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Tim Leung

This is information that was supplied by Tim Leung in registering through RePEc. If you are Tim S.T. 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
RePEc Short-ID:ple640
Tim S.T. Leung Associate Professor Director, Computational Finance & Risk Management (CFRM) program Department of Applied Mathematics University of Washington Lewis Hall #202, Box 353925, Seattle, WA 98195-3925
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  1. Tim Leung & Brian Ward, 2017. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Papers 1705.10454,
  2. Tim Leung & Yerkin Kitapbayev, 2017. "Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach," Papers 1701.00875,, revised Jan 2017.
  3. Tim Leung & Hongzhong Zhang, 2017. "Optimal Trading with a Trailing Stop," Papers 1701.03960,
  4. Tim Leung & Zheng Wang, 2016. "Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics," Papers 1610.08143,
  5. Tim Leung & Jamie Kang, 2016. "Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies," Papers 1611.03110,
  6. Tim Leung & Jiao Li & Xin Li & Zheng Wang, 2016. "Speculative Futures Trading under Mean Reversion," Papers 1601.04210,
  7. 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 1604.04963,, revised Apr 2017.
  8. Kevin Guo & Tim Leung, 2016. "Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options," Papers 1610.09403,, revised Apr 2017.
  9. Tim Leung & Hyungbin Park, 2016. "Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach," Papers 1612.01013,
  10. Kevin Guo & Tim Leung, 2016. "Understanding the Tracking Errors of Commodity Leveraged ETFs," Papers 1610.09404,
  11. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313,
  12. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting," Papers 1505.07705,
  13. Eric Dahlgren & Tim Leung, 2015. "An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions," Papers 1502.00861,
  14. Tim Leung & Matthew Lorig, 2015. "Optimal Static Quadratic Hedging," Papers 1506.02074,, revised Nov 2015.
  15. Tim Leung & Yoshihiro Shirai, 2015. "Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties," Papers 1502.00358,
  16. Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221,
  17. Tim Leung & Brian Ward, 2015. "The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs," Papers 1501.02276,, revised Jan 2015.
  18. Tim Leung & Xin Li & Zheng Wang, 2015. "Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs," Papers 1504.04682,
  19. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073,
  20. Tim Leung & Marco Santoli, 2014. "Accounting for Earnings Announcements in the Pricing of Equity Options," Papers 1412.8414,, revised Apr 2015.
  21. Tim Leung & Matthew Lorig & Andrea Pascucci, 2014. "Leveraged {ETF} implied volatilities from {ETF} dynamics," Papers 1404.6792,, revised Apr 2015.
  22. Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062,, revised May 2015.
  23. Tim Leung & Xin Li & Zheng Wang, 2014. "Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs," Papers 1411.6080,
  24. Hongzhong Zhang & Tim Leung & Olympia Hadjiliadis, 2013. "Stochastic Modeling and Fair Valuation of Drawdown Insurance," Papers 1310.3860,
  25. Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316,, revised Mar 2013.
  26. Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki, 2011. "Default Swap Games Driven by Spectrally Negative Levy Processes," Papers 1105.0238,, revised Sep 2012.
  27. Tim Leung & Peng Liu, 2011. "Risk Premia and Optimal Liquidation of Credit Derivatives," Papers 1110.0220,, revised Oct 2012.
  28. Tim Leung & Michael Ludkovski, 2010. "Optimal Timing to Purchase Options," Papers 1008.3650,, revised Apr 2011.
  29. Tim Siu-Tang Leung & Kazutoshi Yamazaki, 2010. "American Step-Up and Step-Down Default Swaps under Levy Models," Papers 1012.3234,, revised Sep 2012.
  1. 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, vol. 23(4), pages 281-304, December.
  2. Kim, Jinbeom & Leung, Tim, 2016. "Pricing derivatives with counterparty risk and collateralization: A fixed point approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
  3. Owen Williams, 2016. "Foreign currency exposure within country exchange traded funds," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(2), pages 222-243, June.
  4. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(3), pages 278-297, August.
  5. Tim Leung & Ronnie Sircar, 2015. "Implied Volatility of Leveraged ETF Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(2), pages 162-188, April.
  6. 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., vol. 18(03), pages 1-31.
  7. Dahlgren, Eric & Leung, Tim, 2015. "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 251-267.
  8. 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., vol. 18(05), pages 1-31.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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 1-34.
  14. 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.
    RePEc:wsi:ijfexx:v:02:y:2015:i:01:n:s234576861550004x is not listed on IDEAS
    RePEc:wsi:ijfexx:v:01:y:2014:i:04:n:s2345768614500317 is not listed on IDEAS
  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, November.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 25 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (6) 2014-12-19 2016-01-29 2016-04-23 2016-11-20 2017-01-08 2017-01-22. Author is listed
  2. NEP-CMP: Computational Economics (5) 2010-12-23 2011-05-14 2015-05-30 2016-01-29 2017-01-22. Author is listed
  3. NEP-RMG: Risk Management (4) 2010-12-23 2015-02-11 2015-06-13 2017-06-04
  4. NEP-UPT: Utility Models & Prospect Theory (2) 2016-10-30 2016-12-11
  5. NEP-BAN: Banking (1) 2010-12-23
  6. NEP-DCM: Discrete Choice Models (1) 2017-06-04
  7. NEP-FMK: Financial Markets (1) 2015-06-13
  8. NEP-IAS: Insurance Economics (1) 2013-10-25
  9. NEP-SEA: South East Asia (1) 2016-11-20

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