Tim Leung

University of Washington - Department of Applied Math

Boeing Professor of Applied Mathematics, Computational Finance & Risk Management Program Director

Lewis Hall 217

Department of Applied Math

Seattle, WA 98195

United States

http://faculty.washington.edu/timleung/

SCHOLARLY PAPERS

65

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91

CROSSREF CITATIONS

126

Scholarly Papers (65)

1.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Tim Leung and Xin Li
University of Washington - Department of Applied Math and Columbia University
Downloads 3,197 (3,810)
Citation 11

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optimal double stopping, mean reversion trading, Ornstein-Uhlenbeck process, stop-loss

2.

Implied Volatility of Leveraged ETF Options

Applied Mathematical Finance, vol. 22, issue 2, pp.162-188, 2015
Number of pages: 25 Posted: 20 Oct 2012 Last Revised: 26 Oct 2015
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 923 (27,706)
Citation 7

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exchange-traded funds, leverage, implied volatility, stochastic volatility, moneyness scaling

3.

Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage

Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20 Posted: 31 Aug 2018 Last Revised: 12 Nov 2019
Tim Leung and Hung Nguyen
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads 846 (31,367)
Citation 2

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Cryptocurrencies, Cointegration, Mean Reversion, Stationarity, Trading Strategies

4.

Optimal Trading with a Trailing Stop

Applied Mathematics and Optimization, to appear, 2019
Number of pages: 26 Posted: 10 Jan 2017 Last Revised: 21 Feb 2019
Tim Leung and Hongzhong Zhang
University of Washington - Department of Applied Math and Columbia University
Downloads 742 (37,551)
Citation 1

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trailing stop, stop loss, optimal stopping, drawdown, stochastic floor

5.

Understanding the Tracking Errors of Commodity Leveraged ETFs

Commodities, Energy & Environmental Finance, Fields Institute Communications, R. Aid et al. Editors, pp.39-63, Springer, 2015
Number of pages: 22 Posted: 03 Feb 2014 Last Revised: 30 Sep 2015
Kevin Guo and Tim Leung
Columbia University and University of Washington - Department of Applied Math
Downloads 728 (38,428)
Citation 6

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Commodities, ETF, Tracking Error, Effective Fee, Trading Strategies

6.

The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs

Studies in Economics and Finance, vol 32, issue 3, pp.278 - 297, 2015
Number of pages: 20 Posted: 20 Aug 2014 Last Revised: 01 Aug 2015
Tim Leung and Brian Ward
University of Washington - Department of Applied Math and Columbia University
Downloads 629 (46,820)
Citation 7

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gold spot, futures, exchange-traded funds, leveraged ETFs

Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options

Mathematical Finance, Vol. 19, Issue 1, p.99–128, January 2009
Number of pages: 34 Posted: 10 Nov 2006 Last Revised: 25 Jul 2011
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 534 (57,078)

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employee stock options, reaction-diffusion equations, indifference pricing

Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options

Mathematical Finance, Vol. 19, Issue 1, pp. 99-128, January 2009
Number of pages: 30 Posted: 17 Jan 2009
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 5 (713,419)
Citation 2
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8.

Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies

Studies in Economics & Finance, vol 34, issue 4, pp.580-596, 2017
Number of pages: 23 Posted: 25 Oct 2016 Last Revised: 12 Nov 2019
Tim Leung and Jamie Kang
University of Washington - Department of Applied Math and Stanford University
Downloads 455 (70,395)

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American Depositary Receipts, Pairs Trading, Ornstein-Uhlenbeck process

9.

Speculative Futures Trading Under Mean Reversion

Asia-Pacific Financial Markets, pp 1-24, April 2016
Number of pages: 22 Posted: 27 Nov 2015 Last Revised: 29 May 2016
Tim Leung, Jiao Li, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University, Columbia University and Columbia University
Downloads 445 (72,341)
Citation 7

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optimal stopping, mean reversion, futures trading, roll yield, variational inequality

10.

Accounting for Earnings Announcements in the Pricing of Equity Options

Journal of Financial Engineering, vol. 1, no.4, pp.1-46, 2014
Number of pages: 36 Posted: 05 Jul 2014 Last Revised: 08 Apr 2015
Tim Leung and Marco Santoli
University of Washington - Department of Applied Math and Columbia University
Downloads 371 (89,520)

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earnings announcement, equity options, pre-earnings announcement implied volatility

11.

ESO Valuation with Job Termination Risk and Jumps in Stock Price

SIAM Journal on Financial Mathematics, vol. 6, no. 1, pp. 487-516, 2015
Number of pages: 28 Posted: 03 Mar 2013 Last Revised: 26 Oct 2015
Tim Leung and Haohua Wan
University of Washington - Department of Applied Math and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 349 (96,020)
Citation 1

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employee stock option, American option, job termination, Levy processes, Fourier transform

12.

Optimal Timing to Purchase Options

SIAM Journal on Financial Mathematics, Vol. 2, No. 1, pp. 768-793, 2011
Number of pages: 24 Posted: 23 Aug 2010 Last Revised: 12 Jan 2012
Tim Leung and Michael Ludkovski
University of Washington - Department of Applied Math and University of California, Santa Barbara
Downloads 332 (101,543)

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optimal stopping, delayed purchase premium, martingale measures, risk premia

13.

Forward Indifference Valuation of American Options

Stochastics: An International Journal of Probability and Stochastic Processes, 84(5-6): 741-770, 2012
Number of pages: 30 Posted: 10 Apr 2010 Last Revised: 27 Jan 2015
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 315 (107,659)
Citation 3

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Indifference pricing, forward investment performance, American options, employee stock options, utility maximization

14.

Leveraged ETFs: Admissible Leverage and Risk Horizon

Journal of Investment Strategies, 2(1): pp.39-61, 2012
Number of pages: 21 Posted: 07 Nov 2012 Last Revised: 27 Jan 2015
Tim Leung and Marco Santoli
University of Washington - Department of Applied Math and Columbia University
Downloads 310 (109,479)
Citation 2

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leveraged exchange-traded funds, value-at-risk, risk measure, risk horizon

15.

Optimal Dynamic Pairs Trading of Futures Under a Two-Factor Mean-Reverting Model

International Journal of Financial Engineering, Volume 5, Issue 3, p.1850027, 2018
Number of pages: 21 Posted: 21 Aug 2018 Last Revised: 12 Nov 2019
Tim Leung and Raphael Yan
University of Washington - Department of Applied Math and BlackRock, Inc
Downloads 307 (110,671)
Citation 2

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dynamic trading, futures portfolio, mean-reverting model, utility maximization

16.
Downloads 296 (115,166)
Citation 2

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Forthcoming
Number of pages: 32 Posted: 28 Apr 2014 Last Revised: 16 Dec 2015
University of Washington - Department of Applied Math, University of Washington - Applied Mathematics and University of Bologna - Department of Mathematics
Downloads 296 (114,516)

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implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility

Leveraged ETF Implied Volatilities from ETF Dynamics

Mathematical Finance, Vol. 27, Issue 4, pp. 1035-1068, 2017
Number of pages: 34 Posted: 19 Sep 2017
University of Washington - Department of Applied Math, University of Washington - Applied Mathematics and University of Bologna - Department of Mathematics
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implied volatility, local‐stochastic volatility, leveraged exchange‐traded fund, implied volatility scaling

17.

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

Stochastic Models, vol 31, issue 4, 2015
Number of pages: 25 Posted: 10 Sep 2014 Last Revised: 31 Dec 2017
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 284 (120,200)
Citation 6

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optimal double stopping, optimal switching, exponential OU process, transaction costs

18.

Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

Annals of Finance, Volume 13, Issue 2, pp 181–203, May 2017
Number of pages: 23 Posted: 27 Dec 2016 Last Revised: 18 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 245 (140,049)
Citation 3

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spread trading, optimal stopping, OU process, free-boundary problem, local timespace calculus, integral equation

19.

On the Efficacy of Optimized Exit Rule for Mean Reversion Trading

Number of pages: 17 Posted: 08 Jul 2020
Donovan Lee and Tim Leung
Duke University - Mathematics Department and University of Washington - Department of Applied Math
Downloads 238 (143,982)

Abstract:

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pairs trading, mean reversion, optimal exit

20.

Employee Stock Options: Accounting for Optimal Hedging, Suboptimal Exercises, and Contractual Restrictions

Number of pages: 25 Posted: 28 Oct 2008 Last Revised: 18 Dec 2015
Tim Leung
University of Washington - Department of Applied Math
Downloads 237 (144,582)

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employee stock options, American options, risk aversion, reaction-diffusion equations

21.

Exponential Hedging with Optimal Stopping and Application to ESO Valuation

SIAM Journal on Control and Optimization, Vol. 48, p. 1422, 2009
Number of pages: 28 Posted: 26 Mar 2008 Last Revised: 12 Mar 2010
Tim Leung and Ronnie Sircar
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research and Financial Engineering
Downloads 215 (158,594)
Citation 1

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Utility maximization, optimal stopping, employee stock options, static hedging, dynamic hedging, financial mathematics, utility indifference pricing, American options

22.

Credit Derivatives and Risk Aversion

Advances in Econometrics Year: 2008, Vol. 22, pp. 275 - 291, 2008
Number of pages: 15 Posted: 04 Jul 2009
University of Washington - Department of Applied Math, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
Downloads 213 (159,973)
Citation 1

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credit risk, utility maximization, defaultable bonds, indifference price

23.

How to Mine Gold Without Digging

International Journal of Financial Engineering, Vol. 6, No. 1, p.1950009, 2019
Number of pages: 23 Posted: 15 May 2018 Last Revised: 12 Nov 2019
Kevin Guo, Tim Leung and Brian Ward
Columbia University, University of Washington - Department of Applied Math and Columbia University
Downloads 212 (160,654)

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24.

Optimal Static Quadratic Hedging

Quantitative Finance, vol. 16, issue 9, pp.1341-1355, 2016
Number of pages: 33 Posted: 07 Jun 2015 Last Revised: 23 Feb 2019
Tim Leung and Matthew Lorig
University of Washington - Department of Applied Math and University of Washington - Applied Mathematics
Downloads 206 (165,066)
Citation 3

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25.

Mean Reversion Trading with Sequential Deadlines and Transaction Costs

International Journal of Theoretical and Applied FinanceVol. 21, No. 01, 1850004 (2018)
Number of pages: 22 Posted: 06 Jul 2017 Last Revised: 19 Feb 2019
Yerkin Kitapbayev and Tim Leung
North Carolina State University and University of Washington - Department of Applied Math
Downloads 196 (173,036)

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26.

Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty

International Journal of Financial Engineering, Vol. 4, issue 2, p.1750020, 2017
Number of pages: 28 Posted: 05 Apr 2016 Last Revised: 28 Feb 2019
KCG Holdings Inc., KCG Holdings Inc., University of Washington - Department of Applied Math and Columbia University
Downloads 196 (173,036)
Citation 1

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27.

Accounting for Risk Aversion in Derivatives Purchase Timing

Mathematics & Financial Economics, 2012
Number of pages: 24 Posted: 05 Sep 2011 Last Revised: 05 Mar 2012
Tim Leung and Michael Ludkovski
University of Washington - Department of Applied Math and University of California, Santa Barbara
Downloads 191 (177,090)
Citation 1

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sequential purchase timing, indifference pricing, exponential utility, stochastic control with optimal stopping

28.

Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties

Journal of Financial Engineering, vol. 2, issue 1, 2015
Number of pages: 25 Posted: 30 Nov 2013 Last Revised: 29 Mar 2015
Tim Leung and Yoshihiro Shirai
University of Washington - Department of Applied Math and Columbia University
Downloads 180 (186,734)
Citation 3

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optimal liquidation, options, shortfall risk, quadratic risk penalty

29.

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models

SIAM Journal on Control and Optimization, vol. 53, no. 4, pp. 2373–2405, 2015
Number of pages: 25 Posted: 14 Feb 2014 Last Revised: 28 Oct 2015
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 179 (187,704)
Citation 2

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optimal multiple stopping, negative discount rate, random refraction times, Levy processes, stock loan, real option

30.

Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics

Annals of Finance, Volume 15, Issue 1, pp.1–28, 2019
Number of pages: 25 Posted: 30 May 2016 Last Revised: 12 Nov 2019
Tim Leung and Zheng Wang
University of Washington - Department of Applied Math and Columbia University
Downloads 178 (188,613)
Citation 1

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asset sale, risk aversion, certainty equivalent, optimal stopping, variational inequality

31.

Dynamic Index Tracking and Risk Exposure Control Using Derivatives

Applied Mathematical Finance, August 2018
Number of pages: 26 Posted: 30 May 2017 Last Revised: 27 Feb 2019
Tim Leung and Brian Ward
University of Washington - Department of Applied Math and Columbia University
Downloads 167 (199,328)
Citation 1

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slippage, index tracking, exposure control, realized covariance, derivatives trading

32.

Timing Options for a Startup with Early Termination and Competition Risks

Risk & Decision Analysis, Volume 6, Issue 2, pp.151-166, 2017
Number of pages: 20 Posted: 15 Jan 2016 Last Revised: 05 Jun 2017
Tim Leung and Zongxi Li
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 157 (210,024)
Citation 1

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startup, market entry, project abandonment, early termination, competition risk

33.

Explicit Solutions to Optimal Risk-Averse Trading of Defaultable Bonds Under Heterogeneous Beliefs

Number of pages: 27 Posted: 23 Oct 2010 Last Revised: 10 Dec 2015
Tim Leung
University of Washington - Department of Applied Math
Downloads 154 (213,478)
Citation 2

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Optimal Trading, Defaultable Bonds, Utility Indifference Pricing, Heterogeneous Beliefs, Structural Credit Risk

34.

An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions

Journal of Economic Dynamics and Control, Vol. 53, 2015
Number of pages: 27 Posted: 13 Feb 2013 Last Revised: 28 Oct 2015
Eric Dahlgren and Tim Leung
Columbia University and University of Washington - Department of Applied Math
Downloads 152 (215,792)
Citation 3

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optimal multiple stopping, real option, infrastructure investments, lead time, operational flexibility

35.

Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach

European Journal of Operations Research, 2015, Forthcoming
Number of pages: 28 Posted: 16 Nov 2013 Last Revised: 23 Jun 2015
Jinbeom Kim and Tim Leung
Barclays and University of Washington - Department of Applied Math
Downloads 148 (220,487)
Citation 3

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bilateral counterparty risk, collateralization, credit valuation adjustment, fixed point method, contraction mapping

36.

An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting

International Journal of Theoretical and Applied Finance, vol. 18, issue 5, p.1550032, 2015
Number of pages: 30 Posted: 19 Apr 2014 Last Revised: 28 Oct 2015
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 144 (225,472)
Citation 2

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optimal multiple stopping, Levy process, maturity randomization, refraction times, phase-type fitting

37.

Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs

Risk and Decision Analysis, Volume 5, Number 2-3, pp.149-161, 2014
Number of pages: 20 Posted: 01 Oct 2014 Last Revised: 31 Dec 2017
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 137 (234,635)
Citation 9

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optimal starting-stopping, optimal switching, CIR process, confluent hypergeometric functions

38.

Mean Reverting Portfolios via Penalized OU-Likelihood Estimation

In Proceedings of IEEE Conference on Decision and Control (CDC) 2018
Number of pages: 6 Posted: 21 Mar 2018 Last Revised: 18 Feb 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 134 (238,794)
Citation 2

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Mean Reversion, Maximum Likelihood Estimation, Ornstein-Uhlenbeck Process

39.

Tracking VIX with VIX Futures: Portfolio Construction and Performance

Handbook of Applied Investment Research, J. Guerard and W. Ziemba eds., World Scientific Publishing Co, forthcoming, 2020
Number of pages: 22 Posted: 02 Jul 2019 Last Revised: 12 Nov 2019
Tim Leung and Brian Ward
University of Washington - Department of Applied Math and Columbia University
Downloads 125 (253,419)

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futures, volatility, index tracking, exchange-traded funds

Fast and Precautious: Order Controls for Trade Execution

Number of pages: 12 Posted: 04 Jun 2017
KCG Holdings Inc., KCG Holdings Inc., University of Washington - Department of Applied Math and Columbia University
Downloads 117 (265,753)

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Fast and Precautious: Order Controls for Trade Execution

RISK Magazine, April Issue, 2017 https://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-execution
Posted: 04 Jun 2017
KCG Holdings Inc., KCG Holdings Inc., University of Washington - Department of Applied Math and Columbia University
Downloads 5 (713,419)

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41.

American Step-Up and Step-Down Credit Default Swaps Under Levy Models

Quantitative Finance, 13(1): 137-157, 2013
Number of pages: 36 Posted: 26 Dec 2010 Last Revised: 27 Jan 2015
Tim Leung and Kazutoshi Yamazaki
University of Washington - Department of Applied Math and Kansai University - Department of Mathematics
Downloads 120 (259,694)
Citation 3

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Optimal Stopping, Credit Default Swaps, Step-Up and Step-Down Options, Levy Processes, Scale Functions

42.

Optimal Dynamic Basis Trading

Annals of Finance, 15(3):307-335, 2019.
Number of pages: 27 Posted: 10 Oct 2018 Last Revised: 13 Oct 2019
Bahman Angoshtari and Tim Leung
University of Washington and University of Washington - Department of Applied Math
Downloads 102 (291,193)
Citation 4

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Futures, Stochastic Basis, Cash and Carry, Scaled Brownian Bridge, Risk Aversion

43.

Impact of Risk Aversion and Belief Heterogeneity on Trading of Defaultable Claims

Annals of Operation Research, 2014, DOI: 10.1007/s10479-013-1524-z
Number of pages: 30 Posted: 08 Dec 2013 Last Revised: 28 Oct 2015
Jinbeom Kim and Tim Leung
Barclays and University of Washington - Department of Applied Math
Downloads 95 (304,947)

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indifference pricing, heterogeneous beliefs, risk aversion, credit risk, trading volume

44.

A Stochastic Control Approach to Managed Futures Portfolios

International Journal of Financial Engineering, 2019
Number of pages: 20 Posted: 19 Nov 2018 Last Revised: 18 Feb 2019
Tim Leung and Raphael Yan
University of Washington - Department of Applied Math and BlackRock, Inc
Downloads 94 (307,034)
Citation 4

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commodity futures, dynamic portfolios, trading strategies, utility maximization

45.

Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach

International Journal of Theoretical & Applied Finance, Vol. 20, No. 6, 2017
Number of pages: 30 Posted: 06 Dec 2016 Last Revised: 18 Feb 2019
Tim Leung and Hyungbin Park
University of Washington - Department of Applied Math and Seoul National University
Downloads 92 (311,311)

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LETF, Long-Term Growth Rate, Expected Utility

46.

Optimal Trading of a Basket of Futures Contracts

Annals of Finance, 2020
Number of pages: 29 Posted: 22 Oct 2019 Last Revised: 23 Dec 2019
Bahman Angoshtari and Tim Leung
University of Washington and University of Washington - Department of Applied Math
Downloads 85 (326,998)
Citation 1

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futures, stochastic basis, Brownian bridge, utility maximization

47.

Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing

Finance Stochastics, Vol. 17, No. 4, 2013
Number of pages: 34 Posted: 27 Mar 2013 Last Revised: 27 Jan 2015
Tim Leung, Qingshuo Song and Jie Yang
University of Washington - Department of Applied Math, City University of Hong Kong (CityUHK) and University of Illinois at Chicago
Downloads 85 (326,998)

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portfolio optimization, quantile hedging, stochastic benchmark, hypothesis testing, Neyman-Pearson lemma

48.

Understanding the Non-Convergence of Agricultural Futures Via Stochastic Storage Costs and Timing Options

Journal of Commodity Markets (2017)
Number of pages: 29 Posted: 29 Oct 2016 Last Revised: 05 Jun 2017
Kevin Guo and Tim Leung
Columbia University and University of Washington - Department of Applied Math
Downloads 84 (329,427)
Citation 3

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Optimal multiple stopping, storage cost, agricultural futures, mean reversion, non-convergence, basis

49.

An Optimal Timing Approach to Option Portfolio Risk Management

Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios, Palgrave Macmillan, 2013 (ISBN:9781137025081)
Number of pages: 13 Posted: 06 Oct 2015
Tim Leung and Peng Liu
University of Washington - Department of Applied Math and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 83 (331,811)

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option, trading strategies, market timing, optimal stopping

50.

Stochastic Modeling and Fair Valuation of Drawdown Insurance

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 25 Posted: 28 Mar 2013 Last Revised: 15 Oct 2013
Columbia University, University of Washington - Department of Applied Math and CUNY - The Graduate Center
Downloads 79 (341,665)
Citation 1

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drawdown insurance, early cancellation, optimal stopping, default risk

51.

Sparse Mean-Reverting Portfolios Via Penalized Likelihood Optimization

Automatica, Volume 111, 108651, Jan 2020
Number of pages: 10 Posted: 28 Nov 2018 Last Revised: 12 Nov 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 74 (354,774)
Citation 4

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sparse portfolio, maximum likelihood estimation, portfolio optimization, Ornstein-Uhlenbeck process

52.

Risk Premia and Optimal Liquidation of Credit Derivatives

International Journal of Theoretical and Applied Finance, 15(8): 1-34, 2012
Number of pages: 30 Posted: 13 Oct 2011 Last Revised: 28 Oct 2015
Tim Leung and Peng Liu
University of Washington - Department of Applied Math and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 71 (362,884)
Citation 5

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optimal stopping, derivatives liquidation, price discrepancy, default risk premia

53.

Optimal Timing to Trade Along a Randomized Brownian Bridge

Int. J. Financial Stud. 2018, 6(3), 75; DOI: 10.3390/ijfs6030075
Number of pages: 25 Posted: 05 Jan 2018 Last Revised: 19 Feb 2019
Tim Leung, Jiao Li and Xin Li
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 68 (371,495)

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54.

Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets

Number of pages: 8 Posted: 12 Jul 2013
Tim Leung, Qingshuo Song and Jie Yang
University of Washington - Department of Applied Math, City University of Hong Kong (CityUHK) and University of Illinois at Chicago
Downloads 63 (386,479)
Citation 1

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hypothesis testing

55.

Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning

Number of pages: 24 Posted: 05 Jun 2020
Tim Leung and Theodore Zhao
University of Washington - Department of Applied Math and University of Washington, Dept. of Applied Mathematics
Downloads 60 (395,893)
Citation 1

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time series, signal processing, machine learning, support vector machine, long short-term memory, Hilbert-Huang transform, empirical mode decomposition

56.

Effort Expenditure for Cash Flow in a Mean-Field Equilibrium

International Journal of Theoretical & Applied Finance, Vol. 22, No. 04, 1950014, 2019
Number of pages: 22 Posted: 29 Aug 2018 Last Revised: 12 Nov 2019
Ryan Francis Donnelly and Tim Leung
King's College London and University of Washington - Department of Applied Math
Downloads 60 (395,893)

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real options, mean field games, equilibrium, optimal control

57.

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 - Department of Applied Math and University of Washington - Department of Applied Math
Downloads 58 (402,572)

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futures trading, regime switching, portfolio optimization

58.

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 - Department of Applied Math and University of Washington - Department of Applied Math
Downloads 58 (402,572)

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

59.

A Relaxed Optimization Approach for Cardinality-Constrained Portfolios

European Control Conference, Italy 2019
Number of pages: 8 Posted: 16 Nov 2018 Last Revised: 23 Mar 2019
Jize Zhang, Tim Leung and Aleksandr Aravkin
University of Washington, Department of Applied Mathematics, Students, University of Washington - Department of Applied Math and University of Washington - Department of Applied Mathematics
Downloads 50 (430,643)
Citation 1

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portfolio optimization, conditional value at risk, mean variance portfolio, cardinality constraints

60.

Sequential Static-Dynamic Hedging for Long-Term Derivatives

Procedia Computer Science, Volume 9, 2012, pp.1211-1218
Number of pages: 8 Posted: 28 Mar 2013 Last Revised: 16 Apr 2014
Tim Leung
University of Washington - Department of Applied Math
Downloads 47 (442,112)

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portfolio optimization, employee stock options,optimal stopping, Hamilton-Jacobi-Bellman PDE, variational inequality

61.

A Markov-Modulated Stochastic Control Problem with Optimal Multiple Stopping with Application to Finance

Proceedings of the 49th IEEE Conference on Decision and Control, 2010
Number of pages: 8 Posted: 23 Aug 2010 Last Revised: 06 Feb 2015
Tim Leung
University of Washington - Department of Applied Math
Downloads 46 (445,983)
Citation 1

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optimal multiple stopping, indifference pricing, regime switching, American options, entropy minimization

62.

Energy-Frequency Spectrum for Financial Time Series via Complementary Ensemble EMD

Number of pages: 5 Posted: 06 May 2020
Tim Leung and Theodore Zhao
University of Washington - Department of Applied Math and University of Washington, Dept. of Applied Mathematics
Downloads 45 (449,970)

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Empirical Mode Decomposition, Financial Time Series, Energy-Frequency Spectrum

63.

Default Swap Games Driven by Spectrally Negative Levy Processes

Stochastic Processes & their Applications, 123(2): 347-384, 2013.
Number of pages: 33 Posted: 26 Feb 2012 Last Revised: 08 Jan 2013
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Kyoto University
Downloads 38 (479,603)

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optimal stopping games, Nash equilibrium, Levy processes, scale function, default swaps

64.

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

Number of pages: 6
Tim Leung and Yang Zhou
University of Washington - Department of Applied Math and University of Washington - Department of Applied Math
Downloads 9

Abstract:

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futures trading, portfolio optimization

65.

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

World Scientific Publishing Co., Doi.org/10.1142/9839
Posted: 29 Sep 2015 Last Revised: 23 Dec 2019
Tim Leung and Xin Li
University of Washington - Department of Applied Math and Columbia University

Abstract:

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Mean reversion, futures trading, pairs trading, options, credit derivatives, OU process, CIR process