Tim Leung

University of Washington - Department of Applied Math

Associate Professor, CFRM Program Director

Lewis Hall 217

Department of Applied Math

Seattle, WA 98195

United States

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

SCHOLARLY PAPERS

44

DOWNLOADS
Rank 2,850

SSRN RANKINGS

Top 2,850

in Total Papers Downloads

10,055

CITATIONS
Rank 8,669

SSRN RANKINGS

Top 8,669

in Total Papers Citations

52

Scholarly Papers (44)

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 1,669 (4,037)

Abstract:

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 618 (24,497)
Citation 1

Abstract:

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

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 506 (41,684)
Citation 18

Abstract:

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 4 (528,978)
Citation 18

Abstract:

4.

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 409 (40,663)

Abstract:

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

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 395 (36,045)

Abstract:

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

6.

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 277 (80,244)
Citation 2

Abstract:

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

7.

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 262 (84,137)
Citation 4

Abstract:

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

8.

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 251 (79,348)

Abstract:

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

9.

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 202 (117,449)
Citation 7

Abstract:

credit risk, utility maximization, defaultable bonds, indifference price

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 195 (84,792)

Abstract:

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

11.

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 184 (123,634)
Citation 8

Abstract:

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

12.

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 163 (137,467)
Citation 2

Abstract:

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

13.

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 161 (99,055)

Abstract:

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

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 155 (119,121)

Abstract:

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

15.

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 140 (146,425)
Citation 1

Abstract:

optimal liquidation, options, shortfall risk, quadratic risk penalty

16.

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 137 (160,202)
Citation 1

Abstract:

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

17.

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 130 (151,256)
Citation 1

Abstract:

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

18.

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: 01 Aug 2015
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 128 (103,846)

Abstract:

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

19.

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 126 (164,866)
Citation 2

Abstract:

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

20.

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 108 (176,944)

Abstract:

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

21.

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 107 (195,773)
Citation 3

Abstract:

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

22.

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 96 (187,176)

Abstract:

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

23.

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: 28 May 2016
Tim Leung, Xin Li and Zheng Wang
University of Washington - Department of Applied Math, Columbia University and Columbia University
Downloads 67 (200,979)

Abstract:

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

24.

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 67 (258,321)

Abstract:

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

25.

Optimal Static Quadratic Hedging

Number of pages: 33 Posted: 07 Jun 2015 Last Revised: 19 Nov 2015
Tim Leung and Matthew Lorig
University of Washington - Department of Applied Math and University of Washington - Applied Mathematics
Downloads 65 (151,256)

Abstract:

26.

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 61 (239,353)

Abstract:

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

27.

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 50 (296,796)

Abstract:

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

28.

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 36 (321,529)

Abstract:

drawdown insurance, early cancellation, optimal stopping, default risk

29.

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 30 (370,892)
Citation 1

Abstract:

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

30.

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 26 (339,642)
Citation 1

Abstract:

hypothesis testing

31.

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 21 (367,171)

Abstract:

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

32.

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 13 (400,911)

Abstract:

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

33.

Optimal Trading with a Trailing Stop

Number of pages: 26 Posted: 10 Jan 2017
Tim Leung and Hongzhong Zhang
University of Washington - Department of Applied Math and Columbia University
Downloads 0 (215,127)

Abstract:

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

34.

Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach

Number of pages: 22 Posted: 27 Dec 2016
Yerkin Kitapbayev and Tim Leung
Boston University - Questrom School of Business and University of Washington - Department of Applied Math
Downloads 0 (180,216)

Abstract:

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

35.

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

Number of pages: 30 Posted: 06 Dec 2016
Tim Leung and Hyungbin Park
University of Washington - Department of Applied Math and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 0 (310,091)

Abstract:

LETF, Long-Term Growth Rate, Expected Utility

36.

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

Number of pages: 24 Posted: 29 Oct 2016 Last Revised: 06 Nov 2016
Kevin Guo and Tim Leung
Columbia University and University of Washington - Department of Applied Math
Downloads 0 (327,357)

Abstract:

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

37.

Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies

Studies in Economics & Finance, 2016, Forthcoming
Number of pages: 23 Posted: 25 Oct 2016 Last Revised: 08 Nov 2016
Tim Leung and Jamie Juhee Kang
University of Washington - Department of Applied Math and Columbia University
Downloads 0 (161,161)

Abstract:

American Depositary Receipts, Pairs Trading, Ornstein-Uhlenbeck process

38.

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

Number of pages: 25 Posted: 30 May 2016
Tim Leung and Zheng Wang
University of Washington - Department of Applied Math and Columbia University
Downloads 0 (206,502)

Abstract:

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

39.

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

Number of pages: 27 Posted: 05 Apr 2016 Last Revised: 18 Apr 2016
KCG Holdings Inc., KCG Holdings Inc., University of Washington - Department of Applied Math and Columbia University
Downloads 0 (182,458)

Abstract:

40.

Timing Options for a Startup with Early Termination and Competition Risks

Number of pages: 20 Posted: 15 Jan 2016 Last Revised: 12 Jan 2017
Tim Leung and Zongxi Li
University of Washington - Department of Applied Math and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 0 (216,681)

Abstract:

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

41.

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 0 (77,878)

Abstract:

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

42.

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 0 (312,876)

Abstract:

option, trading strategies, market timing, optimal stopping

43.

Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

Modern Trends in Financial Engineering (Book Series), World Scientific/Imperial College Press, Forthcoming
Posted: 29 Sep 2015 Last Revised: 27 Dec 2016
Tim Leung and Xin Li
University of Washington - Department of Applied Math and Columbia University

Abstract:

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

44.

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 0 (110,550)

Abstract:

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