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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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 Mean Reversion Trading / Nov 29, 2015

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

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

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

Optimal Mean Reversion Trading / Nov 29, 2015

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

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

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

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_

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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