Tim Dulaney

Securities and Exchange Commission

Senior Financial Analyst

100 F Street, NW

Washington, DC 20549-1105

United States

  • Securities and Exchange Commission

SCHOLARLY PAPERS

12

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2,932

SSRN CITATIONS
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Top 40,352

in Total Papers Citations

7

CROSSREF CITATIONS

14

Scholarly Papers (12)

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1.

Robust Portfolio Optimization with Value-At-Risk Adjusted Sharpe Ratio

Journal of Asset Management, 14(5):293-305, 2013
Number of pages: 22 Posted: 13 Sep 2012 Last Revised: 18 Jan 2014
Geng Deng, Tim Dulaney, Craig J. McCann and Olivia Wang
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation & Consulting Group
Downloads 622 (75,215)
Citation 4

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Sharpe Ratio, Robust Portfolio Optimization, Value-at-Risk

2.

Leveraged, Inverse, and Futures-Based ETFs

PIABA Bar Journal, Vol 19, No 1 (2012)
Number of pages: 26 Posted: 18 Oct 2012
Tim Dulaney, Tim Husson and Craig J. McCann
Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 522 (93,603)
Citation 1

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Leveraged, Inverse Leveraged, ETF, Futures-Based, Commodities, Roll yield, Contango, Backwardation

3.

Structured Product Based Variable Annuities

The Journal of Retirement (Winter 2014) Vol. 1, No. 3, pp. 97-111 DOI: 10.3905/jor.2014.1.3.097
Number of pages: 21 Posted: 01 May 2012 Last Revised: 01 Feb 2014
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 365 (142,131)
Citation 1

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annuity, variable annuity, structured product, hybrid annuity, retirement,

4.

Structured Certificates of Deposit: Introduction and Valuation

Financial Services Review, Vol. 23, No. 3, 219-237, 2014
Number of pages: 22 Posted: 01 Aug 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 321 (163,249)
Citation 2

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Market-linked CDs, Certificate of Deposit, Equity-linked CDs, Derivatives, Structured Products, Valuation, Contingent Interest CDs, FDIC Insurance, Securities

5.

Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options

Journal of Derivatives and Hedge Funds, 19, 278-294, 2014
Number of pages: 23 Posted: 18 Dec 2012 Last Revised: 29 Apr 2017
Geng Deng, Tim Dulaney, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 202 (258,057)

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Volatility Smile, Volatility Skew, Leveraged ETF, Inverse ETF, Options

6.

Isolating the Effect of Day-Count Conventions on the Market Value of Interest Rate Swaps

Number of pages: 12 Posted: 01 May 2012 Last Revised: 26 Dec 2012
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 193 (268,886)
Citation 1

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Day-Count Convention, Interest Rate Swaps

7.

Optimizing Portfolio Liquidation Under Risk-Based Margin Requirements

Journal of Finance and Investment Analysis, 2013, Vol 2, No 1, 121-153
Number of pages: 27 Posted: 07 Apr 2012 Last Revised: 01 Aug 2013
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 183 (281,843)

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Portfolio Margin, Liquidation

8.

Efficient Valuation of Equity-Indexed Annuities Under Lévy Processes Using Fourier-Cosine Series

Journal of Computational Finance, 21(2), 1-27, September 2017
Number of pages: 24 Posted: 16 Feb 2014 Last Revised: 25 Mar 2019
Geng Deng, Tim Dulaney, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 162 (313,098)
Citation 4

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EIA, Lévy process, Fourier Method

9.

Valuation of Reverse Convertibles in the Variance Gamma Economy

Journal of Derivatives and Hedge Funds, 19, 244-258, 2014
Number of pages: 20 Posted: 01 Mar 2012 Last Revised: 22 Feb 2014
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 128 (377,942)
Citation 3

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Stochastic Volatility, Reverse Convertibles, Structured Products, Variance Gamma Model

10.

Dual Directional Structured Products

Journal of Derivatives & Hedge Funds, Vol. 20, 99-112, 2014
Number of pages: 17 Posted: 11 May 2012 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney, Tim Husson and Craig J. McCann
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 126 (382,486)
Citation 1

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Structured Products, Straddle, Dual Directional, Valuation

11.

Modeling a Risk-Based Criterion for a Portfolio with Options

Downloads 108 (428,324)

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, 16(6), 77-100, 2014
Number of pages: 23 Posted: 17 Dec 2013 Last Revised: 06 Nov 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
Downloads 108 (430,734)

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Portfolio Margin, Optioned Portfolio, Portfolio Selection

Modeling a Risk-Based Criterion for a Portfolio with Options

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 24 Posted: 09 Jun 2016
Geng Deng, Tim Dulaney and Craig J. McCann
Wells Fargo, Securities and Exchange Commission and Securities Litigation and Consulting Group
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risk-based criterion, options, expected loss

12.

Ex-Post Structured Product Returns: Index Methodology and Analysis

Journal of Investing, Vol. 24, No. 2, 2015, https://doi.org/10.3905/joi.2015.24.2.045
Posted: 21 May 2019
Geng Deng, Tim Dulaney, Tim Husson, Craig J. McCann and Mike Yan
Wells Fargo, Securities and Exchange Commission, Securities and Exchange Commission, Securities Litigation and Consulting Group and Securities Litigation and Consulting Group
Downloads 0 (1,060,134)

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structured products, index, valuation, finance, mispricing