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.

Publications

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

International Journal of Theoretical and Applied Finance / May 01, 2015

LEUNG, T., & LI, X. (2015). OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT. International Journal of Theoretical and Applied Finance, 18(03), 1550020. https://doi.org/10.1142/s021902491550020x

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

Mathematical Finance / Jan 01, 2009

Leung, T., & Sircar, R. (2009). ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS. Mathematical Finance, 19(1), 99–128. https://doi.org/10.1111/j.1467-9965.2008.00359.x

Futures Trading Under Mean Reversion

Optimal Mean Reversion Trading / Nov 29, 2015

Futures Trading Under Mean Reversion. (2015). Optimal Mean Reversion Trading, 105–127. https://doi.org/10.1142/9789814725927_0005

The golden target: analyzing the tracking performance of leveraged gold ETFs

Studies in Economics and Finance / Aug 03, 2015

Leung, T., & Ward, B. (2015). The golden target: analyzing the tracking performance of leveraged gold ETFs. Studies in Economics and Finance, 32(3), 278–297. https://doi.org/10.1108/sef-01-2015-0009

Implied Volatility of Leveraged ETF Options

Applied Mathematical Finance / Nov 20, 2014

Leung, T., & Sircar, R. (2014). Implied Volatility of Leveraged ETF Options. Applied Mathematical Finance, 22(2), 162–188. https://doi.org/10.1080/1350486x.2014.975825

Stochastic modeling and fair valuation of drawdown insurance

Insurance: Mathematics and Economics / Nov 01, 2013

Zhang, H., Leung, T., & Hadjiliadis, O. (2013). Stochastic modeling and fair valuation of drawdown insurance. Insurance: Mathematics and Economics, 53(3), 840–850. https://doi.org/10.1016/j.insmatheco.2013.10.006

Understanding the Tracking Errors of Commodity Leveraged ETFs

Commodities, Energy and Environmental Finance / Jan 01, 2015

Guo, K., & Leung, T. (2015). Understanding the Tracking Errors of Commodity Leveraged ETFs. Fields Institute Communications, 39–63. https://doi.org/10.1007/978-1-4939-2733-3_2

An optimal multiple stopping approach to infrastructure investment decisions

Journal of Economic Dynamics and Control / Apr 01, 2015

Dahlgren, E., & Leung, T. (2015). An optimal multiple stopping approach to infrastructure investment decisions. Journal of Economic Dynamics and Control, 53, 251–267. https://doi.org/10.1016/j.jedc.2015.02.001

Constructing cointegrated cryptocurrency portfolios for statistical arbitrage

Studies in Economics and Finance / Oct 07, 2019

Leung, T., & Nguyen, H. (2019). Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. Studies in Economics and Finance, 36(4), 581–599. https://doi.org/10.1108/sef-08-2018-0264

Credit derivatives and risk aversion

Econometrics and Risk Management

Leung, T., Sircar, R., & Zariphopoulou, T. (n.d.). Credit derivatives and risk aversion. Advances in Econometrics, 275–291. https://doi.org/10.1016/s0731-9053(08)22011-6

AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING

International Journal of Theoretical and Applied Finance / Jul 28, 2015

LEUNG, T., YAMAZAKI, K., & ZHANG, H. (2015). AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING. International Journal of Theoretical and Applied Finance, 18(05), 1550032. https://doi.org/10.1142/s0219024915500326

Optimal starting–stopping and switching of a CIR process with fixed costs

Risk and Decision Analysis / Jan 01, 2014

Leung, T., Li, X., & Wang, Z. (2014). Optimal starting–stopping and switching of a CIR process with fixed costs. Risk and Decision Analysis, 5(2–3), 149–161. https://doi.org/10.3233/rda-140107

A Markov-modulated stochastic control problem with optimal multiple stopping with application to finance

49th IEEE Conference on Decision and Control (CDC) / Dec 01, 2010

Leung, T. S.-T. (2010). A Markov-modulated stochastic control problem with optimal multiple stopping with application to finance. 49th IEEE Conference on Decision and Control (CDC). https://doi.org/10.1109/cdc.2010.5717052

A stochastic control approach to managed futures portfolios

International Journal of Financial Engineering / Mar 01, 2019

Leung, T., & Yan, R. (2019). A stochastic control approach to managed futures portfolios. International Journal of Financial Engineering, 06(01), 1950005. https://doi.org/10.1142/s2424786319500051

Special Issue on AI and FinTech: The Challenge Ahead

IEEE Intelligent Systems / Mar 01, 2020

Cao, L., Yuan, G., Leung, T., & Zhang, W. (2020). Special Issue on AI and FinTech: The Challenge Ahead. IEEE Intelligent Systems, 35(2), 3–6. https://doi.org/10.1109/mis.2020.2983494

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Applied Mathematical Finance / Mar 04, 2018

Leung, T., & Ward, B. (2018). Dynamic Index Tracking and Risk Exposure Control Using Derivatives. Applied Mathematical Finance, 25(2), 180–212. https://doi.org/10.1080/1350486x.2018.1507750

MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS

International Journal of Theoretical and Applied Finance / Feb 01, 2018

KITAPBAYEV, Y., & LEUNG, T. (2018). MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. International Journal of Theoretical and Applied Finance, 21(01), 1850004. https://doi.org/10.1142/s0219024918500048

LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH

International Journal of Theoretical and Applied Finance / Sep 01, 2017

LEUNG, T., & PARK, H. (2017). LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH. International Journal of Theoretical and Applied Finance, 20(06), 1750037. https://doi.org/10.1142/s0219024917500376

A Relaxed Optimization Approach for Cardinality-Constrained Portfolios

2019 18th European Control Conference (ECC) / Jun 01, 2019

Zhang, J., Leung, T., & Aravkin, A. (2019). A Relaxed Optimization Approach for Cardinality-Constrained Portfolios. 2019 18th European Control Conference (ECC). https://doi.org/10.23919/ecc.2019.8796164

Asynchronous ADRs: overnight vs intraday returns and trading strategies

Studies in Economics and Finance / Oct 02, 2017

Kang, J., & Leung, T. (2017). Asynchronous ADRs: overnight vs intraday returns and trading strategies. Studies in Economics and Finance, 34(4), 580–596. https://doi.org/10.1108/sef-10-2016-0254

Optimal dynamic futures portfolio in a regime-switching market framework

International Journal of Financial Engineering / Dec 01, 2019

Leung, T., & Zhou, Y. (2019). Optimal dynamic futures portfolio in a regime-switching market framework. International Journal of Financial Engineering, 06(04), 1950034. https://doi.org/10.1142/s2424786319500348

Mean Reverting Portfolios via Penalized OU-Likelihood Estimation

2018 IEEE Conference on Decision and Control (CDC) / Dec 01, 2018

Zhang, J., Leung, T., & Aravkin, A. (2018). Mean Reverting Portfolios via Penalized OU-Likelihood Estimation. 2018 IEEE Conference on Decision and Control (CDC). https://doi.org/10.1109/cdc.2018.8619534

Timing options for a startup with early termination and competition risks

Risk and Decision Analysis / May 31, 2017

Leung, T., & Li, Z. (2017). Timing options for a startup with early termination and competition risks. Risk and Decision Analysis, 6(2), 151–166. https://doi.org/10.3233/rda-170120

Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices

International Journal of Financial Engineering / Jun 04, 2021

Leung, T., & Zhao, T. (2021). Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices. International Journal of Financial Engineering, 09(01). https://doi.org/10.1142/s2424786321410085

OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK

International Journal of Theoretical and Applied Finance / Aug 01, 2021

LEUNG, T., YAN, R., & ZHOU, Y. (2021). OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK. International Journal of Theoretical and Applied Finance, 24(05), 2150028. https://doi.org/10.1142/s021902492150028x

On the efficacy of optimized exit rule for mean reversion trading

International Journal of Financial Engineering / Sep 01, 2020

Lee, D., & Leung, T. (2020). On the efficacy of optimized exit rule for mean reversion trading. International Journal of Financial Engineering, 07(03), 2050024. https://doi.org/10.1142/s2424786320500243

A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS

International Journal of Theoretical and Applied Finance / Mar 01, 2020

LEUNG, T., & ZHOU, Y. (2020). A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS. International Journal of Theoretical and Applied Finance, 23(02), 2050004. https://doi.org/10.1142/s0219024920500041

Tracking VIX with VIX Futures: Portfolio Construction and Performance

Handbook of Applied Investment Research / Oct 01, 2020

Leung, T., & Ward, B. (2020). Tracking VIX with VIX Futures: Portfolio Construction and Performance. World Scientific Handbook in Financial Economics Series, 557–596. https://doi.org/10.1142/9789811222634_0021

EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM

International Journal of Theoretical and Applied Finance / Jun 01, 2019

DONNELLY, R., & LEUNG, T. (2019). EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM. International Journal of Theoretical and Applied Finance, 22(04), 1950014. https://doi.org/10.1142/s0219024919500146

How to mine gold without digging

International Journal of Financial Engineering / Mar 01, 2019

Guo, K., Leung, T., & Ward, B. (2019). How to mine gold without digging. International Journal of Financial Engineering, 06(01), 1950009. https://doi.org/10.1142/s2424786319500099

Analysis of Financial Correlation Matrix Using Random Matrix Theory

2011 Fourth International Conference on Business Intelligence and Financial Engineering / Oct 01, 2011

Meiying, Z., & Bin, Z. (2011). Analysis of Financial Correlation Matrix Using Random Matrix Theory. 2011 Fourth International Conference on Business Intelligence and Financial Engineering. https://doi.org/10.1109/bife.2011.15

A Stochastic Control Approach to Futures Trading with Regime Switching

2020 American Control Conference (ACC) / Jul 01, 2020

Leung, T., & Zhou, Y. (2020). A Stochastic Control Approach to Futures Trading with Regime Switching. 2020 American Control Conference (ACC). https://doi.org/10.23919/acc45564.2020.9147507

Optimal Liquidation of Options

Optimal Mean Reversion Trading / Nov 29, 2015

Optimal Liquidation of Options. (2015). Optimal Mean Reversion Trading, 129–161. https://doi.org/10.1142/9789814725927_0006

Trading Under the CIR Model

Optimal Mean Reversion Trading / Nov 29, 2015

Trading Under the CIR Model. (2015). Optimal Mean Reversion Trading, 81–103. https://doi.org/10.1142/9789814725927_0004

Trading Under the Ornstein-Uhlenbeck Model

Optimal Mean Reversion Trading / Nov 29, 2015

Trading Under the Ornstein-Uhlenbeck Model. (2015). Optimal Mean Reversion Trading, 11–50. https://doi.org/10.1142/9789814725927_0002

Trading Credit Derivatives

Optimal Mean Reversion Trading / Nov 29, 2015

Trading Credit Derivatives. (2015). Optimal Mean Reversion Trading, 163–199. https://doi.org/10.1142/9789814725927_0007

Trading Under the Exponential OU Model

Optimal Mean Reversion Trading / Nov 29, 2015

Trading Under the Exponential OU Model. (2015). Optimal Mean Reversion Trading, 51–80. https://doi.org/10.1142/9789814725927_0003

Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics

SSRN Electronic Journal / Jan 01, 2016

Leung, T., & Wang, Z. (2016). Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2786176

OS1406 Theoretical Treatment of Thermal Stresses in Functionally Graded Materials

The Proceedings of the Materials and Mechanics Conference / Jan 01, 2011

Noda, N. (2011). OS1406 Theoretical Treatment of Thermal Stresses in Functionally Graded Materials. The Proceedings of the Materials and Mechanics Conference, 2011(0), _OS1406-1_-_OS1406-4_. https://doi.org/10.1299/jsmemm.2011._os1406-1_

Reviews of Maintenance Literature and Models

Wiley Encyclopedia of Operations Research and Management Science / Feb 15, 2011

Leung, F. K. N. (2011). Reviews of Maintenance Literature and Models. Wiley Encyclopedia of Operations Research and Management Science. https://doi.org/10.1002/9780470400531.eorms1031

10 Documentation of Project Bonds

International Project Finance / Feb 12, 2015

Tim, P., & Shoshanna, H. (2015). 10 Documentation of Project Bonds. International Project Finance. https://doi.org/10.1093/law/9780198715559.003.0011

Constrained dynamic futures portfolios with stochastic basis

Annals of Finance / Nov 07, 2021

Chen, X., Leung, T., & Zhou, Y. (2021). Constrained dynamic futures portfolios with stochastic basis. Annals of Finance, 18(1), 1–33. https://doi.org/10.1007/s10436-021-00398-0

Financial time series analysis and forecasting with Hilbert–Huang transform feature generation and machine learning

Applied Stochastic Models in Business and Industry / May 03, 2021

Leung, T., & Zhao, T. (2021). Financial time series analysis and forecasting with Hilbert–Huang transform feature generation and machine learning. Applied Stochastic Models in Business and Industry, 37(6), 993–1016. Portico. https://doi.org/10.1002/asmb.2625

Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics

Journal of Risk and Financial Management / Oct 02, 2021

Leung, T., & Zhao, T. (2021). Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics. Journal of Risk and Financial Management, 14(10), 464. https://doi.org/10.3390/jrfm14100464

Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model

2021 American Control Conference (ACC) / May 25, 2021

Leung, T., & Zhou, Y. (2021). Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model. 2021 American Control Conference (ACC). https://doi.org/10.23919/acc50511.2021.9483199

Optimal trading of a basket of futures contracts

Annals of Finance / Jan 01, 2020

Angoshtari, B., & Leung, T. (2020). Optimal trading of a basket of futures contracts. Annals of Finance, 16(2), 253–280. https://doi.org/10.1007/s10436-019-00357-w

Sparse mean-reverting portfolios via penalized likelihood optimization

Automatica / Jan 01, 2020

Zhang, J., Leung, T., & Aravkin, A. (2020). Sparse mean-reverting portfolios via penalized likelihood optimization. Automatica, 111, 108651. https://doi.org/10.1016/j.automatica.2019.108651

Foreign Exchange Rate Predictability: Seek and Ye Shall Find It

Handbook of Applied Investment Research / Oct 01, 2020

Kyriazi, F., & Thomakos, D. D. (2020). Foreign Exchange Rate Predictability: Seek and Ye Shall Find It. World Scientific Handbook in Financial Economics Series, 511–556. https://doi.org/10.1142/9789811222634_0020

Optimal dynamic basis trading

Annals of Finance / Jun 10, 2019

Angoshtari, B., & Leung, T. (2019). Optimal dynamic basis trading. Annals of Finance, 15(3), 307–335. https://doi.org/10.1007/s10436-019-00348-x

Optimal Trading with a Trailing Stop

Applied Mathematics & Optimization / Feb 22, 2019

Leung, T., & Zhang, H. (2019). Optimal Trading with a Trailing Stop. Applied Mathematics & Optimization, 83(2), 669–698. https://doi.org/10.1007/s00245-019-09559-0

Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics

Annals of Finance / Sep 11, 2018

Leung, T., & Wang, Z. (2018). Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Annals of Finance, 15(1), 1–28. https://doi.org/10.1007/s10436-018-0336-1

Optimal dynamic pairs trading of futures under a two-factor mean-reverting model

International Journal of Financial Engineering / Sep 01, 2018

Leung, T., & Yan, R. (2018). Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. International Journal of Financial Engineering, 05(03), 1850027. https://doi.org/10.1142/s2424786318500275

Optimal Timing to Trade along a Randomized Brownian Bridge

International Journal of Financial Studies / Aug 30, 2018

Leung, T., Li, J., & Li, X. (2018). Optimal Timing to Trade along a Randomized Brownian Bridge. International Journal of Financial Studies, 6(3), 75. https://doi.org/10.3390/ijfs6030075

A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization

SSRN Electronic Journal / Jan 01, 2018

Zhang, J., Leung, T., & Aravkin, A. (2018). A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3272588

A Stochastic Control Approach to Managed Futures Portfolios

SSRN Electronic Journal / Jan 01, 2018

Leung, T., & Yan, R. (2018). A Stochastic Control Approach to Managed Futures Portfolios. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3274326

Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage

SSRN Electronic Journal / Jan 01, 2018

Leung, T., & Nguyen, H. (2018). Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3235890

Effort Expenditure for Cash Flow in a Mean-Field Equilibrium

SSRN Electronic Journal / Jan 01, 2018

Donnelly, R. F., & Leung, T. (2018). Effort Expenditure for Cash Flow in a Mean-Field Equilibrium. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3235553

How to Mine Gold Without Digging

SSRN Electronic Journal / Jan 01, 2018

Guo, K., Leung, T., & Ward, B. (2018). How to Mine Gold Without Digging. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3172514

Mean Reversion Trading with Sequential Deadlines and Transaction Costs

SSRN Electronic Journal / Jan 01, 2018

Kitapbayev, Y., & Leung, T. (2018). Mean Reversion Trading with Sequential Deadlines and Transaction Costs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2997250

Mean Reverting Portfolios via Penalized OU-Likelihood Estimation

SSRN Electronic Journal / Jan 01, 2018

Zhang, J., Leung, T., & Aravkin, A. (2018). Mean Reverting Portfolios via Penalized OU-Likelihood Estimation. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3142474

Optimal Dynamic Basis Trading

SSRN Electronic Journal / Jan 01, 2018

Angoshtari, B., & Leung, T. (2018). Optimal Dynamic Basis Trading. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3250474

Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model

SSRN Electronic Journal / Jan 01, 2018

Leung, T., & Yan, R. (2018). Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3228852

Sparse Mean-Reverting Portfolios Via Penalized Likelihood Optimization

SSRN Electronic Journal / Jan 01, 2018

Zhang, J., Leung, T., & Aravkin, A. (2018). Sparse Mean-Reverting Portfolios Via Penalized Likelihood Optimization. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3252777

Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty

International Journal of Financial Engineering / Jun 01, 2017

Bulthuis, B., Concha, J., Leung, T., & Ward, B. (2017). Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. International Journal of Financial Engineering, 04(02n03), 1750020. https://doi.org/10.1142/s2424786317500207

Optimal mean-reverting spread trading: nonlinear integral equation approach

Annals of Finance / Mar 25, 2017

Kitapbayev, Y., & Leung, T. (2017). Optimal mean-reverting spread trading: nonlinear integral equation approach. Annals of Finance, 13(2), 181–203. https://doi.org/10.1007/s10436-017-0295-y

Employee Stock Options

Modern Trends in Financial Engineering / Feb 07, 2021

Leung, T. (2021). Employee Stock Options. Modern Trends in Financial Engineering. https://doi.org/10.1142/10437

LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS

Mathematical Finance / May 19, 2016

Leung, T., Lorig, M., & Pascucci, A. (2016). LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS. Mathematical Finance, 27(4), 1035–1068. Portico. https://doi.org/10.1111/mafi.12128

Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options

Journal of Commodity Markets / Jun 01, 2017

Guo, K., & Leung, T. (2017). Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options. Journal of Commodity Markets, 6, 32–49. https://doi.org/10.1016/j.jcomm.2017.04.001

Conclusions

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Conclusions. Leveraged Exchange-Traded Funds, 89–91. https://doi.org/10.1007/978-3-319-29094-2_5

Impact of risk aversion and belief heterogeneity on trading of defaultable claims

Annals of Operations Research / Jan 07, 2014

Kim, J., & Leung, T. (2014). Impact of risk aversion and belief heterogeneity on trading of defaultable claims. Annals of Operations Research, 243(1–2), 117–146. https://doi.org/10.1007/s10479-013-1524-z

Introduction

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Introduction. Leveraged Exchange-Traded Funds, 1–5. https://doi.org/10.1007/978-3-319-29094-2_1

Leveraged Exchange-Traded Funds

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Leveraged Exchange-Traded Funds. SpringerBriefs in Quantitative Finance. https://doi.org/10.1007/978-3-319-29094-2

Optimal static quadratic hedging

Quantitative Finance / Apr 22, 2016

Leung, T., & Lorig, M. (2016). Optimal static quadratic hedging. Quantitative Finance, 16(9), 1341–1355. https://doi.org/10.1080/14697688.2016.1161229

Options on Leveraged ETFs

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Options on Leveraged ETFs. Leveraged Exchange-Traded Funds, 51–88. https://doi.org/10.1007/978-3-319-29094-2_4

Price Dynamics of Leveraged ETFs

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Price Dynamics of Leveraged ETFs. Leveraged Exchange-Traded Funds, 7–35. https://doi.org/10.1007/978-3-319-29094-2_2

Pricing derivatives with counterparty risk and collateralization: A fixed point approach

European Journal of Operational Research / Mar 01, 2016

Kim, J., & Leung, T. (2016). Pricing derivatives with counterparty risk and collateralization: A fixed point approach. European Journal of Operational Research, 249(2), 525–539. https://doi.org/10.1016/j.ejor.2015.06.055

Risk Analysis of Leveraged ETFs

SpringerBriefs in Quantitative Finance / Jan 01, 2016

Leung, T., & Santoli, M. (2016). Risk Analysis of Leveraged ETFs. Leveraged Exchange-Traded Funds, 37–50. https://doi.org/10.1007/978-3-319-29094-2_3

Speculative Futures Trading under Mean Reversion

Asia-Pacific Financial Markets / Apr 18, 2016

Leung, T., Li, J., Li, X., & Wang, Z. (2016). Speculative Futures Trading under Mean Reversion. Asia-Pacific Financial Markets, 23(4), 281–304. https://doi.org/10.1007/s10690-016-9215-9

Optimal Mean Reversion Trading

Modern Trends in Financial Engineering / Jul 31, 2015

Leung, T., & Li, X. (2015). Optimal Mean Reversion Trading. Modern Trends in Financial Engineering. https://doi.org/10.1142/9839

Optimal derivative liquidation timing under path-dependent risk penalties

Journal of Financial Engineering / Mar 01, 2015

Leung, T., & Shirai, Y. (2015). Optimal derivative liquidation timing under path-dependent risk penalties. Journal of Financial Engineering, 02(01), 1550004. https://doi.org/10.1142/s234576861550004x

ESO Valuation with Job Termination Risk and Jumps in Stock Price

SIAM Journal on Financial Mathematics / Jan 01, 2015

Leung, T., & Wan, H. (2015). ESO Valuation with Job Termination Risk and Jumps in Stock Price. SIAM Journal on Financial Mathematics, 6(1), 487–516. https://doi.org/10.1137/130937949

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

Stochastic Models / Jul 16, 2015

Leung, T., Li, X., & Wang, Z. (2015). Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. Stochastic Models, 31(4), 554–587. https://doi.org/10.1080/15326349.2015.1058717

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models

SIAM Journal on Control and Optimization / Jan 01, 2015

Leung, T., Yamazaki, K., & Zhang, H. (2015). Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models. SIAM Journal on Control and Optimization, 53(4), 2373–2405. https://doi.org/10.1137/140957317

Accounting for earnings announcements in the pricing of equity options

Journal of Financial Engineering / Dec 01, 2014

Leung, T., & Santoli, M. (2014). Accounting for earnings announcements in the pricing of equity options. Journal of Financial Engineering, 01(04), 1450031. https://doi.org/10.1142/s2345768614500317

American step-up and step-down default swaps under Lévy models

Quantitative Finance / Jan 01, 2013

Leung, T., & Yamazaki, K. (2013). American step-up and step-down default swaps under Lévy models. Quantitative Finance, 13(1), 137–157. https://doi.org/10.1080/14697688.2012.730624

An Optimal Timing Approach to Option Portfolio Risk Management

Advances in Financial Risk Management / Jan 01, 2013

Leung, T., & Liu, P. (2013). An Optimal Timing Approach to Option Portfolio Risk Management. Advances in Financial Risk Management, 391–404. https://doi.org/10.1057/9781137025098_17

Credit Risk

Wiley Encyclopedia of Operations Research and Management Science / Jan 01, 2011

Leung, T., & Sircar, R. (2011). Credit Risk. Wiley Encyclopedia of Operations Research and Management Science, 1–10. https://doi.org/10.1002/9780470400531.eorms1064

Default swap games driven by spectrally negative Lévy processes

Stochastic Processes and their Applications / Feb 01, 2013

Egami, M., Leung, T., & Yamazaki, K. (2013). Default swap games driven by spectrally negative Lévy processes. Stochastic Processes and Their Applications, 123(2), 347–384. https://doi.org/10.1016/j.spa.2012.09.008

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

Finance and Stochastics / Aug 27, 2013

Leung, T., Song, Q., & Yang, J. (2013). Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing. Finance and Stochastics, 17(4), 839–870. https://doi.org/10.1007/s00780-013-0213-8

Accounting for risk aversion in derivatives purchase timing

Mathematics and Financial Economics / Feb 24, 2012

Leung, T., & Ludkovski, M. (2012). Accounting for risk aversion in derivatives purchase timing. Mathematics and Financial Economics, 6(4), 363–386. https://doi.org/10.1007/s11579-012-0063-8

Forward indifference valuation of American options

Stochastics / Jun 19, 2012

Leung, T., Sircar, R., & Zariphopoulou, T. (2012). Forward indifference valuation of American options. Stochastics, 84(5–6), 741–770. https://doi.org/10.1080/17442508.2012.694438

Leveraged exchange-traded funds: admissible leverage and risk horizon

The Journal of Investment Strategies / Dec 01, 2012

Leung, T., & Santoli, M. (2012). Leveraged exchange-traded funds: admissible leverage and risk horizon. The Journal of Investment Strategies, 2(1), 39–61. https://doi.org/10.21314/jois.2012.013

Sequential static-Dynamic Hedging for Long-term Derivatives

Procedia Computer Science / Jan 01, 2012

Leung, T. (2012). Sequential static-Dynamic Hedging for Long-term Derivatives. Procedia Computer Science, 9, 1211–1218. https://doi.org/10.1016/j.procs.2012.04.131

Optimal Timing to Purchase Options

SIAM Journal on Financial Mathematics / Jan 01, 2011

Leung, T., & Ludkovski, M. (2011). Optimal Timing to Purchase Options. SIAM Journal on Financial Mathematics, 2(1), 768–793. https://doi.org/10.1137/100809386

Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation

SIAM Journal on Control and Optimization / Jan 01, 2009

Leung, T., & Sircar, R. (2009). Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation. SIAM Journal on Control and Optimization, 48(3), 1422–1451. https://doi.org/10.1137/080718930

A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options

SSRN Electronic Journal / Jan 01, 2019

Leung, T., & Zhou, Y. (2019). A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3396205

Accounting for Risk Aversion in Derivatives Purchase Timing

SSRN Electronic Journal / Jan 01, 2012

Leung, T. S.-T., & Ludkovski, M. (2012). Accounting for Risk Aversion in Derivatives Purchase Timing. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1922191

American Step-Up and Step-Down Credit Default Swaps Under Levy Models

SSRN Electronic Journal / Jan 01, 2010

Leung, T. S.-T., & Yamazaki, K. (2010). American Step-Up and Step-Down Credit Default Swaps Under Levy Models. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1731289

An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting

SSRN Electronic Journal / Jan 01, 2014

Leung, T., Yamazaki, K., & Zhang, H. (2014). An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2426430

An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions

SSRN Electronic Journal / Jan 01, 2013

Dahlgren, E., & Leung, T. S. T. (2013). An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2216025

An Optimal Timing Approach to Option Portfolio Risk Management

Advances in Financial Risk Management

Leung, T., & Liu, P. (n.d.). An Optimal Timing Approach to Option Portfolio Risk Management. Advances in Financial Risk Management. https://doi.org/10.1057/9781137025098.0025

Constrained Dynamic Futures Portfolios with Stochastic Basis

SSRN Electronic Journal / Jan 01, 2021

Chen, X., Leung, T., & Zhou, Y. (2021). Constrained Dynamic Futures Portfolios with Stochastic Basis. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3942191

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

SSRN Electronic Journal / Jan 01, 2017

Leung, T. (2017). Dynamic Index Tracking and Risk Exposure Control Using Derivatives. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2976500

Employee Stock Option Valuation under Levy Models

SSRN Electronic Journal / Jan 01, 2013

Leung, T. S. T., & Wan, H. (2013). Employee Stock Option Valuation under Levy Models. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2227170

Employee Stock Options: Accounting for Optimal Hedging, Suboptimal Exercises, and Contractual Restrictions

SSRN Electronic Journal / Jan 01, 2010

Leung, T. (2010). Employee Stock Options: Accounting for Optimal Hedging, Suboptimal Exercises, and Contractual Restrictions. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1290404

Energy-Frequency Spectrum for Financial Time Series via Complementary Ensemble EMD

SSRN Electronic Journal / Jan 01, 2020

Leung, T., & Zhao, Z. (2020). Energy-Frequency Spectrum for Financial Time Series via Complementary Ensemble EMD. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3573243

Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs

SSRN Electronic Journal / Jan 01, 2010

Leung, T. S.-T. (2010). Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1694887

Fast and Precautious: Order Controls for Trade Execution

SSRN Electronic Journal / Jan 01, 2017

Bulthuis, B. M., Concha, J., & Leung, T. (2017). Fast and Precautious: Order Controls for Trade Execution. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2977667

Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning

SSRN Electronic Journal / Jan 01, 2020

Leung, T., & Zhao, Z. (2020). Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3595914

Forward Indifference Valuation of American Options

SSRN Electronic Journal / Jan 01, 2011

Leung, T. S.-T., Sircar, R., & Zariphopoulou, T. (2011). Forward Indifference Valuation of American Options. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1587057

Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets

SSRN Electronic Journal / Jan 01, 2011

Leung, T. S. T., Song, Q., & Yang, J. (2011). Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2292771

Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims

SSRN Electronic Journal / Jan 01, 2013

Kim, J., & Leung, T. S. T. (2013). Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2364641

Implied Volatility of Leveraged ETF Options

SSRN Electronic Journal / Jan 01, 2012

Leung, T. S.-T., & Sircar, R. (2012). Implied Volatility of Leveraged ETF Options. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2164518

Leveraged ETF Implied Volatilities from ETF Dynamics

SSRN Electronic Journal / Jan 01, 2014

Leung, T., Lorig, M., & Pascucci, A. (2014). Leveraged ETF Implied Volatilities from ETF Dynamics. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2429900

Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach

SSRN Electronic Journal / Jan 01, 2016

Leung, T., & Park, H. (2016). Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2879976

Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties

SSRN Electronic Journal / Jan 01, 2013

Leung, T. S. T., & Shirai, Y. (2013). Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2361506

Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework

SSRN Electronic Journal / Jan 01, 2021

Leung, T., & Zhou, Y. (2021). Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3905578

Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework

SSRN Electronic Journal / Jan 01, 2019

Leung, T., & Zhou, Y. (2019). Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3469721

Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model

SSRN Electronic Journal / Jan 01, 2020

Leung, T., & Zhou, Y. (2020). Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3692142

Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty

SSRN Electronic Journal / Jan 01, 2016

Bulthuis, B. M., Concha, J., & Leung, T. (2016). Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2758418

Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

SSRN Electronic Journal / Jan 01, 2016

Kitapbayev, Y., & Leung, T. (2016). Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2889826

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models

SSRN Electronic Journal / Jan 01, 2014

Leung, T., Yamazaki, K., & Zhang, H. (2014). Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2395256

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

SSRN Electronic Journal / Jan 01, 2014

Leung, T., Li, X., & Wang, Z. (2014). Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2493492

Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs

SSRN Electronic Journal / Jan 01, 2014

Leung, T., Li, X., & Wang, Z. (2014). Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2503440

Optimal Static Quadratic Hedging

SSRN Electronic Journal / Jan 01, 2015

Leung, T., & Lorig, M. (2015). Optimal Static Quadratic Hedging. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2615156

Optimal Timing for Mean Reversion Trading

SSRN Electronic Journal / Jan 01, 2013

Leung, T. S. T., & Li, X. (2013). Optimal Timing for Mean Reversion Trading. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2222196

Optimal Trading of a Basket of Futures Contracts

SSRN Electronic Journal / Jan 01, 2019

Angoshtari, B., & Leung, T. (2019). Optimal Trading of a Basket of Futures Contracts. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3467897

Optimal Trading with a Trailing Stop

SSRN Electronic Journal / Jan 01, 2017

Leung, T., & Zhang, H. (2017). Optimal Trading with a Trailing Stop. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2895437

Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach

SSRN Electronic Journal / Jan 01, 2013

Kim, J., & Leung, T. (2013). Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2355177

RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES

International Journal of Theoretical and Applied Finance / Dec 01, 2012

LEUNG, T., & LIU, P. (2012). RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES. International Journal of Theoretical and Applied Finance, 15(08), 1250059. https://doi.org/10.1142/s0219024912500598

Risk Premia and Optimal Liquidation of Defaultable Securities

SSRN Electronic Journal / Jan 01, 2011

Leung, T. S.-T., & Liu, P. (2011). Risk Premia and Optimal Liquidation of Defaultable Securities. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1942348

Speculative Futures Trading Under Mean Reversion

SSRN Electronic Journal / Jan 01, 2015

Leung, T., Li, J., Li, X., & Wang, Z. (2015). Speculative Futures Trading Under Mean Reversion. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2695405

Timing Options for a Startup with Early Termination and Competition Risks

SSRN Electronic Journal / Jan 01, 2016

Leung, T., & Li, Z. (2016). Timing Options for a Startup with Early Termination and Competition Risks. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2715888

Tracking VIX with VIX Futures: Portfolio Construction and Performance

SSRN Electronic Journal / Jan 01, 2019

Leung, T., & Ward, B. (2019). Tracking VIX with VIX Futures: Portfolio Construction and Performance. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3412132

Understanding the Non-Convergence of Agricultural Futures Via Stochastic Storage Costs and Timing Options

SSRN Electronic Journal / Jan 01, 2016

Guo, K., & Leung, T. (2016). Understanding the Non-Convergence of Agricultural Futures Via Stochastic Storage Costs and Timing Options. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2860882

Understanding the Tracking Errors of Commodity Leveraged ETFs

SSRN Electronic Journal / Jan 01, 2014

Guo, K., & Leung, T. (2014). Understanding the Tracking Errors of Commodity Leveraged ETFs. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2389411

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 / 2016Present

Columbia University

Assistant Professor / 20112016

Johns Hopkins University

Assistant Professor / 20082011

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