Publications (33)
Optimal Dynamic Basis Trading
Bahman Angoshtari, Tim Leung
Tracking VIX with VIX Futures: Portfolio Construction and Performance
Tim Leung, Brian Ward
Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options
Kevin Guo, Tim Leung
Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Tim Leung, Brian Ward
A Stochastic Control Approach to Managed Futures Portfolios
Tim Leung, Raphael Yan
Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit
Tim Leung, Xin Li
Optimal Trading with a Trailing Stop
Tim Leung, Hongzhong Zhang
Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty
Brian Bulthuis, Julio Concha, Tim Leung +1
Speculative Futures Trading under Mean Reversion
Tim Leung, Jiao Li, Xin Li +1
Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach
Tim Leung, Yerkin Kitapbayev
Understanding the Tracking Errors of Commodity Leveraged ETFs
Kevin Guo, Tim Leung
Leveraged {ETF} implied volatilities from {ETF} dynamics
Tim Leung, Matthew Lorig, Andrea Pascucci
Optimal Timing to Purchase Options
Tim Leung, Michael Ludkovski
Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach
Tim Leung, Hyungbin Park
ESO Valuation with Job Termination Risk and Jumps in Stock Price
Tim Leung, Haohua Wan
Risk Premia and Optimal Liquidation of Credit Derivatives
Tim Leung, Peng Liu
A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization
Jize Zhang, Tim Leung, Aleksandr Aravkin
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach
Jinbeom Kim, Tim Leung
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
Stochastic Modeling and Fair Valuation of Drawdown Insurance
Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis
Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties
Tim Leung, Yoshihiro Shirai
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
Jize Zhang, Tim Leung, Aleksandr Y. Aravkin
Timing Options for a Startup with Early Termination and Competition Risks
Tim Leung, Zongxi Li
Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing
Tim Leung, Qingshuo Song, Jie Yang
Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics
Tim Leung, Zheng Wang
Optimal Static Quadratic Hedging
Tim Leung, Matthew Lorig
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies
Tim Leung, Jamie Kang
Optimal Timing to Trade Along a Randomized Brownian Bridge
Tim Leung, Jiao Li, Xin Li
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs
Tim Leung, Xin Li, Zheng Wang
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang
Accounting for Earnings Announcements in the Pricing of Equity Options
Tim Leung, Marco Santoli
Mean Reversion Trading with Sequential Deadlines and Transaction Costs
Yerkin Kitapbayev, Tim Leung