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Leung, Tim's
Scholarly Papers
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Aggregate Statistics |
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Total
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2,304 |
Total
Citations
33 |
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1.
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Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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Posted:
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10 Nov 06
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Last Revised:
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25 Jul 11
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449
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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10 Nov 06
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25 Jul 11
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445
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employee stock options, reaction-diffusion equations, indifference pricing
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2.
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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
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10 Apr 10
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07 Sep 12
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253
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Indifference pricing, forward investment performance, American options, employee stock options, utility maximization
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3.
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Leung, Tim
Columbia University Li, Xin
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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239
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optimal multiple stopping, mean reversion, Ornstein-Uhlenbeck process, CIR process, stop-loss
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4.
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Leung, Tim
Columbia University Ludkovski , Mike
University of California, Santa Barbara
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23 Aug 10
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12 Jan 12
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231
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3
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optimal stopping, delayed purchase premium, martingale measures, risk premia
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5.
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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
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188
(79,505)
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credit risk, utility maximization, defaultable bonds, indifference price
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6.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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26 Mar 08
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Last Revised:
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12 Mar 10
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154
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Utility maximization, optimal stopping, employee stock options, static hedging, dynamic hedging, financial mathematics, utility indifference pricing, American options
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7.
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Leung, Tim
Columbia University Sircar, Ronnie
Princeton University - Department of Operations Research and Financial Engineering
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146
(100,363)
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2
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exchange-traded funds, leverage, implied volatility, stochastic volatility, moneyness scaling
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8.
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Leung, Tim
Columbia University Ludkovski , Mike
University of California, Santa Barbara
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05 Sep 11
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05 Mar 12
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141
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1
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sequential purchase timing, indifference pricing, exponential utility, stochastic control with optimal stopping
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9.
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Leung, Tim
Columbia University
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23 Oct 10
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Last Revised:
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05 Sep 11
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137
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Optimal Trading, Defaultable Bonds, Utility Indifference Pricing, Heterogeneous Beliefs, Structural Credit Risk
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10.
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Leung, Tim
Columbia University Yamazaki, Kazutoshi
Osaka University - Center for the Study of Finance and Insurance
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26 Dec 10
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Last Revised:
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01 Oct 12
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94
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1
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Optimal Stopping, Credit Default Swaps, Step-Up and Step-Down Options, Levy Processes, Scale Functions
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11.
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Leung, Tim
Columbia University Santoli, Marco
Columbia University
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07 Nov 12
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Last Revised:
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08 Jan 13
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81
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leveraged exchange-traded funds, value-at-risk, risk measure, risk horizon
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12.
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Leung, Tim
Columbia University Wan, Haohua
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
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03 Mar 13
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Last Revised:
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11 Mar 13
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59
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employee stock option, American option, job termination, Levy processes, Fourier transform
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13.
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Leung, Tim
Columbia University Song, Qingshuo
City University of Hong Kong Yang, Jie
University of Illinois, Chicago
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27 Mar 13
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Last Revised:
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01 Apr 13
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41
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portfolio optimization, quantile hedging, stochastic benchmark, hypothesis testing, Neyman-Pearson lemma
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14.
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Leung, Tim
Columbia University Liu, Peng
Johns Hopkins University - Department of Applied Mathematics and Statistics
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13 Oct 11
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Last Revised:
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30 Sep 12
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38
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1
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optimal stopping, derivatives liquidation, price discrepancy, default risk premia
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15.
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Dahlgren, Eric
Columbia University Leung, Tim
Columbia University
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32
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optimal multiple stopping, real option, infrastructure investments, lead time, operational flexibility
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16.
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Leung, Tim
Columbia University Yamazaki, Kazutoshi
Osaka University - Center for the Study of Finance and Insurance Egami, Masahiko
Kyoto University
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26 Feb 12
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Last Revised:
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08 Jan 13
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21
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optimal stopping games, Nash equilibrium, Levy processes, scale function, default swaps
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17.
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Leung, Tim
Columbia University Hadjiliadis, Olympia
Graduate Center of CUNY Zhang, Hongzhong
Columbia University - Department of Statistics
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18.
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Leung, Tim
Columbia University
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portfolio optimization, employee stock options,optimal stopping, Hamilton-Jacobi-Bellman PDE, variational inequality
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19.
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Leung, Tim
Columbia University
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23 Aug 10
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Last Revised:
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25 Jul 11
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optimal multiple stopping, indifference pricing, regime switching, American options, entropy minimization
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