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Tim Leung

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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
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  1. Tim Leung & Yoshihiro Shirai, 2015. "Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties," Papers 1502.00358, arXiv.org.
  2. Tim Leung & Brian Ward, 2015. "The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs," Papers 1501.02276, arXiv.org, revised Jan 2015.
  3. Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
  4. Eric Dahlgren & Tim Leung, 2015. "An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions," Papers 1502.00861, arXiv.org.
  5. Tim Leung & Marco Santoli, 2014. "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers 1412.8414, arXiv.org, revised Apr 2015.
  6. Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised Feb 2015.
  7. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792, arXiv.org, revised Apr 2015.
  8. Tim Leung & Xin Li & Zheng Wang, 2014. "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers 1411.6080, arXiv.org.
  9. Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013. "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers 1310.3860, arXiv.org.
  10. 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.
  11. Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220, arXiv.org, revised Oct 2012.
  12. 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.
  13. 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.
  14. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650, arXiv.org, revised Apr 2011.
  1. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013. "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 347-384.
  2. 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.
  3. Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
  4. Tim Leung & Kazutoshi Yamazaki, 2013. "American step-up and step-down default swaps under Lévy models," Quantitative Finance, 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., 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, vol. 19(1), pages 99-128.
11 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
  3. NEP-IAS: Insurance Economics (1) 2013-10-25
  4. NEP-MST: Market Microstructure (1) 2014-12-19
  5. NEP-RMG: Risk Management (2) 2010-12-23 2015-02-11

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