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Tim Leung

Identifiers

  • name variant Tim Leung 0.60 · backfill

Papers (35)

  1. Tracking VIX with VIX Futures: Portfolio Construction and Performance q-fin.RM · 2019 · author #1
  2. A Stochastic Control Approach to Managed Futures Portfolios q-fin.MF · 2018 · author #1
  3. A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization math.OC · 2018 · author #2
  4. Optimal Dynamic Basis Trading q-fin.PM · 2018 · author #2
  5. Mean Reverting Portfolios via Penalized OU-Likelihood Estimation q-fin.PM · 2018 · author #2
  6. Optimal Timing to Trade Along a Randomized Brownian Bridge q-fin.MF · 2017 · author #1
  7. Mean Reversion Trading with Sequential Deadlines and Transaction Costs q-fin.TR · 2017 · author #2
  8. Dynamic Index Tracking and Risk Exposure Control Using Derivatives q-fin.MF · 2017 · author #1
  9. Optimal Trading with a Trailing Stop q-fin.MF · 2017 · author #1
  10. Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach q-fin.TR · 2017 · author #1
  11. Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach q-fin.MF · 2016 · author #1
  12. Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies q-fin.ST · 2016 · author #1
  13. Understanding the Tracking Errors of Commodity Leveraged ETFs q-fin.GN · 2016 · author #2
  14. Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options q-fin.TR · 2016 · author #2
  15. Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics q-fin.MF · 2016 · author #1
  16. Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty q-fin.MF · 2016 · author #3
  17. Speculative Futures Trading under Mean Reversion q-fin.MF · 2016 · author #1
  18. Timing Options for a Startup with Early Termination and Competition Risks math.OC · 2016 · author #1
  19. Optimal Static Quadratic Hedging q-fin.MF · 2015 · author #1
  20. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting q-fin.MF · 2015 · author #1
  21. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models q-fin.MF · 2015 · author #1
  22. ESO Valuation with Job Termination Risk and Jumps in Stock Price q-fin.PR · 2015 · author #1
  23. Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs q-fin.TR · 2015 · author #1
  24. An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions q-fin.EC · 2015 · author #2
  25. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties q-fin.MF · 2015 · author #1
  26. Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach q-fin.PR · 2015 · author #2
  27. The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs q-fin.ST · 2015 · author #1
  28. Accounting for Earnings Announcements in the Pricing of Equity Options q-fin.PR · 2014 · author #1
  29. Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs q-fin.MF · 2014 · author #1
  30. Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit q-fin.TR · 2014 · author #1
  31. Leveraged {ETF} implied volatilities from {ETF} dynamics q-fin.CP · 2014 · author #1
  32. Stochastic Modeling and Fair Valuation of Drawdown Insurance q-fin.PR · 2013 · author #2
  33. Risk Premia and Optimal Liquidation of Credit Derivatives q-fin.PR · 2011 · author #1
  34. Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing q-fin.PM · 2011 · author #1
  35. Optimal Timing to Purchase Options q-fin.PR · 2010 · author #1

Mentions

  • 1310.3860 #2 · backfill · confidence 0.70 Tim Leung
  • 1110.0220 #1 · backfill · confidence 0.70 Tim Leung
  • 1109.5316 #1 · backfill · confidence 0.70 Tim Leung
  • 1008.3650 #1 · backfill · confidence 0.70 Tim Leung

Frequent Coauthors