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Tim Leung

SSRN Author Rank: 3,064 by Downloads and 8,714 by Citations

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 Associate Professor
 

University of Washington


 Seattle, WA 98195
 United States
 9253381749 (Phone)
 HOME PAGE: http://faculty.washington.edu/timleung/
 email address

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. Tim Leung's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,930
Total
Citations
51
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
University of Washington
Li, Xin
Columbia University
Posted:
23 Feb 13
Last Revised:
27 Apr 15
1,669
(4,230)
 

2.  
Implied Volatility of Leveraged ETF Options | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015
Number of Pages in PDF File: 25
Leung, Tim
University of Washington
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
20 Oct 12
Last Revised:
26 Oct 15
618
(23,662)
1

3.   Incl. Electronic Paper
Leung, Tim
University of Washington
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
10 Nov 06
Last Revised:
25 Jul 11
502
(39,617)
18

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
University of Washington
Ward, Brian
Columbia University
Posted:
20 Aug 14
Last Revised:
01 Aug 15
409
(39,920)
 

5.  
Understanding the Tracking Errors of Commodity Leveraged ETFs | Show Abstract | Download This Paper | Open PDF in Browser |
Commodities, Energy & Environmental Finance, Fields Institute Communications, R. Aid et al. Editors, pp.39-63, Springer, 2015
Number of Pages in PDF File: 22
Guo, Kevin
Columbia University
Leung, Tim
University of Washington
Posted:
03 Feb 14
Last Revised:
30 Sep 15
395
(37,363)
 

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
University of Washington
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
277
(77,083)
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
University of Washington
Ludkovski, Michael
University of California, Santa Barbara
Posted:
23 Aug 10
Last Revised:
12 Jan 12
262
(79,512)
4

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, vol. 6, no. 1, pp. 487-516, 2015
Number of Pages in PDF File: 28
Leung, Tim
University of Washington
Wan, Haohua
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
03 Mar 13
Last Revised:
26 Oct 15
251
(76,175)
 

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
University of Washington
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
202
(109,336)
7

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
University of Washington
Santoli, Marco
Columbia University
Posted:
05 Jul 14
Last Revised:
08 Apr 15
195
(86,879)
 

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
University of Washington
Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
Posted:
26 Mar 08
Last Revised:
12 Mar 10
184
(116,372)
8

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
University of Washington
Ludkovski, Michael
University of California, Santa Barbara
Posted:
05 Sep 11
Last Revised:
05 Mar 12
163
(131,491)
2

13.  
Leveraged ETF Implied Volatilities from ETF Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematical Finance, Forthcoming
Number of Pages in PDF File: 32
Leung, Tim
University of Washington
Lorig, Matthew
University of Washington - Applied Mathematics
Pascucci, Andrea
University of Bologna - Department of Mathematics
Posted:
28 Apr 14
Last Revised:
16 Dec 15
161
(96,722)
 

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
University of Washington
Santoli, Marco
Columbia University
Posted:
07 Nov 12
Last Revised:
27 Jan 15
155
(122,855)
 

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
University of Washington
Shirai, Yoshihiro
Columbia University
Posted:
30 Nov 13
Last Revised:
29 Mar 15
140
(140,290)
1

16.  
Leung, Tim
University of Washington
Posted:
23 Oct 10
Last Revised:
10 Dec 15
137
(151,023)
1

17.  
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Control and Optimization, vol. 53, no. 4, pp. 2373–2405, 2015 ,
Number of Pages in PDF File: 25
Leung, Tim
University of Washington
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
14 Feb 14
Last Revised:
28 Oct 15
130
(146,702)
1

18.  
Leung, Tim
University of Washington
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
10 Sep 14
Last Revised:
01 Aug 15
128
(105,823)
 

19.  
An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Economic Dynamics and Control, Vol. 53, 2015
Number of Pages in PDF File: 27
Dahlgren, Eric
Columbia University
Leung, Tim
University of Washington
Posted:
13 Feb 13
Last Revised:
28 Oct 15
126
(158,200)
1

20.  
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
University of Washington
Posted:
16 Nov 13
Last Revised:
23 Jun 15
108
(169,102)
 

21.  
Leung, Tim
University of Washington
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Posted:
26 Dec 10
Last Revised:
27 Jan 15
107
(183,543)
3

22.  
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, vol. 18, issue 5, p.1550032, 2015
Number of Pages in PDF File: 30
Leung, Tim
University of Washington
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Zhang, Hongzhong
Columbia University - Department of Statistics
Posted:
19 Apr 14
Last Revised:
28 Oct 15
96
(188,530)
 

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
University of Washington
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
01 Oct 14
Last Revised:
28 May 16
67
(197,662)
 

24.  
Leung, Tim
University of Washington
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
(242,275)
 

25.  
Leung, Tim
University of Washington
Lorig, Matthew
University of Washington - Applied Mathematics
Posted:
07 Jun 15
Last Revised:
19 Nov 15
65
(162,017)
 

26.  
Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims | Show Abstract | Download This Paper | Open PDF in Browser |
Annals of Operation Research, 2014, DOI: 10.1007/s10479-013-1524-z
Number of Pages in PDF File: 30
Kim, Jinbeom
Barclays
Leung, Tim
University of Washington
Posted:
08 Dec 13
Last Revised:
28 Oct 15
61
(236,726)
 

27.  
Risk Premia and Optimal Liquidation of Credit Derivatives | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, 15(8): 1-34, 2012
Number of Pages in PDF File: 30
Leung, Tim
University of Washington
Liu, Peng
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
13 Oct 11
Last Revised:
28 Oct 15
50
(280,771)
 

28.  
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
University of Washington
Hadjiliadis, Olympia
CUNY - The Graduate Center
Posted:
28 Mar 13
Last Revised:
15 Oct 13
36
(306,829)
 

29.  
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
University of Washington
Yamazaki, Kazutoshi
Kansai University - Department of Mathematics
Egami, Masahiko
Kyoto University
Posted:
26 Feb 12
Last Revised:
08 Jan 13
30
(344,242)
1

30.  
Leung, Tim
University of Washington
Song, Qingshuo
City University of Hong Kong (CityUHK)
Yang, Jie
University of Illinois at Chicago
Posted:
12 Jul 13
26
(324,536)
1

31.  
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
University of Washington
Posted:
28 Mar 13
Last Revised:
16 Apr 14
21
(351,688)
 

32.  
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
University of Washington
Posted:
23 Aug 10
Last Revised:
06 Feb 15
13
(386,165)
 

33.  
Leung, Tim
University of Washington
Wang, Zheng
Columbia University
Posted:
30 May 16
0
(275,907)
 

34.  
Bulthuis, Brian M
KCG Holdings Inc.
Concha, Julio
KCG Holdings Inc.
Leung, Tim
University of Washington
Ward, Brian
Columbia University
Posted:
05 Apr 16
Last Revised:
18 Apr 16
0
(246,019)
 

35.  
Leung, Tim
University of Washington
Li, Zongxi
Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Posted:
15 Jan 16
0
(256,123)
 

36.  
Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation | Show Abstract |
SpringerBriefs in Quantitative Finance, Springer, 2016 Forthcoming
Leung, Tim
University of Washington
Santoli, Marco
Columbia University
Posted:
10 Dec 15
 

37.  
Speculative Futures Trading Under Mean Reversion | Show Abstract | Download This Paper | Open PDF in Browser |
Asia-Pacific Financial Markets, pp 1-24, April 2016
Number of Pages in PDF File: 22
Leung, Tim
University of Washington
Li, Jiao
Columbia University
Li, Xin
Columbia University
Wang, Zheng
Columbia University
Posted:
27 Nov 15
Last Revised:
29 May 16
0
(86,879)
 

38.  
An Optimal Timing Approach to Option Portfolio Risk Management | Show Abstract | Download This Paper | Open PDF in Browser |
Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios, Palgrave Macmillan, 2013 (ISBN:9781137025081)
Number of Pages in PDF File: 13
Leung, Tim
University of Washington
Liu, Peng
Johns Hopkins University - Department of Applied Mathematics and Statistics
Posted:
06 Oct 15
0
(306,829)
 

39.  
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications | Show Abstract |
Modern Trends in Financial Engineering (Book Series), World Scientific/Imperial College Press, Forthcoming
Leung, Tim
University of Washington
Li, Xin
Columbia University
Posted:
29 Sep 15
Last Revised:
28 Oct 15
 

40.  
Leung, Tim
University of Washington
Posted:
28 Oct 08
Last Revised:
18 Dec 15
0
(103,389)
 


Records 1 - 40 of 40 matches
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