Feedback to SSRN

 
  • Selected
  • Entire List
 

Leung, Tim


 SSRN Author Rank: 4,579 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

  SSRN's personal information usage policy
Authors: If anything on this page requires updating or correction, please go to your SSRN User HeadQuarters and make the change.
The RSS feed for this author will notify you of all new papers and revisions as soon as they are added to the SSRN eLibrary.
Popular RSS readers
. Leung, Tim's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
5,689
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 |
International Journal of Theoretical and Applied Finance, 2015
Number of Pages in PDF File: 26
Leung, Tim
Columbia University
Li, Xin
Columbia University
Posted:
23 Feb 13
Last Revised:
15 Dec 14
1,340
(7,710)
 

2.  
Implied Volatility of Leveraged ETF Options | Show Abstract | Download This Paper |
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
528
(31,205)
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
479
(35,117)
15

4.  
The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs | Show Abstract | Download This Paper |
Studies in Economics and Finance, vol 32, issue 3, 2015
Number of Pages in PDF File: 20
Leung, Tim
Columbia University
Ward, Brian
Columbia University
Posted:
20 Aug 14
Last Revised:
29 Mar 15
347
(52,608)
 

5.  
Guo, Kevin
Columbia University
Leung, Tim
Columbia University
Posted:
03 Feb 14
Last Revised:
03 Jan 15
298
(62,594)
1

6.  
Forward Indifference Valuation of American Options | Show Abstract | Download This Paper |
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
265
(71,171)
2

7.  
Optimal Timing to Purchase Options | Show Abstract | Download This Paper |
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
252
(75,115)
3

8.  
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
206
(92,590)
 

9.  
Credit Derivatives and Risk Aversion | Show Abstract | Download This Paper |
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
199
(96,369)
6

10.  
Exponential Hedging with Optimal Stopping and Application to ESO Valuation | Show Abstract | Download This Paper |
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
177
(107,015)
5

11.  
Accounting for Risk Aversion in Derivatives Purchase Timing | Show Abstract | Download This Paper |
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
(115,965)
2

12.  
Accounting for Earnings Announcements in the Pricing of Equity Options | Show Abstract | Download This Paper |
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
160
(117,272)
 

13.  
Leveraged ETFs: Admissible Leverage and Risk Horizon | Show Abstract | Download This Paper |
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
141
(130,677)
 

14.  
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
130
(140,601)
 

15.  
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties | Show Abstract | Download This Paper |
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
128
(141,488)
1

16.  
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions | Show Abstract | Download This Paper |
Journal of Economic Dynamics and Control, 2015
Number of Pages in PDF File: 27
Dahlgren, Eric
Columbia University
Leung, Tim
Columbia University
Posted:
13 Feb 13
Last Revised:
04 Feb 15
122
(146,870)
1

17.  
American Step-Up and Step-Down Credit Default Swaps Under Levy Models | Show Abstract | Download This Paper |
Quantitative Finance, 13(1): 137-157, 2013
Number of Pages in PDF File: 36
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Posted:
26 Dec 10
Last Revised:
27 Jan 15
102
(167,474)
3

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
95
(175,753)
1

19.  
Leung, Tim
Columbia University
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
10 Sep 14
Last Revised:
18 Apr 15
94
(177,011)
 

20.  
Kim, Jinbeom
Barclays
Leung, Tim
Columbia University
Posted:
16 Nov 13
Last Revised:
26 Jan 15
79
(197,526)
 

21.  
Leung, Tim
Columbia University
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
19 Apr 14
68
(215,344)
 

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
63
(224,289)
 

23.  
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs | Show Abstract | Download This Paper |
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
54
(242,122)
 

24.  
Kim, Jinbeom
Barclays
Leung, Tim
Columbia University
Posted:
08 Dec 13
Last Revised:
19 Dec 13
51
(248,570)
 

25.  
Risk Premia and Optimal Liquidation of Credit Derivatives | Show Abstract | Download This Paper |
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
45
(262,292)
1

26.  
Stochastic Modeling and Fair Valuation of Drawdown Insurance | Show Abstract | Download This Paper |
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
33
(294,671)
 

27.  
Default Swap Games Driven by Spectrally Negative Levy Processes | Show Abstract | Download This Paper |
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
(304,161)
1

28.  
Leung, Tim
Columbia University
Song, Qingshuo
City University of Hong Kong (CityUHK)
Yang, Jie
University of Illinois at Chicago
Posted:
12 Jul 13
21
(339,526)
1

29.  
Sequential Static-Dynamic Hedging for Long-Term Derivatives | Show Abstract | Download This Paper |
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
14
(370,417)
 

30.  
A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance | Show Abstract | Download This Paper |
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
6
(405,542)
 


Records 1 - 30 of 30 matches
[ 1 ]

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.469 seconds