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Yang Zhou

University of Washington - Department of Applied Math

Lewis Hall 305

Department of Applied Math

Seattle, WA 98195-2420

United States

  • University of Washington - Department of Applied Math

SCHOLARLY PAPERS

5

DOWNLOADS

1,302

TOTAL CITATIONS

4

Scholarly Papers (5)

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1.

Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework

International Journal of Financial Engineering, Vol. 6, No. 4, p.1950034, 2019
Number of pages: 23 Posted: 23 Oct 2019 Last Revised: 02 Mar 2020
Tim Leung and Yang Zhou
University of Washington and University of Washington - Department of Applied Math
Downloads 361 (205,787)
Citation 3

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futures trading, regime switching, portfolio optimization

2.

Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework

International Journal of Theoretical and Applied Finance, Vol. 24, No. 5, p.2150028, 2021
Number of pages: 28 Posted: 17 Aug 2021 Last Revised: 06 Oct 2021
Tim Leung, Raphael Yan and Yang Zhou
University of Washington, BlackRock, Inc and University of Washington - Department of Applied Math
Downloads 359 (207,676)
Citation 1

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futures pricing, futures trading, multifactor model

3.

Constrained Dynamic Futures Portfolios with Stochastic Basis

Number of pages: 32 Posted: 14 Oct 2021
Xiaodong Chen, Tim Leung and Yang Zhou
affiliation not provided to SSRN, University of Washington and University of Washington - Department of Applied Math
Downloads 270 (281,617)

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futures portfolio, futures basis, portfolio constraints, utility maximization

4.

Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model

Number of pages: 6 Posted: 03 Nov 2020 Last Revised: 25 Feb 2021
Tim Leung and Yang Zhou
University of Washington and University of Washington - Department of Applied Math
Downloads 156 (477,517)

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futures trading, portfolio optimization

5.

A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 26 Posted: 13 Jun 2019 Last Revised: 13 Apr 2020
Tim Leung and Yang Zhou
University of Washington and University of Washington - Department of Applied Math
Downloads 156 (477,517)

Abstract:

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employee stock option, Fourier transform, maturity randomization, implied maturity