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Tim Leung

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This is information that was supplied by Tim Leung in registering through RePEc. If you are Tim Leung , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Tim
Middle Name:
Last Name: Leung
Suffix:

RePEc Short-ID: ple640

Email: [This author has chosen not to make the email address public]
Homepage: https://sites.google.com/site/timleungresearch/
Postal Address: Rm. 312, S. W. Mudd Building 500 West 120th Street MC4704 New York, NY 10027
Phone:

Affiliation

Columbia University, Industrial Engineering and Operations Research Department (Columbia University)
Homepage: http://www.ieor.columbia.edu/
Location: New York City

Works

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Working papers

  1. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org.
  2. Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013. "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers 1310.3860, arXiv.org.
  3. Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316, arXiv.org, revised Mar 2013.
  4. Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220, arXiv.org, revised Oct 2012.
  5. Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki, 2011. "Default Swap Games Driven by Spectrally Negative Levy Processes," Papers 1105.0238, arXiv.org, revised Sep 2012.
  6. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  7. Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234, arXiv.org, revised Sep 2012.

Articles

  1. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013. "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(2), pages 347-384.
  2. Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, Springer, vol. 17(4), pages 839-870, October.
  3. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
  4. Tim Leung & Kazutoshi Yamazaki, 2013. "American step-up and step-down default swaps under Lévy models," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(1), pages 137-157, January.
  5. Tim Leung & Peng Liu, 2012. "Risk Premia And Optimal Liquidation Of Credit Derivatives," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250059-1-1.
  6. Tim Leung & Ronnie Sircar, 2009. "Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 19(1), pages 99-128.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2010-12-23
  2. NEP-CMP: Computational Economics (2) 2010-12-23 2011-05-14. Author is listed
  3. NEP-IAS: Insurance Economics (1) 2013-10-25
  4. NEP-RMG: Risk Management (1) 2010-12-23

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