Work with Tim Leung | NotedSource
Tim Leung is a professor of operations research and
financial engineering at the University of Washington. He
holds a PhD from Princeton University and a B.S. from
Cornell University. He has held previous positions as an
assistant professor at Columbia University and Johns
Hopkins University.
https://cv.notedsource.io/me/5GLMYPNL
Tim Leung
Professor of Applied Mathematics, Computational Finance & Risk Management (CFRM) Program
Research Expertise
Computational Finance
Risk Management
Portfolio Optimization
ETFs
Finance
Applied Mathematics
Economics and Econometrics
Accounting
Statistics, Probability and Uncertainty
Statistics and Probability
Control and Optimization
Modeling and Simulation
Numerical Analysis
Information Systems and Management
Management Science and Operations Research
Industrial and Manufacturing Engineering
Strategy and Management
Electrical and Electronic Engineering
Control and Systems Engineering
Artificial Intelligence
Computer Networks and Communications
Pharmacology (medical)
About
Tim Leung is a professor of operations
research and financial engineering at the
University of Washington. He holds a PhD from
Princeton University and a B.S. from Cornell
University. He has held previous positions as
an assistant professor at Columbia University
and Johns Hopkins University.
Legacy Map
Full ViewPublications
OPTIMAL MEAN REVERSION TRADING WITH
TRANSACTION COSTS AND STOP-LOSS EXIT
International Journal of Theoretical
and Applied Finance
2015
ACCOUNTING FOR RISK AVERSION, VESTING, JOB
TERMINATION RISK AND MULTIPLE EXERCISES IN
VALUATION OF EMPLOYEE STOCK OPTIONS
Mathematical Finance
2009
Futures Trading Under Mean Reversion
Optimal Mean Reversion Trading
2015
The golden target: analyzing the tracking
performance of leveraged gold ETFs
Studies in Economics and Finance
2015
Implied Volatility of Leveraged ETF
Options
Applied Mathematical Finance
2014
Stochastic modeling and fair valuation of
drawdown insurance
Insurance: Mathematics and
Economics
2013
Understanding the Tracking Errors of
Commodity Leveraged ETFs
Commodities, Energy and Environmental
Finance
2015
An optimal multiple stopping approach to
infrastructure investment decisions
Journal of Economic Dynamics and
Control
2015
Constructing cointegrated cryptocurrency
portfolios for statistical arbitrage
Studies in Economics and Finance
2019
Credit derivatives and risk aversion
Econometrics and Risk Management
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL
MULTIPLE STOPPING: CANADIZATION AND
PHASE-TYPE FITTING
International Journal of Theoretical
and Applied Finance
2015
Optimal starting–stopping and switching of
a CIR process with fixed costs
Risk and Decision Analysis
2014
A Markov-modulated stochastic control
problem with optimal multiple stopping
with application to finance
49th IEEE Conference on Decision and
Control (CDC)
2010
A stochastic control approach to managed
futures portfolios
International Journal of Financial
Engineering
2019
Special Issue on AI and FinTech: The
Challenge Ahead
IEEE Intelligent Systems
2020
Dynamic Index Tracking and Risk Exposure
Control Using Derivatives
Applied Mathematical Finance
2018
MEAN REVERSION TRADING WITH SEQUENTIAL
DEADLINES AND TRANSACTION COSTS
International Journal of Theoretical
and Applied Finance
2018
LONG-TERM GROWTH RATE OF EXPECTED UTILITY
FOR LEVERAGED ETFs: MARTINGALE EXTRACTION
APPROACH
International Journal of Theoretical
and Applied Finance
2017
A Relaxed Optimization Approach for
Cardinality-Constrained Portfolios
2019 18th European Control Conference
(ECC)
2019
Asynchronous ADRs: overnight vs intraday
returns and trading strategies
Studies in Economics and Finance
2017
Optimal dynamic futures portfolio in a
regime-switching market framework
International Journal of Financial
Engineering
2019
Mean Reverting Portfolios via Penalized
OU-Likelihood Estimation
2018 IEEE Conference on Decision and
Control (CDC)
2018
Timing options for a startup with early
termination and competition risks
Risk and Decision Analysis
2017
Adaptive complementary ensemble EMD and
energy-frequency spectra of cryptocurrency
prices
International Journal of Financial
Engineering
2021
OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A
MULTIFACTOR GAUSSIAN FRAMEWORK
International Journal of Theoretical
and Applied Finance
2021
On the efficacy of optimized exit rule for
mean reversion trading
International Journal of Financial
Engineering
2020
A TOP-DOWN APPROACH FOR THE MULTIPLE
EXERCISES AND VALUATION OF EMPLOYEE STOCK
OPTIONS
International Journal of Theoretical
and Applied Finance
2020
Tracking VIX with VIX Futures: Portfolio
Construction and Performance
Handbook of Applied Investment
Research
2020
EFFORT EXPENDITURE FOR CASH FLOW IN A
MEAN-FIELD EQUILIBRIUM
International Journal of Theoretical
and Applied Finance
2019
How to mine gold without digging
International Journal of Financial
Engineering
2019
Analysis of Financial Correlation Matrix
Using Random Matrix Theory
2011 Fourth International Conference on
Business Intelligence and Financial
Engineering
2011
A Stochastic Control Approach to Futures
Trading with Regime Switching
2020 American Control Conference
(ACC)
2020
Optimal Liquidation of Options
Optimal Mean Reversion Trading
2015
Trading Under the CIR Model
Optimal Mean Reversion Trading
2015
Trading Under the Ornstein-Uhlenbeck Model
Optimal Mean Reversion Trading
2015
Trading Credit Derivatives
Optimal Mean Reversion Trading
2015
Trading Under the Exponential OU Model
Optimal Mean Reversion Trading
2015
Optimal Risk-Averse Timing of an Asset
Sale: Trending vs Mean-Reverting Price
Dynamics
SSRN Electronic Journal
2016
OS1406 Theoretical Treatment of Thermal
Stresses in Functionally Graded Materials
The Proceedings of the Materials and
Mechanics Conference
2011
Reviews of Maintenance Literature and
Models
Wiley Encyclopedia of Operations
Research and Management Science
2011
10 Documentation of Project Bonds
International Project Finance
2015
Constrained dynamic futures portfolios
with stochastic basis
Annals of Finance
2021
Financial time series analysis and
forecasting with Hilbert–Huang transform
feature generation and machine learning
Applied Stochastic Models in Business
and Industry
2021
Multiscale Decomposition and Spectral
Analysis of Sector ETF Price Dynamics
Journal of Risk and Financial
Management
2021
Optimal Dynamic Futures Portfolios Under a
Multiscale Central Tendency
Ornstein-Uhlenbeck Model
2021 American Control Conference
(ACC)
2021
Optimal trading of a basket of futures
contracts
Annals of Finance
2020
Sparse mean-reverting portfolios via
penalized likelihood optimization
Automatica
2020
Foreign Exchange Rate Predictability:
Seek and Ye Shall Find It
Handbook of Applied Investment
Research
2020
Optimal dynamic basis trading
Annals of Finance
2019
Optimal Trading with a Trailing Stop
Applied Mathematics &
Optimization
2019
Optimal risk-averse timing of an asset
sale: trending versus mean-reverting price
dynamics
Annals of Finance
2018
Optimal dynamic pairs trading of futures
under a two-factor mean-reverting model
International Journal of Financial
Engineering
2018
Optimal Timing to Trade along a Randomized
Brownian Bridge
International Journal of Financial
Studies
2018
A Relaxed Optimization Approach for
Cardinality-Constrained Portfolio
Optimization
SSRN Electronic Journal
2018
A Stochastic Control Approach to Managed
Futures Portfolios
SSRN Electronic Journal
2018
Constructing Cointegrated Cryptocurrency
Portfolios for Statistical Arbitrage
SSRN Electronic Journal
2018
Effort Expenditure for Cash Flow in a
Mean-Field Equilibrium
SSRN Electronic Journal
2018
How to Mine Gold Without Digging
SSRN Electronic Journal
2018
Mean Reversion Trading with Sequential
Deadlines and Transaction Costs
SSRN Electronic Journal
2018
Mean Reverting Portfolios via Penalized
OU-Likelihood Estimation
SSRN Electronic Journal
2018
Optimal Dynamic Basis Trading
SSRN Electronic Journal
2018
Optimal Dynamic Pairs Trading of Futures
Under a Two-Factor Mean-Reverting Model
SSRN Electronic Journal
2018
Sparse Mean-Reverting Portfolios Via
Penalized Likelihood Optimization
SSRN Electronic Journal
2018
Optimal execution of limit and market
orders with trade director, speed limiter,
and fill uncertainty
International Journal of Financial
Engineering
2017
Optimal mean-reverting spread trading:
nonlinear integral equation approach
Annals of Finance
2017
Employee Stock Options
Modern Trends in Financial
Engineering
2021
LEVERAGED ETF IMPLIED VOLATILITIES FROM
ETF DYNAMICS
Mathematical Finance
2016
Understanding the non-convergence of
agricultural futures via stochastic
storage costs and timing options
Journal of Commodity Markets
2017
Conclusions
SpringerBriefs in Quantitative
Finance
2016
Impact of risk aversion and belief
heterogeneity on trading of defaultable
claims
Annals of Operations Research
2014
Introduction
SpringerBriefs in Quantitative
Finance
2016
Leveraged Exchange-Traded Funds
SpringerBriefs in Quantitative
Finance
2016
Optimal static quadratic hedging
Quantitative Finance
2016
Options on Leveraged ETFs
SpringerBriefs in Quantitative
Finance
2016
Price Dynamics of Leveraged ETFs
SpringerBriefs in Quantitative
Finance
2016
Pricing derivatives with counterparty risk
and collateralization: A fixed point
approach
European Journal of Operational
Research
2016
Risk Analysis of Leveraged ETFs
SpringerBriefs in Quantitative
Finance
2016
Speculative Futures Trading under Mean
Reversion
Asia-Pacific Financial Markets
2016
Optimal Mean Reversion Trading
Modern Trends in Financial
Engineering
2015
Optimal derivative liquidation timing
under path-dependent risk penalties
Journal of Financial Engineering
2015
ESO Valuation with Job Termination Risk
and Jumps in Stock Price
SIAM Journal on Financial
Mathematics
2015
Optimal Multiple Trading Times Under the
Exponential OU Model with Transaction
Costs
Stochastic Models
2015
Optimal Multiple Stopping with Negative
Discount Rate and Random Refraction Times
under Lévy Models
SIAM Journal on Control and
Optimization
2015
Accounting for earnings announcements in
the pricing of equity options
Journal of Financial Engineering
2014
American step-up and step-down default
swaps under Lévy models
Quantitative Finance
2013
An Optimal Timing Approach to Option
Portfolio Risk Management
Advances in Financial Risk
Management
2013
Credit Risk
Wiley Encyclopedia of Operations
Research and Management Science
2011
Default swap games driven by spectrally
negative Lévy processes
Stochastic Processes and their
Applications
2013
Outperformance portfolio optimization via
the equivalence of pure and randomized
hypothesis testing
Finance and Stochastics
2013
Accounting for risk aversion in
derivatives purchase timing
Mathematics and Financial
Economics
2012
Forward indifference valuation of American
options
Stochastics
2012
Leveraged exchange-traded funds:
admissible leverage and risk horizon
The Journal of Investment
Strategies
2012
Sequential static-Dynamic Hedging for
Long-term Derivatives
Procedia Computer Science
2012
Optimal Timing to Purchase Options
SIAM Journal on Financial
Mathematics
2011
Exponential Hedging with Optimal Stopping
and Application to Employee Stock Option
Valuation
SIAM Journal on Control and
Optimization
2009
A Top-Down Approach for the Multiple
Exercises and Valuation of Employee Stock
Options
SSRN Electronic Journal
2019
Accounting for Risk Aversion in
Derivatives Purchase Timing
SSRN Electronic Journal
2012
American Step-Up and Step-Down Credit
Default Swaps Under Levy Models
SSRN Electronic Journal
2010
An Analytic Recursive Method for Optimal
Multiple Stopping: Canadization and
Phase-Type Fitting
SSRN Electronic Journal
2014
An Optimal Multiple Stopping Approach to
Infrastructure Investment Decisions
SSRN Electronic Journal
2013
An Optimal Timing Approach to Option
Portfolio Risk Management
Advances in Financial Risk
Management
Constrained Dynamic Futures Portfolios
with Stochastic Basis
SSRN Electronic Journal
2021
Dynamic Index Tracking and Risk Exposure
Control Using Derivatives
SSRN Electronic Journal
2017
Employee Stock Option Valuation under Levy
Models
SSRN Electronic Journal
2013
Employee Stock Options: Accounting for
Optimal Hedging, Suboptimal Exercises, and
Contractual Restrictions
SSRN Electronic Journal
2010
Energy-Frequency Spectrum for Financial
Time Series via Complementary Ensemble EMD
SSRN Electronic Journal
2020
Explicit Solutions to Optimal Risk-Averse
Trading of Defaultable Bonds Under
Heterogeneous Beliefs
SSRN Electronic Journal
2010
Fast and Precautious: Order Controls for
Trade Execution
SSRN Electronic Journal
2017
Financial Time Series Analysis and
Forecasting with HHT Feature Generation
and Machine Learning
SSRN Electronic Journal
2020
Forward Indifference Valuation of American
Options
SSRN Electronic Journal
2011
Generalized Hypothesis Testing and
Maximizing the Success Probability in
Financial Markets
SSRN Electronic Journal
2011
Impact of Risk Aversion and Belief
Heterogeneity on Trading of Defaultable
Claims
SSRN Electronic Journal
2013
Implied Volatility of Leveraged ETF
Options
SSRN Electronic Journal
2012
Leveraged ETF Implied Volatilities from
ETF Dynamics
SSRN Electronic Journal
2014
Long-Term Growth Rate of Expected Utility
for Leveraged ETFs: Martingale Extraction
Approach
SSRN Electronic Journal
2016
Optimal Derivative Liquidation Timing
Under Path-Dependent Risk Penalties
SSRN Electronic Journal
2013
Optimal Dynamic Futures Portfolio Under a
Multifactor Gaussian Framework
SSRN Electronic Journal
2021
Optimal Dynamic Futures Portfolio in a
Regime-Switching Market Framework
SSRN Electronic Journal
2019
Optimal Dynamic Futures Portfolios Under a
Multiscale Central Tendency
Ornstein-Uhlenbeck Model
SSRN Electronic Journal
2020
Optimal Execution of Limit and Market
Orders with Trade Director, Speed Limiter,
and Fill Uncertainty
SSRN Electronic Journal
2016
Optimal Mean-Reverting Spread Trading:
Nonlinear Integral Equation Approach
SSRN Electronic Journal
2016
Optimal Multiple Stopping with Negative
Discount Rate and Random Refraction Times
under Levy Models
SSRN Electronic Journal
2014
Optimal Multiple Trading Times Under the
Exponential OU Model with Transaction
Costs
SSRN Electronic Journal
2014
Optimal Starting-Stopping and Switching of
a CIR Process with Fixed Costs
SSRN Electronic Journal
2014
Optimal Static Quadratic Hedging
SSRN Electronic Journal
2015
Optimal Timing for Mean Reversion Trading
SSRN Electronic Journal
2013
Optimal Trading of a Basket of Futures
Contracts
SSRN Electronic Journal
2019
Optimal Trading with a Trailing Stop
SSRN Electronic Journal
2017
Pricing Derivatives with Counterparty Risk
and Collateralization: A Fixed Point
Approach
SSRN Electronic Journal
2013
RISK PREMIA AND OPTIMAL LIQUIDATION OF
CREDIT DERIVATIVES
International Journal of Theoretical
and Applied Finance
2012
Risk Premia and Optimal Liquidation of
Defaultable Securities
SSRN Electronic Journal
2011
Speculative Futures Trading Under Mean
Reversion
SSRN Electronic Journal
2015
Timing Options for a Startup with Early
Termination and Competition Risks
SSRN Electronic Journal
2016
Tracking VIX with VIX Futures: Portfolio
Construction and Performance
SSRN Electronic Journal
2019
Understanding the Non-Convergence of
Agricultural Futures Via Stochastic
Storage Costs and Timing Options
SSRN Electronic Journal
2016
Understanding the Tracking Errors of
Commodity Leveraged ETFs
SSRN Electronic Journal
2014
Education
Princeton University
PhD, Operations Research & Financial Engineering
Princeton, New Jersey, United
States of America
Cornell University
B.S., Operations Research & Industrial Engineering / May, 2003
Ithaca, New York, United States of
America
Experience
University of Washington
Professor / 2016 — Present
Columbia University
Assistant Professor / 2011 — 2016
Johns Hopkins University
Assistant Professor / 2008 — 2011
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