Details about Tim S.T. Leung

Access statistics for papers by Tim S.T. Leung.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: ple640

Working Papers

2024

1. Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery
   Papers, arXiv.org
2. Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework
   Papers, arXiv.org
   See also Journal Article Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework, Applied Mathematical Finance, Taylor & Francis Journals (2023) (2023)
3. Optimal positioning in derivative securities in incomplete markets
   Papers, arXiv.org

2023

4. Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs
   Papers, arXiv.org

2021

5. Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
   Papers, arXiv.org View citations (2)
   See also Journal Article Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2022) View citations (1) (2022)
6. Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
   Papers, arXiv.org View citations (5)
7. Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
   Papers, arXiv.org

2019

8. A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
   Papers, arXiv.org
   See also Journal Article A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2020) (2020)
9. Optimal Dynamic Basis Trading
   Papers, arXiv.org View citations (7)
   See also Journal Article Optimal dynamic basis trading, Annals of Finance, Springer (2019) View citations (6) (2019)
10. Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
    Papers, arXiv.org View citations (2)
    See also Journal Article Optimal dynamic futures portfolio in a regime-switching market framework, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (2) (2019)
11. Optimal Trading of a Basket of Futures Contracts
    Papers, arXiv.org
    See also Journal Article Optimal trading of a basket of futures contracts, Annals of Finance, Springer (2020) View citations (3) (2020)
12. Optimal Trading with a Trailing Stop
    Papers, arXiv.org View citations (3)
13. Tracking VIX with VIX Futures: Portfolio Construction and Performance
    Papers, arXiv.org View citations (1)
    See also Chapter Tracking VIX with VIX Futures: Portfolio Construction and Performance, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2020) View citations (1) (2020)

2018

14. A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
    Papers, arXiv.org
15. A Stochastic Control Approach to Managed Futures Portfolios
    Papers, arXiv.org
    See also Journal Article A stochastic control approach to managed futures portfolios, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2019) View citations (7) (2019)
16. Mean Reversion Trading with Sequential Deadlines and Transaction Costs
    Papers, arXiv.org
    See also Journal Article MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2018) (2018)
17. Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
    Papers, arXiv.org View citations (1)
18. Optimal Timing to Trade Along a Randomized Brownian Bridge
    Papers, arXiv.org View citations (10)
    See also Journal Article Optimal Timing to Trade along a Randomized Brownian Bridge, IJFS, MDPI (2018) View citations (9) (2018)

2017

19. Dynamic Index Tracking and Risk Exposure Control Using Derivatives
    Papers, arXiv.org
    See also Journal Article Dynamic Index Tracking and Risk Exposure Control Using Derivatives, Applied Mathematical Finance, Taylor & Francis Journals (2018) View citations (4) (2018)
20. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
    Papers, arXiv.org View citations (5)
    See also Journal Article Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2017) View citations (5) (2017)
21. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
    Papers, arXiv.org View citations (6)
    See also Journal Article Optimal mean-reverting spread trading: nonlinear integral equation approach, Annals of Finance, Springer (2017) View citations (7) (2017)
22. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
    Papers, arXiv.org View citations (4)
    See also Journal Article Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options, Journal of Commodity Markets, Elsevier (2017) View citations (4) (2017)

2016

23. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
    Papers, arXiv.org
    See also Journal Article Asynchronous ADRs: overnight vs intraday returns and trading strategies, Studies in Economics and Finance, Emerald Group Publishing Limited (2017) (2017)
24. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
    Papers, arXiv.org View citations (1)
    See also Journal Article LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2017) View citations (3) (2017)
25. Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
    Papers, arXiv.org View citations (1)
26. Speculative Futures Trading under Mean Reversion
    Papers, arXiv.org View citations (22)
    See also Journal Article Speculative Futures Trading under Mean Reversion, Asia-Pacific Financial Markets, Springer (2016) View citations (21) (2016)
27. Understanding the Tracking Errors of Commodity Leveraged ETFs
    Papers, arXiv.org View citations (9)

2015

28. Accounting for Earnings Announcements in the Pricing of Equity Options
    Papers, arXiv.org
    See also Journal Article Accounting for earnings announcements in the pricing of equity options, Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd. (2014) View citations (2) (2014)
29. An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions
    Papers, arXiv.org View citations (11)
    See also Journal Article An optimal multiple stopping approach to infrastructure investment decisions, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (10) (2015)
30. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
    Papers, arXiv.org View citations (14)
    See also Journal Article AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (13) (2015)
31. ESO Valuation with Job Termination Risk and Jumps in Stock Price
    Papers, arXiv.org View citations (1)
32. Leveraged {ETF} implied volatilities from {ETF} dynamics
    Papers, arXiv.org View citations (13)
33. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
    Papers, arXiv.org View citations (11)
    See also Journal Article Optimal derivative liquidation timing under path-dependent risk penalties, Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (10) (2015)
34. Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
    Papers, arXiv.org View citations (58)
    See also Journal Article OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2015) View citations (48) (2015)
35. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
    Papers, arXiv.org View citations (7)
36. Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
    Papers, arXiv.org View citations (22)
37. Optimal Static Quadratic Hedging
    Papers, arXiv.org View citations (2)
    See also Journal Article Optimal static quadratic hedging, Quantitative Finance, Taylor & Francis Journals (2016) View citations (8) (2016)
38. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
    Papers, arXiv.org View citations (1)
    See also Journal Article Pricing derivatives with counterparty risk and collateralization: A fixed point approach, European Journal of Operational Research, Elsevier (2016) View citations (12) (2016)
39. The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs
    Papers, arXiv.org View citations (14)
    See also Journal Article The golden target: analyzing the tracking performance of leveraged gold ETFs, Studies in Economics and Finance, Emerald Group Publishing Limited (2015) View citations (14) (2015)

2014

40. Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
    Papers, arXiv.org View citations (15)

2013

41. Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
    Papers, arXiv.org View citations (5)
    See also Journal Article Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing, Finance and Stochastics, Springer (2013) View citations (5) (2013)
42. Stochastic Modeling and Fair Valuation of Drawdown Insurance
    Papers, arXiv.org View citations (20)
    See also Journal Article Stochastic modeling and fair valuation of drawdown insurance, Insurance: Mathematics and Economics, Elsevier (2013) View citations (19) (2013)

2012

43. American Step-Up and Step-Down Default Swaps under Levy Models
    Papers, arXiv.org View citations (2)
44. Default Swap Games Driven by Spectrally Negative Levy Processes
    Papers, arXiv.org View citations (1)
    See also Journal Article Default swap games driven by spectrally negative Lévy processes, Stochastic Processes and their Applications, Elsevier (2013) View citations (9) (2013)
45. Risk Premia and Optimal Liquidation of Credit Derivatives
    Papers, arXiv.org View citations (15)
    See also Journal Article RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (14) (2012)

2011

46. Optimal Timing to Purchase Options
    Papers, arXiv.org View citations (11)

2010

47. Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management
    Post-Print, HAL

Journal Articles

2024

1. A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices
   Mathematics, 2024, 12, (6), 1-21

2023

2. A Diversification Framework for Multiple Pairs Trading Strategies
   Risks, 2023, 11, (5), 1-18 View citations (1)
3. Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
   Applied Mathematical Finance, 2023, 30, (4), 207-230
   See also Working Paper Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework, Papers (2024) (2024)
4. Multiscale Volatility Analysis for Noisy High-Frequency Prices
   Risks, 2023, 11, (7), 1-20

2022

5. Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices
   International Journal of Financial Engineering (IJFE), 2022, 09, (01), 1-23 View citations (1)
   See also Working Paper Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices, Papers (2021) View citations (2) (2021)
6. Constrained dynamic futures portfolios with stochastic basis
   Annals of Finance, 2022, 18, (1), 1-33

2021

7. Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics
   JRFM, 2021, 14, (10), 1-22
8. 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

9. 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 A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options, Papers (2019) (2019)
10. On the efficacy of optimized exit rule for mean reversion trading
    International Journal of Financial Engineering (IJFE), 2020, 07, (03), 1-20
11. Optimal trading of a basket of futures contracts
    Annals of Finance, 2020, 16, (2), 253-280 View citations (3)
    See also Working Paper Optimal Trading of a Basket of Futures Contracts, Papers (2019) (2019)

2019

12. 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 A Stochastic Control Approach to Managed Futures Portfolios, Papers (2018) (2018)
13. Constructing cointegrated cryptocurrency portfolios for statistical arbitrage
    Studies in Economics and Finance, 2019, 36, (4), 581-599 View citations (12)
14. 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)
15. How to mine gold without digging
    International Journal of Financial Engineering (IJFE), 2019, 06, (01), 1-30
16. Optimal dynamic basis trading
    Annals of Finance, 2019, 15, (3), 307-335 View citations (6)
    See also Working Paper Optimal Dynamic Basis Trading, Papers (2019) View citations (7) (2019)
17. Optimal dynamic futures portfolio in a regime-switching market framework
    International Journal of Financial Engineering (IJFE), 2019, 06, (04), 1-27 View citations (2)
    See also Working Paper Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework, Papers (2019) View citations (2) (2019)
18. Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
    Annals of Finance, 2019, 15, (1), 1-28

2018

19. Dynamic Index Tracking and Risk Exposure Control Using Derivatives
    Applied Mathematical Finance, 2018, 25, (2), 180-212 View citations (4)
    See also Working Paper Dynamic Index Tracking and Risk Exposure Control Using Derivatives, Papers (2017) (2017)
20. 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 Mean Reversion Trading with Sequential Deadlines and Transaction Costs, Papers (2018) (2018)
21. Optimal Timing to Trade along a Randomized Brownian Bridge
    IJFS, 2018, 6, (3), 1-23 View citations (9)
    See also Working Paper Optimal Timing to Trade Along a Randomized Brownian Bridge, Papers (2018) View citations (10) (2018)
22. 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

23. Asynchronous ADRs: overnight vs intraday returns and trading strategies
    Studies in Economics and Finance, 2017, 34, (4), 580-596
    See also Working Paper Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies, Papers (2016) (2016)
24. LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS
    Mathematical Finance, 2017, 27, (4), 1035-1068 View citations (6)
25. 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 (3)
    See also Working Paper Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach, Papers (2016) View citations (1) (2016)
26. 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 (5)
    See also Working Paper Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty, Papers (2017) View citations (5) (2017)
27. Optimal mean-reverting spread trading: nonlinear integral equation approach
    Annals of Finance, 2017, 13, (2), 181-203 View citations (7)
    See also Working Paper Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach, Papers (2017) View citations (6) (2017)
28. 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 Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options, Papers (2017) View citations (4) (2017)

2016

29. Foreign currency exposure within country exchange traded funds
    Studies in Economics and Finance, 2016, 33, (2), 222-243 View citations (1)
30. Impact of risk aversion and belief heterogeneity on trading of defaultable claims
    Annals of Operations Research, 2016, 243, (1), 117-146 View citations (2)
31. Optimal static quadratic hedging
    Quantitative Finance, 2016, 16, (9), 1341-1355 View citations (8)
    See also Working Paper Optimal Static Quadratic Hedging, Papers (2015) View citations (2) (2015)
32. Pricing derivatives with counterparty risk and collateralization: A fixed point approach
    European Journal of Operational Research, 2016, 249, (2), 525-539 View citations (12)
    See also Working Paper Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach, Papers (2015) View citations (1) (2015)
33. Speculative Futures Trading under Mean Reversion
    Asia-Pacific Financial Markets, 2016, 23, (4), 281-304 View citations (21)
    See also Working Paper Speculative Futures Trading under Mean Reversion, Papers (2016) View citations (22) (2016)

2015

34. 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 (13)
    See also Working Paper An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting, Papers (2015) View citations (14) (2015)
35. An optimal multiple stopping approach to infrastructure investment decisions
    Journal of Economic Dynamics and Control, 2015, 53, (C), 251-267 View citations (10)
    See also Working Paper An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions, Papers (2015) View citations (11) (2015)
36. Implied Volatility of Leveraged ETF Options
    Applied Mathematical Finance, 2015, 22, (2), 162-188 View citations (14)
37. 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 (48)
    See also Working Paper Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit, Papers (2015) View citations (58) (2015)
38. 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 Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties, Papers (2015) View citations (11) (2015)
39. 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 The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs, Papers (2015) View citations (14) (2015)

2014

40. 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 Accounting for Earnings Announcements in the Pricing of Equity Options, Papers (2015) (2015)

2013

41. American step-up and step-down default swaps under L�vy models
    Quantitative Finance, 2013, 13, (1), 137-157 View citations (9)
42. 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 Default Swap Games Driven by Spectrally Negative Levy Processes, Papers (2012) View citations (1) (2012)
43. 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 Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing, Papers (2013) View citations (5) (2013)
44. Stochastic modeling and fair valuation of drawdown insurance
    Insurance: Mathematics and Economics, 2013, 53, (3), 840-850 View citations (19)
    See also Working Paper Stochastic Modeling and Fair Valuation of Drawdown Insurance, Papers (2013) View citations (20) (2013)

2012

45. 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 Risk Premia and Optimal Liquidation of Credit Derivatives, Papers (2012) View citations (15) (2012)

2009

46. 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 (38)

Books

2024

1. Stochastic Control Approach to Futures Trading
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2021

2. Employee Stock Options:Exercise Timing, Hedging, and Valuation
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

2016

3. Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (26)

Chapters

2020

1. 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 Tracking VIX with VIX Futures: Portfolio Construction and Performance, arXiv.org (2019) View citations (1) (2019)

2016

2. Futures Trading Under Mean Reversion
   Chapter 5 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 105-127 View citations (22)
3. Introduction
   Chapter 1 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 1-10
4. Optimal Liquidation of Options
   Chapter 6 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 129-161
5. Trading Credit Derivatives
   Chapter 7 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 163-199
6. Trading Under the CIR Model
   Chapter 4 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 81-103
7. Trading Under the Exponential OU Model
   Chapter 3 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 51-80
8. Trading Under the Ornstein-Uhlenbeck Model
   Chapter 2 in Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications, 2016, pp 11-50

2013

9. An Optimal Timing Approach to Option Portfolio Risk Management
   Palgrave Macmillan View citations (1)

2008

10. Credit derivatives and risk aversion
    A chapter in Econometrics and Risk Management, 2008, pp 275-291 View citations (1)