912) (← links)
