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Leung, Tim


 SSRN Author Rank: 4,056 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/
 email address

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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
6,534
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.  
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of Pages in PDF File: 26
Leung, Tim
Columbia University
Li, Xin
Columbia University
Posted:
23 Feb 13
Last Revised:
27 Apr 15
1,612
(5,907)
 

2.  
Implied Volatility of Leveraged ETF Options | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, Forthcoming
Number of Pages in PDF File: 25
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
20 Oct 12
Last Revised:
27 Sep 14
600
(27,347)
3

3.   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
486
(36,135)
15

4.  
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs | Show Abstract | Download This Paper | Open PDF in Browser |
Studies in Economics and Finance, vol 32, issue 3, pp.278 - 297, 2015
Number of Pages in PDF File: 20
Leung, Tim
Columbia University
Ward, Brian
Columbia University
Posted:
20 Aug 14
Last Revised:
01 Aug 15
401
(45,997)
 

5.  
Guo, Kevin
Columbia University
Leung, Tim
Columbia University
Posted:
03 Feb 14
Last Revised:
03 Jan 15
377
(49,624)
1

6.  
Forward Indifference Valuation of American Options | Show Abstract | Download This Paper | Open PDF in Browser |
Stochastics: An International Journal of Probability and Stochastic Processes, 84(5-6): 741-770, 2012
Number of Pages in PDF File: 30
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:
27 Jan 15
275
(71,498)
2

7.  
Optimal Timing to Purchase Options | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, Vol. 2, No. 1, pp. 768-793, 2011
Number of Pages in PDF File: 24
Leung, Tim
Columbia University
Ludkovski, Michael
University of California, Santa Barbara
Posted:
23 Aug 10
Last Revised:
12 Jan 12
260
(75,860)
3

8.  
ESO Valuation with Job Termination Risk and Jumps in Stock Price | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, Forthcoming
Number of Pages in PDF File: 28
Leung, Tim
Columbia University
Wan, Haohua
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
03 Mar 13
Last Revised:
01 Aug 15
245
(80,882)
 

9.  
Credit Derivatives and Risk Aversion | Show Abstract | Download This Paper | Open PDF in Browser |
Advances in Econometrics Year: 2008, Vol. 22, pp. 275 - 291, 2008
Number of Pages in PDF File: 15
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
201
(99,020)
6

10.  
Accounting for Earnings Announcements in the Pricing of Equity Options | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Engineering, vol. 1, no.4, pp.1-46, 2014
Number of Pages in PDF File: 36
Leung, Tim
Columbia University
Santoli, Marco
Columbia University
Posted:
05 Jul 14
Last Revised:
08 Apr 15
192
(103,421)
 

11.  
Exponential Hedging with Optimal Stopping and Application to ESO Valuation | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Control and Optimization, Vol. 48, p. 1422, 2009
Number of Pages in PDF File: 28
Leung, Tim
Columbia University
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
26 Mar 08
Last Revised:
12 Mar 10
182
(108,780)
5

12.  
Accounting for Risk Aversion in Derivatives Purchase Timing | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematics & Financial Economics, 2012
Number of Pages in PDF File: 24
Leung, Tim
Columbia University
Ludkovski, Michael
University of California, Santa Barbara
Posted:
05 Sep 11
Last Revised:
05 Mar 12
162
(120,787)
2

13.  
Leung, Tim
Columbia University
Lorig, Matthew
University of Washington - Applied Mathematics
Pascucci, Andrea
University of Bologna - Department of Mathematics
Posted:
28 Apr 14
Last Revised:
08 Apr 15
155
(125,539)
 

14.  
Leveraged ETFs: Admissible Leverage and Risk Horizon | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Investment Strategies, 2(1): pp.39-61, 2012
Number of Pages in PDF File: 21
Leung, Tim
Columbia University
Santoli, Marco
Columbia University
Posted:
07 Nov 12
Last Revised:
27 Jan 15
151
(128,412)
 

15.  
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Engineering, vol. 2, issue 1, 2015
Number of Pages in PDF File: 25
Leung, Tim
Columbia University
Shirai, Yoshihiro
Columbia University
Posted:
30 Nov 13
Last Revised:
29 Mar 15
140
(136,834)
1

16.  
Dahlgren, Eric
Columbia University
Leung, Tim
Columbia University
Posted:
13 Feb 13
Last Revised:
04 Feb 15
126
(149,124)
1

17.  
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
14 Feb 14
Last Revised:
28 May 15
125
(150,053)
1

18.  
Leung, Tim
Columbia University
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
10 Sep 14
Last Revised:
01 Aug 15
122
(152,816)
 

19.  
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach | Show Abstract | Download This Paper | Open PDF in Browser |
European Journal of Operations Research, 2015, Forthcoming
Number of Pages in PDF File: 28
Kim, Jinbeom
Barclays
Leung, Tim
Columbia University
Posted:
16 Nov 13
Last Revised:
23 Jun 15
107
(168,379)
 

20.  
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Posted:
26 Dec 10
Last Revised:
27 Jan 15
106
(169,526)
3

21.  
An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, 2015
Number of Pages in PDF File: 30
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
19 Apr 14
Last Revised:
01 Jun 15
93
(185,475)
 

22.  
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:
27 Jan 15
67
(225,671)
 

23.  
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs | Show Abstract | Download This Paper | Open PDF in Browser |
Risk and Decision Analysis, Volume 5, Number 2-3, pp.149-161, 2014
Number of Pages in PDF File: 20
Leung, Tim
Columbia University
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
01 Oct 14
Last Revised:
15 Dec 14
62
(235,254)
 

24.  
Kim, Jinbeom
Barclays
Leung, Tim
Columbia University
Posted:
08 Dec 13
Last Revised:
19 Dec 13
61
(237,245)
 

25.  
Leung, Tim
Columbia University
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
07 Jun 15
52
(256,149)
 

26.  
Risk Premia and Optimal Liquidation of Credit Derivatives | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Forthcoming
Number of Pages in PDF File: 30
Leung, Tim
Columbia University
Liu, Peng
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
13 Oct 11
Last Revised:
30 Sep 12
50
(260,764)
1

27.  
Stochastic Modeling and Fair Valuation of Drawdown Insurance | Show Abstract | Download This Paper | Open PDF in Browser |
Insurance: Mathematics and Economics, Forthcoming
Number of Pages in PDF File: 25
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
36
(297,204)
 

28.  
Default Swap Games Driven by Spectrally Negative Levy Processes | Show Abstract | Download This Paper | Open PDF in Browser |
Stochastic Processes & their Applications, 123(2): 347-384, 2013.
Number of Pages in PDF File: 33
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Egami, Masahiko
Kyoto University
Posted:
26 Feb 12
Last Revised:
08 Jan 13
30
(316,073)
1

29.  
Leung, Tim
Columbia University
Song, Qingshuo
City University of Hong Kong (CityUHK)
Yang, Jie
University of Illinois at Chicago
Posted:
12 Jul 13
25
(335,227)
1

30.  
Sequential Static-Dynamic Hedging for Long-Term Derivatives | Show Abstract | Download This Paper | Open PDF in Browser |
Procedia Computer Science, Volume 9, 2012, pp.1211-1218
Number of Pages in PDF File: 8
Leung, Tim
Columbia University
Posted:
28 Mar 13
Last Revised:
16 Apr 14
21
(352,468)
 

31.  
A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance | Show Abstract | Download This Paper | Open PDF in Browser |
Proceedings of the 49th IEEE Conference on Decision and Control, 2010
Number of Pages in PDF File: 8
Leung, Tim
Columbia University
Posted:
23 Aug 10
Last Revised:
06 Feb 15
12
(393,633)
 


Records 1 - 31 of 31 matches
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