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Leung, Tim


 SSRN Author Rank: 5,876 by Downloads
 Assistant Professor
 

Columbia University


 312 S.W. Mudd Building
 500 West 120th Street
 New York, NY 10027
 United States
 HOME PAGE: http://www.columbia.edu/~tl2497/
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. Leung, Tim's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
4,345
Total
Citations
46
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Leung, Tim
Columbia University
Li, Xin
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
23 Feb 13
Last Revised:
03 Oct 14
863
(14,254)
 

2.   Incl. Electronic Paper
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
10 Nov 06
Last Revised:
25 Jul 11
469
(33,599)
15

3.  
Implied Volatility of Leveraged ETF Options | Show Abstract | Download |
Applied Mathematical Finance, Forthcoming
Accepted Paper Series
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
20 Oct 12
Last Revised:
27 Sep 14
415
(39,185)
3

4.  
Forward Indifference Valuation of American Options | Show Abstract | Download |
Stochastics: An International Journal of Probability and Stochastic Processes, Forthcoming DOI:10.1080/17442508.2012.694438
Accepted Paper Series
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Zariphopoulou, Thaleia
University of Texas at Austin - Red McCombs School of Business
Posted:
10 Apr 10
Last Revised:
07 Sep 12
256
(68,988)
2

5.  
Optimal Timing to Purchase Options | Show Abstract | Download |
SIAM Journal on Financial Mathematics, Vol. 2, No. 1, pp. 768-793, 2011
Accepted Paper Series
Leung, Tim
Columbia University
Ludkovski, Michael
University of California, Santa Barbara
Posted:
23 Aug 10
Last Revised:
12 Jan 12
245
(72,387)
3

6.  
Leung, Tim
Columbia University
Ward, Brian
Columbia University
Posted:
20 Aug 14
Last Revised:
03 Oct 14
243
(73,614)
 

7.  
Credit Derivatives and Risk Aversion | Show Abstract | Download |
Advances in Econometrics Year: 2008, Vol. 22, pp. 275 - 291, 2008
Accepted Paper Series
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Zariphopoulou, Thaleia
University of Texas at Austin - Red McCombs School of Business
Posted:
04 Jul 09
194
(91,876)
6

8.  
Guo, Kevin
Columbia University
Leung, Tim
Columbia University
Posted:
03 Feb 14
Last Revised:
04 Jul 14
186
(95,626)
1

9.  
Leung, Tim
Columbia University
Wan, Haohua
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
03 Mar 13
Last Revised:
21 Sep 13
180
(98,575)
 

10.  
Exponential Hedging with Optimal Stopping and Application to ESO Valuation | Show Abstract | Download |
SIAM Journal on Control and Optimization, Vol. 48, p. 1422, 2009
Accepted Paper Series
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
26 Mar 08
Last Revised:
12 Mar 10
172
(102,816)
5

11.  
Accounting for Risk Aversion in Derivatives Purchase Timing | Show Abstract | Download |
Mathematics & Financial Economics, 2012
Accepted Paper Series
Leung, Tim
Columbia University
Ludkovski, Michael
University of California, Santa Barbara
Posted:
05 Sep 11
Last Revised:
05 Mar 12
156
(112,394)
2

12.  
Leveraged ETFs: Admissible Leverage and Risk Horizon | Show Abstract | Download |
Journal of Investment Strategies, 2(1): pp.39-61, 2012
Accepted Paper Series
Leung, Tim
Columbia University
Santoli, Marco
Columbia University
Posted:
07 Nov 12
Last Revised:
08 Jan 13
125
(135,256)
 

13.  
American Step-Up and Step-Down Credit Default Swaps Under Levy Models | Show Abstract | Download |
Quantitative Finance, 2012, Forthcoming
Accepted Paper Series
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Posted:
26 Dec 10
Last Revised:
01 Oct 12
96
(163,905)
3

14.  
Dahlgren, Eric
Columbia University
Leung, Tim
Columbia University
Posted:
13 Feb 13
95
(165,058)
1

15.  
Leung, Tim
Columbia University
Shirai, Yoshihiro
Columbia University
Posted:
30 Nov 13
Last Revised:
05 Jul 14
85
(177,371)
1

16.  
Accounting for Earnings Announcements in the Pricing of Equity Options | Show Abstract | Download |
Journal of Financial Engineering, 2014 Forthcoming
Accepted Paper Series
Leung, Tim
Columbia University
Santoli, Marco
Columbia University
Posted:
05 Jul 14
Last Revised:
15 Oct 14
83
(179,976)
 

17.  
Leung, Tim
Columbia University
Lorig, Matthew
Applied Mathematics, University of Washington
Pascucci, Andrea
University of Bologna - Department of Mathematics
Posted:
28 Apr 14
70
(199,199)
 

18.  
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
14 Feb 14
Last Revised:
16 Feb 14
66
(205,671)
1

19.  
Leung, Tim
Columbia University
Song, Qingshuo
City University of Hong Kong (CityUHK)
Yang, Jie
University of Illinois at Chicago
Posted:
27 Mar 13
Last Revised:
01 Apr 13
60
(216,027)
 

20.  
Kim, Jinbeom
Columbia University
Leung, Tim
Columbia University
Posted:
16 Nov 13
56
(223,590)
 

21.  
Risk Premia and Optimal Liquidation of Credit Derivatives | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Forthcoming
Accepted Paper Series
Leung, Tim
Columbia University
Liu, Peng
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
13 Oct 11
Last Revised:
30 Sep 12
43
(251,179)
1

22.  
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
19 Apr 14
37
(265,800)
 

23.  
Leung, Tim
Columbia University
Li, Xin
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Wang, Zheng
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
10 Sep 14
33
(276,655)
 

24.  
Kim, Jinbeom
Columbia University
Leung, Tim
Columbia University
Posted:
08 Dec 13
Last Revised:
19 Dec 13
33
(276,655)
 

25.  
Stochastic Modeling and Fair Valuation of Drawdown Insurance | Show Abstract | Download |
Insurance: Mathematics and Economics, Forthcoming
Accepted Paper Series
Zhang, Hongzhong
Columbia University - Department of Statistics
Leung, Tim
Columbia University
Hadjiliadis, Olympia
CUNY - The Graduate Center
Posted:
28 Mar 13
Last Revised:
15 Oct 13
25
(303,132)
 

26.  
Default Swap Games Driven by Spectrally Negative Levy Processes | Show Abstract | Download |
Stochastic Processes & their Applications, 123(2): 347-384, 2013.
Accepted Paper Series
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Egami, Masahiko
Kyoto University
Posted:
26 Feb 12
Last Revised:
08 Jan 13
24
(306,910)
1

27.  
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs | Show Abstract | Download |
Risk and Decision Analysis, Forthcoming
Accepted Paper Series
Leung, Tim
Columbia University
Li, Xin
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Wang, Zheng
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
01 Oct 14
Last Revised:
14 Oct 14
16
(340,004)
 

28.  
Leung, Tim
Columbia University
Song, Qingshuo
City University of Hong Kong (CityUHK)
Yang, Jie
University of Illinois at Chicago
Posted:
12 Jul 13
12
(357,338)
1

29.  
Sequential Static-Dynamic Hedging for Long-Term Derivatives | Show Abstract | Download |
Procedia Computer Science, Volume 9, 2012, pp.1211-1218
Accepted Paper Series
Leung, Tim
Columbia University
Posted:
28 Mar 13
Last Revised:
16 Apr 14
7
(378,244)
 

30.  
A Markov-Modulated Stochastic Control Problem with Optimal Stopping with Application to Finance | Show Abstract |
Proceedings of the 49th IEEE Conference on Decision and Control, 2010
Accepted Paper Series
Leung, Tim
Columbia University
Posted:
23 Aug 10
Last Revised:
25 Jul 11
 


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