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Publications

by alumni of

Princeton University → Department of Operations Research and Financial Engineering (ORFE)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2025

  1. Tim Leung & Kevin W. Lu, 2025, "Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics," Papers, arXiv.org, number 2507.11480, Jul, revised Feb 2026.

2024

  1. Tim Leung & Matthew Lorig & Yoshihiro Shirai, 2024, "Optimal positioning in derivative securities in incomplete markets," Papers, arXiv.org, number 2403.00139, Feb.
  2. Tim Leung & Matthew Lorig, 2024, "Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery," Papers, arXiv.org, number 2409.14193, Sep.

2023

  1. Tim Leung & Kevin W. Lu, 2023, "Monte Carlo Simulation for Trading Under a L\'evy-Driven Mean-Reverting Framework," Papers, arXiv.org, number 2309.05512, Sep, revised Feb 2024.
  2. Tim Leung & Hyungbin Park & Heejun Yeo, 2023, "Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs," Papers, arXiv.org, number 2310.02084, Oct.

2021

  1. Tim Leung & Yang Zhou, 2021, "Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model," Papers, arXiv.org, number 2102.12601, Feb.
  2. Tim Leung & Theodore Zhao, 2021, "Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices," Papers, arXiv.org, number 2105.08133, May.
  3. Tim Leung & Theodore Zhao, 2021, "Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning," Papers, arXiv.org, number 2105.10871, May.

2019

  1. Tim Leung & Yang Zhou, 2019, "A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options," Papers, arXiv.org, number 1906.03562, Jun, revised Sep 2019.
  2. Tim Leung & Brian Ward, 2019, "Tracking VIX with VIX Futures: Portfolio Construction and Performance," Papers, arXiv.org, number 1907.00293, Jun.
  3. Bahman Angoshtari & Tim Leung, 2019, "Optimal Trading of a Basket of Futures Contracts," Papers, arXiv.org, number 1910.04943, Oct.
  4. Tim Leung & Yang Zhou, 2019, "Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework," Papers, arXiv.org, number 1910.06432, Oct.

2018

  1. Jize Zhang & Tim Leung & Aleksandr Y. Aravkin, 2018, "Mean Reverting Portfolios via Penalized OU-Likelihood Estimation," Papers, arXiv.org, number 1803.06460, Mar.
  2. Bahman Angoshtari & Tim Leung, 2018, "Optimal Dynamic Basis Trading," Papers, arXiv.org, number 1809.05961, Sep, revised May 2019.
  3. Jize Zhang & Tim Leung & Aleksandr Aravkin, 2018, "A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization," Papers, arXiv.org, number 1810.10563, Oct.
  4. Tim Leung & Raphael Yan, 2018, "A Stochastic Control Approach to Managed Futures Portfolios," Papers, arXiv.org, number 1811.01916, Nov.

2017

  1. Tim Leung & Yerkin Kitapbayev, 2017, "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers, arXiv.org, number 1701.00875, Jan, revised Jan 2017.
  2. Tim Leung & Hongzhong Zhang, 2017, "Optimal Trading with a Trailing Stop," Papers, arXiv.org, number 1701.03960, Jan, revised Mar 2019.
  3. Tim Leung & Brian Ward, 2017, "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers, arXiv.org, number 1705.10454, May.
  4. Yerkin Kitapbayev & Tim Leung, 2017, "Mean Reversion Trading with Sequential Deadlines and Transaction Costs," Papers, arXiv.org, number 1707.03498, Jul, revised Jan 2018.
  5. Tim Leung & Jiao Li & Xin Li, 2017, "Optimal Timing to Trade Along a Randomized Brownian Bridge," Papers, arXiv.org, number 1801.00372, Dec, revised Aug 2018.

2016

  1. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016, "Speculative Futures Trading under Mean Reversion," Papers, arXiv.org, number 1601.04210, Jan.
  2. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2016, "Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty," Papers, arXiv.org, number 1604.04963, Apr, revised Apr 2017.
  3. Tim Leung & Zheng Wang, 2016, "Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics," Papers, arXiv.org, number 1610.08143, Oct.
  4. Kevin Guo & Tim Leung, 2016, "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers, arXiv.org, number 1610.09403, Oct, revised Apr 2017.
  5. Kevin Guo & Tim Leung, 2016, "Understanding the Tracking Errors of Commodity Leveraged ETFs," Papers, arXiv.org, number 1610.09404, Oct.
  6. Tim Leung & Jamie Kang, 2016, "Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies," Papers, arXiv.org, number 1611.03110, Oct.
  7. Tim Leung & Hyungbin Park, 2016, "Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach," Papers, arXiv.org, number 1612.01013, Dec.

2015

  1. Tim Leung & Brian Ward, 2015, "The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs," Papers, arXiv.org, number 1501.02276, Jan, revised Jan 2015.
  2. Jinbeom Kim & Tim Leung, 2015, "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers, arXiv.org, number 1501.06221, Jan.
  3. Tim Leung & Yoshihiro Shirai, 2015, "Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties," Papers, arXiv.org, number 1502.00358, Feb.
  4. Eric Dahlgren & Tim Leung, 2015, "An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions," Papers, arXiv.org, number 1502.00861, Feb.
  5. Tim Leung & Xin Li & Zheng Wang, 2015, "Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs," Papers, arXiv.org, number 1504.04682, Apr.
  6. Tim Leung & Haohua Wan, 2015, "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers, arXiv.org, number 1504.08073, Apr.
  7. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015, "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers, arXiv.org, number 1505.07313, May.
  8. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015, "An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting," Papers, arXiv.org, number 1505.07705, May.
  9. Tim Leung & Matthew Lorig, 2015, "Optimal Static Quadratic Hedging," Papers, arXiv.org, number 1506.02074, Jun, revised Nov 2015.

2014

  1. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014, "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers, arXiv.org, number 1404.6792, Apr, revised Apr 2015.
  2. Tim Leung & Xin Li, 2014, "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers, arXiv.org, number 1411.5062, Nov, revised May 2015.
  3. Tim Leung & Xin Li & Zheng Wang, 2014, "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers, arXiv.org, number 1411.6080, Nov.
  4. Tim Leung & Marco Santoli, 2014, "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers, arXiv.org, number 1412.8414, Dec, revised Apr 2015.

2013

  1. Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013, "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers, arXiv.org, number 1310.3860, Oct.

2011

  1. Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki, 2011, "Default Swap Games Driven by Spectrally Negative Levy Processes," Papers, arXiv.org, number 1105.0238, May, revised Sep 2012.
  2. Tim Leung & Qingshuo Song & Jie Yang, 2011, "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers, arXiv.org, number 1109.5316, Sep, revised Mar 2013.
  3. Tim Leung & Peng Liu, 2011, "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers, arXiv.org, number 1110.0220, Oct, revised Oct 2012.

2010

  1. Tim Leung & Michael Ludkovski, 2010, "Optimal Timing to Purchase Options," Papers, arXiv.org, number 1008.3650, Aug, revised Apr 2011.
  2. Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010, "American Step-Up and Step-Down Default Swaps under Levy Models," Papers, arXiv.org, number 1012.3234, Dec, revised Sep 2012.
  3. S. Sheng & C.Y. Wong & Léopold Lessassy & K. Lai & T. Leung & Bao Yang, 2010, "Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management," Post-Print, HAL, number hal-02108777, May.

Journal articles

2025

  1. Qihui Feng & Kiseop Lee & Tim Leung, 2025, "A flexible regime-switching framework for foreign exchange dynamics," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 42, issue 4, pages 631-645, March, DOI: 10.1108/SEF-08-2024-0510.

2024

  1. Tim Leung & Theodore Zhao, 2024, "A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices," Mathematics, MDPI, volume 12, issue 6, pages 1-21, March.

2023

  1. Kiseop Lee & Tim Leung & Boming Ning, 2023, "A Diversification Framework for Multiple Pairs Trading Strategies," Risks, MDPI, volume 11, issue 5, pages 1-18, May.
  2. Tim Leung & Theodore Zhao, 2023, "Multiscale Volatility Analysis for Noisy High-Frequency Prices," Risks, MDPI, volume 11, issue 7, pages 1-20, June.
  3. Tim Leung & Kevin W. Lu, 2023, "Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework," Applied Mathematical Finance, Taylor & Francis Journals, volume 30, issue 4, pages 207-230, July, DOI: 10.1080/1350486X.2024.2316139.

2022

  1. Xiaodong Chen & Tim Leung & Yang Zhou, 2022, "Constrained dynamic futures portfolios with stochastic basis," Annals of Finance, Springer, volume 18, issue 1, pages 1-33, March, DOI: 10.1007/s10436-021-00398-0.
  2. Tim Leung & Theodore Zhao, 2022, "Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 9, issue 01, pages 1-23, March, DOI: 10.1142/S2424786321410085.

2021

  1. Tim Leung & Theodore Zhao, 2021, "Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics," JRFM, MDPI, volume 14, issue 10, pages 1-22, October.
  2. Tim Leung & Raphael Yan & Yang Zhou, 2021, "Optimal Dynamic Futures Portfolio Under A Multifactor Gaussian Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 24, issue 05, pages 1-27, August, DOI: 10.1142/S021902492150028X.

2020

  1. Bahman Angoshtari & Tim Leung, 2020, "Optimal trading of a basket of futures contracts," Annals of Finance, Springer, volume 16, issue 2, pages 253-280, June, DOI: 10.1007/s10436-019-00357-w.
  2. Donovan Lee & Tim Leung, 2020, "On the efficacy of optimized exit rule for mean reversion trading," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 03, pages 1-20, September, DOI: 10.1142/S2424786320500243.
  3. Tim Leung & Yang Zhou, 2020, "A Top-Down Approach For The Multiple Exercises And Valuation Of Employee Stock Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 23, issue 02, pages 1-29, March, DOI: 10.1142/S0219024920500041.

2019

  1. Tim Leung & Hung Nguyen, 2019, "Constructing cointegrated cryptocurrency portfolios for statistical arbitrage," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 36, issue 4, pages 581-599, September, DOI: 10.1108/SEF-08-2018-0264.
  2. Tim Leung & Zheng Wang, 2019, "Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics," Annals of Finance, Springer, volume 15, issue 1, pages 1-28, March, DOI: 10.1007/s10436-018-0336-1.
  3. Bahman Angoshtari & Tim Leung, 2019, "Optimal dynamic basis trading," Annals of Finance, Springer, volume 15, issue 3, pages 307-335, September, DOI: 10.1007/s10436-019-00348-x.
  4. Tim Leung & Raphael Yan, 2019, "A stochastic control approach to managed futures portfolios," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-22, March, DOI: 10.1142/S2424786319500051.
  5. Kevin Guo & Tim Leung & Brian Ward, 2019, "How to mine gold without digging," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-30, March, DOI: 10.1142/S2424786319500099.
  6. Tim Leung & Yang Zhou, 2019, "Optimal dynamic futures portfolio in a regime-switching market framework," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 04, pages 1-27, December, DOI: 10.1142/S2424786319500348.
  7. Ryan Donnelly & Tim Leung, 2019, "Effort Expenditure For Cash Flow In A Mean-Field Equilibrium," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 04, pages 1-23, June, DOI: 10.1142/S0219024919500146.

2018

  1. Tim Leung & Jiao Li & Xin Li, 2018, "Optimal Timing to Trade along a Randomized Brownian Bridge," IJFS, MDPI, volume 6, issue 3, pages 1-23, August.
  2. Tim Leung & Brian Ward, 2018, "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, volume 25, issue 2, pages 180-212, March, DOI: 10.1080/1350486X.2018.1507750.
  3. Tim Leung & Raphael Yan, 2018, "Optimal dynamic pairs trading of futures under a two-factor mean-reverting model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 03, pages 1-23, September, DOI: 10.1142/S2424786318500275.
  4. Yerkin Kitapbayev & Tim Leung, 2018, "Mean Reversion Trading With Sequential Deadlines And Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 21, issue 01, pages 1-22, February, DOI: 10.1142/S0219024918500048.

2017

  1. Tim Leung & Matthew Lorig & Andrea Pascucci, 2017, "Leveraged Etf Implied Volatilities From Etf Dynamics," Mathematical Finance, Wiley Blackwell, volume 27, issue 4, pages 1035-1068, October.
  2. Guo, Kevin & Leung, Tim, 2017, "Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options," Journal of Commodity Markets, Elsevier, volume 6, issue C, pages 32-49, DOI: 10.1016/j.jcomm.2017.04.001.
  3. Jamie Kang & Tim Leung, 2017, "Asynchronous ADRs: overnight vs intraday returns and trading strategies," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 4, pages 580-596, October, DOI: 10.1108/SEF-10-2016-0254.
  4. Yerkin Kitapbayev & Tim Leung, 2017, "Optimal mean-reverting spread trading: nonlinear integral equation approach," Annals of Finance, Springer, volume 13, issue 2, pages 181-203, May, DOI: 10.1007/s10436-017-0295-y.
  5. Brian Bulthuis & Julio Concha & Tim Leung & Brian Ward, 2017, "Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 02n03, pages 1-29, June, DOI: 10.1142/S2424786317500207.
  6. Tim Leung & Hyungbin Park, 2017, "LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 20, issue 06, pages 1-33, September, DOI: 10.1142/S0219024917500376.

2016

  1. Kim, Jinbeom & Leung, Tim, 2016, "Pricing derivatives with counterparty risk and collateralization: A fixed point approach," European Journal of Operational Research, Elsevier, volume 249, issue 2, pages 525-539, DOI: 10.1016/j.ejor.2015.06.055.
  2. Owen Williams, 2016, "Foreign currency exposure within country exchange traded funds," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 2, pages 222-243, June, DOI: 10.1108/SEF-10-2014-0196.
  3. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016, "Speculative Futures Trading under Mean Reversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 23, issue 4, pages 281-304, December, DOI: 10.1007/s10690-016-9215-9.
  4. Jinbeom Kim & Tim Leung, 2016, "Impact of risk aversion and belief heterogeneity on trading of defaultable claims," Annals of Operations Research, Springer, volume 243, issue 1, pages 117-146, August, DOI: 10.1007/s10479-013-1524-z.
  5. Tim Leung & Matthew Lorig, 2016, "Optimal static quadratic hedging," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 9, pages 1341-1355, September, DOI: 10.1080/14697688.2016.1161229.

2015

  1. Dahlgren, Eric & Leung, Tim, 2015, "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 251-267, DOI: 10.1016/j.jedc.2015.02.001.
  2. Tim Leung & Brian Ward, 2015, "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 32, issue 3, pages 278-297, August, DOI: 10.1108/SEF-01-2015-0009.
  3. Tim Leung & Ronnie Sircar, 2015, "Implied Volatility of Leveraged ETF Options," Applied Mathematical Finance, Taylor & Francis Journals, volume 22, issue 2, pages 162-188, April, DOI: 10.1080/1350486X.2014.975825.
  4. Tim Leung & Xin Li, 2015, "Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 03, pages 1-31, DOI: 10.1142/S021902491550020X.
  5. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015, "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 18, issue 05, pages 1-31, DOI: 10.1142/S0219024915500326.
  6. Tim Leung & Yoshihiro Shirai, 2015, "Optimal derivative liquidation timing under path-dependent risk penalties," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 01, pages 1-32, DOI: 10.1142/S234576861550004X.

2014

  1. Tim Leung & Marco Santoli, 2014, "Accounting for earnings announcements in the pricing of equity options," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 04, pages 1-46, DOI: 10.1142/S2345768614500317.

2013

  1. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013, "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, volume 53, issue 3, pages 840-850, DOI: 10.1016/j.insmatheco.2013.10.006.
  2. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013, "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, volume 123, issue 2, pages 347-384, DOI: 10.1016/j.spa.2012.09.008.
  3. Tim Leung & Qingshuo Song & Jie Yang, 2013, "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, volume 17, issue 4, pages 839-870, October, DOI: 10.1007/s00780-013-0213-8.
  4. Tim Leung & Kazutoshi Yamazaki, 2013, "American step-up and step-down default swaps under L�vy models," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 1, pages 137-157, January, DOI: 10.1080/14697688.2012.730624.

2012

  1. 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., volume 15, issue 08, pages 1-34, DOI: 10.1142/S0219024912500598.

2009

  1. 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, volume 19, issue 1, pages 99-128, January, DOI: 10.1111/j.1467-9965.2008.00359.x.

Books

2024

  1. Tim Leung & Hyungbin Park & Heejun Yeo, 2024, "Robust long-term growth rate of expected utility for leveraged ETFs," Mathematics and Financial Economics, Springer, number 5, March, DOI: 10.1007/s11579-024-00371-1.
  2. Tim Leung & Yang Zhou, 2024, "Stochastic Control Approach to Futures Trading," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 13579, ISBN: ARRAY(0x7c21a160).

2021

  1. Tim Leung, 2021, "Employee Stock Options:Exercise Timing, Hedging, and Valuation," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10437, ISBN: ARRAY(0x77adea60).

2016

  1. Tim Leung & Xin Li, 2016, "Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9839, ISBN: ARRAY(0x77e3db70).

Chapters

2020

  1. Tim Leung & Brian Ward, 2020, "Tracking VIX with VIX Futures: Portfolio Construction and Performance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: John B Guerard & William T Ziemba, "HANDBOOK OF APPLIED INVESTMENT RESEARCH".

2016

  1. Tim Leung & Xin Li, 2016, "Introduction," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  2. Tim Leung & Xin Li, 2016, "Trading Under the Ornstein-Uhlenbeck Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  3. Tim Leung & Xin Li, 2016, "Trading Under the Exponential OU Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  4. Tim Leung & Xin Li, 2016, "Trading Under the CIR Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  5. Tim Leung & Xin Li, 2016, "Futures Trading Under Mean Reversion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  6. Tim Leung & Xin Li, 2016, "Optimal Liquidation of Options," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".
  7. Tim Leung & Xin Li, 2016, "Trading Credit Derivatives," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, "Optimal Mean Reversion Trading Mathematical Analysis and Practical Applications".

2013

  1. Tim Leung & Peng Liu, 2013, "An Optimal Timing Approach to Option Portfolio Risk Management," Palgrave Macmillan Books, Palgrave Macmillan, chapter 17, in: Jonathan A. Batten & Peter MacKay & Niklas Wagner, "Advances in Financial Risk Management", DOI: 10.1057/9781137025098_17.

2008

  1. Tim Leung & Ronnie Sircar & Thaleia Zariphopoulou, 2008, "Credit derivatives and risk aversion," Advances in Econometrics, Emerald Group Publishing Limited, "Econometrics and Risk Management", DOI: 10.1016/S0731-9053(08)22011-6.

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