Details about Tim S.T. Leung
E-mail: |
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Homepage: | http://faculty.washington.edu/timleung/
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Postal address: | 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 353925, Seattle, WA 98195-3925 |
Workplace: | University of Washington
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Access statistics for papers by Tim S.T. Leung.
Last updated 2022-12-19. Update your information in the RePEc Author Service.
Short-id: ple640
Jump to Journal Articles Books Chapters
Working Papers
2021
- Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
Papers, arXiv.org View citations (1)
See also Journal Article in International Journal of Financial Engineering (IJFE) (2022)
- Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
Papers, arXiv.org View citations (3)
- Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
Papers, arXiv.org
2019
- A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
Papers, arXiv.org 
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2020)
- Optimal Dynamic Basis Trading
Papers, arXiv.org View citations (7)
See also Journal Article in Annals of Finance (2019)
- Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
Papers, arXiv.org View citations (1)
See also Journal Article in International Journal of Financial Engineering (IJFE) (2019)
- Optimal Trading of a Basket of Futures Contracts
Papers, arXiv.org 
See also Journal Article in Annals of Finance (2020)
- Optimal Trading with a Trailing Stop
Papers, arXiv.org View citations (3)
- Tracking VIX with VIX Futures: Portfolio Construction and Performance
Papers, arXiv.org 
See also Chapter (2020)
2018
- A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Papers, arXiv.org
- A Stochastic Control Approach to Managed Futures Portfolios
Papers, arXiv.org 
See also Journal Article in International Journal of Financial Engineering (IJFE) (2019)
- Mean Reversion Trading with Sequential Deadlines and Transaction Costs
Papers, arXiv.org 
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2018)
- Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
Papers, arXiv.org View citations (1)
- Optimal Timing to Trade Along a Randomized Brownian Bridge
Papers, arXiv.org View citations (9)
See also Journal Article in IJFS (2018)
2017
- Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Papers, arXiv.org 
See also Journal Article in Applied Mathematical Finance (2018)
- Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
Papers, arXiv.org View citations (3)
See also Journal Article in International Journal of Financial Engineering (IJFE) (2017)
- Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
Papers, arXiv.org View citations (5)
See also Journal Article in Annals of Finance (2017)
- Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
Papers, arXiv.org View citations (4)
See also Journal Article in Journal of Commodity Markets (2017)
2016
- Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
Papers, arXiv.org 
See also Journal Article in Studies in Economics and Finance (2017)
- Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Papers, arXiv.org View citations (1)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)
- Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
Papers, arXiv.org View citations (1)
- Speculative Futures Trading under Mean Reversion
Papers, arXiv.org View citations (21)
See also Journal Article in Asia-Pacific Financial Markets (2016)
- Understanding the Tracking Errors of Commodity Leveraged ETFs
Papers, arXiv.org View citations (9)
2015
- Accounting for Earnings Announcements in the Pricing of Equity Options
Papers, arXiv.org 
See also Journal Article in Journal of Financial Engineering (JFE) (2014)
- An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
Papers, arXiv.org View citations (9)
See also Journal Article in Journal of Economic Dynamics and Control (2015)
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
Papers, arXiv.org View citations (13)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
- ESO Valuation with Job Termination Risk and Jumps in Stock Price
Papers, arXiv.org View citations (1)
- Leveraged {ETF} implied volatilities from {ETF} dynamics
Papers, arXiv.org View citations (10)
- Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
Papers, arXiv.org View citations (11)
See also Journal Article in Journal of Financial Engineering (JFE) (2015)
- Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
Papers, arXiv.org View citations (53)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
- Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
Papers, arXiv.org View citations (7)
- Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
Papers, arXiv.org View citations (21)
- Optimal Static Quadratic Hedging
Papers, arXiv.org View citations (2)
See also Journal Article in Quantitative Finance (2016)
- Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
Papers, arXiv.org View citations (1)
See also Journal Article in European Journal of Operational Research (2016)
- The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
Papers, arXiv.org View citations (14)
See also Journal Article in Studies in Economics and Finance (2015)
2014
- Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Papers, arXiv.org View citations (15)
2013
- Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Papers, arXiv.org View citations (5)
See also Journal Article in Finance and Stochastics (2013)
- Stochastic Modeling and Fair Valuation of Drawdown Insurance
Papers, arXiv.org View citations (18)
See also Journal Article in Insurance: Mathematics and Economics (2013)
2012
- American Step-Up and Step-Down Default Swaps under Levy Models
Papers, arXiv.org View citations (2)
- Default Swap Games Driven by Spectrally Negative Levy Processes
Papers, arXiv.org View citations (1)
See also Journal Article in Stochastic Processes and their Applications (2013)
- Risk Premia and Optimal Liquidation of Credit Derivatives
Papers, arXiv.org View citations (15)
See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)
2011
- Optimal Timing to Purchase Options
Papers, arXiv.org View citations (11)
2010
- Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management
Post-Print, HAL
Journal Articles
2022
- Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices
International Journal of Financial Engineering (IJFE), 2022, 09, (01), 1-23 
See also Working Paper (2021)
- Constrained dynamic futures portfolios with stochastic basis
Annals of Finance, 2022, 18, (1), 1-33
2021
- Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics
JRFM, 2021, 14, (10), 1-22
- OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK
International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (05), 1-27 View citations (1)
2020
- A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS
International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (02), 1-29 
See also Working Paper (2019)
- On the efficacy of optimized exit rule for mean reversion trading
International Journal of Financial Engineering (IJFE), 2020, 07, (03), 1-20
- Optimal trading of a basket of futures contracts
Annals of Finance, 2020, 16, (2), 253-280 View citations (1)
See also Working Paper (2019)
2019
- A stochastic control approach to managed futures portfolios
International Journal of Financial Engineering (IJFE), 2019, 06, (01), 1-22 View citations (7)
See also Working Paper (2018)
- Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
Studies in Economics and Finance, 2019, 36, (4), 581-599 View citations (6)
- EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM
International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (04), 1-23 View citations (1)
- How to mine gold without digging
International Journal of Financial Engineering (IJFE), 2019, 06, (01), 1-30
- Optimal dynamic basis trading
Annals of Finance, 2019, 15, (3), 307-335 View citations (6)
See also Working Paper (2019)
- Optimal dynamic futures portfolio in a regime-switching market framework
International Journal of Financial Engineering (IJFE), 2019, 06, (04), 1-27 View citations (1)
See also Working Paper (2019)
- Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
Annals of Finance, 2019, 15, (1), 1-28
2018
- Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Applied Mathematical Finance, 2018, 25, (2), 180-212 View citations (4)
See also Working Paper (2017)
- MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS
International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (01), 1-22 
See also Working Paper (2018)
- Optimal Timing to Trade along a Randomized Brownian Bridge
IJFS, 2018, 6, (3), 1-23 View citations (9)
See also Working Paper (2018)
- Optimal dynamic pairs trading of futures under a two-factor mean-reverting model
International Journal of Financial Engineering (IJFE), 2018, 05, (03), 1-23 View citations (10)
2017
- Asynchronous ADRs: overnight vs intraday returns and trading strategies
Studies in Economics and Finance, 2017, 34, (4), 580-596 
See also Working Paper (2016)
- LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
Mathematical Finance, 2017, 27, (4), 1035-1068 View citations (4)
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-33 View citations (1)
See also Working Paper (2016)
- Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty
International Journal of Financial Engineering (IJFE), 2017, 04, (02n03), 1-29 View citations (3)
See also Working Paper (2017)
- Optimal mean-reverting spread trading: nonlinear integral equation approach
Annals of Finance, 2017, 13, (2), 181-203 View citations (6)
See also Working Paper (2017)
- Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options
Journal of Commodity Markets, 2017, 6, (C), 32-49 View citations (4)
See also Working Paper (2017)
2016
- Foreign currency exposure within country exchange traded funds
Studies in Economics and Finance, 2016, 33, (2), 222-243 View citations (1)
- Impact of risk aversion and belief heterogeneity on trading of defaultable claims
Annals of Operations Research, 2016, 243, (1), 117-146 View citations (2)
- Optimal static quadratic hedging
Quantitative Finance, 2016, 16, (9), 1341-1355 View citations (8)
See also Working Paper (2015)
- Pricing derivatives with counterparty risk and collateralization: A fixed point approach
European Journal of Operational Research, 2016, 249, (2), 525-539 View citations (11)
See also Working Paper (2015)
- Speculative Futures Trading under Mean Reversion
Asia-Pacific Financial Markets, 2016, 23, (4), 281-304 View citations (20)
See also Working Paper (2016)
2015
- AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (05), 1-31 View citations (12)
See also Working Paper (2015)
- An optimal multiple stopping approach to infrastructure investment decisions
Journal of Economic Dynamics and Control, 2015, 53, (C), 251-267 View citations (8)
See also Working Paper (2015)
- Implied Volatility of Leveraged ETF Options
Applied Mathematical Finance, 2015, 22, (2), 162-188 View citations (11)
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (03), 1-31 View citations (43)
See also Working Paper (2015)
- Optimal derivative liquidation timing under path-dependent risk penalties
Journal of Financial Engineering (JFE), 2015, 02, (01), 1-32 View citations (10)
See also Working Paper (2015)
- The golden target: analyzing the tracking performance of leveraged gold ETFs
Studies in Economics and Finance, 2015, 32, (3), 278-297 View citations (14)
See also Working Paper (2015)
2014
- Accounting for earnings announcements in the pricing of equity options
Journal of Financial Engineering (JFE), 2014, 01, (04), 1-46 View citations (2)
See also Working Paper (2015)
2013
- American step-up and step-down default swaps under L�vy models
Quantitative Finance, 2013, 13, (1), 137-157 View citations (9)
- Default swap games driven by spectrally negative Lévy processes
Stochastic Processes and their Applications, 2013, 123, (2), 347-384 View citations (9)
See also Working Paper (2012)
- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Finance and Stochastics, 2013, 17, (4), 839-870 View citations (5)
See also Working Paper (2013)
- Stochastic modeling and fair valuation of drawdown insurance
Insurance: Mathematics and Economics, 2013, 53, (3), 840-850 View citations (18)
See also Working Paper (2013)
2012
- RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES
International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-34 View citations (14)
See also Working Paper (2012)
2009
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
Mathematical Finance, 2009, 19, (1), 99-128 View citations (34)
Books
2021
- Employee Stock Options:Exercise Timing, Hedging, and Valuation
World Scientific Books, World Scientific Publishing Co. Pte. Ltd.
2016
- Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications
World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (23)
Chapters
2020
- Tracking VIX with VIX Futures: Portfolio Construction and Performance
Chapter 21 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 557-596 View citations (1)
See also Working Paper (2019)
2016
- Futures Trading Under Mean Reversion
Chapter 5 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 105-127 View citations (21)
- Introduction
Chapter 1 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 1-10
- Optimal Liquidation of Options
Chapter 6 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 129-161
- Trading Credit Derivatives
Chapter 7 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 163-199
- Trading Under the CIR Model
Chapter 4 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 81-103
- Trading Under the Exponential OU Model
Chapter 3 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 51-80
- Trading Under the Ornstein-Uhlenbeck Model
Chapter 2 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 11-50
2013
- An Optimal Timing Approach to Option Portfolio Risk Management
Palgrave Macmillan View citations (1)
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