Tim Leung

According to our database, Tim Leung authored at least 17 papers between 2007 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model.

Tim Leung, Yang Zhou

Proceedings of the 2021 American Control Conference, 2021

2020

Special Issue on AI and FinTech: The Challenge Ahead.

Longbing Cao, George Yuan, Tim Leung, Wei Zhang

IEEE Intell. Syst., 2020

Sparse mean-reverting portfolios via penalized likelihood optimization.

Jize Zhang, Tim Leung, Aleksandr Y. Aravkin

Autom., 2020

A Stochastic Control Approach to Futures Trading with Regime Switching.

Tim Leung, Yang Zhou

Proceedings of the 2020 American Control Conference, 2020

2019

A Relaxed Optimization Approach for Cardinality-Constrained Portfolios.

Jize Zhang, Tim Leung, Aleksandr Y. Aravkin

Proceedings of the 17th European Control Conference, 2019

2018

Mean Reverting Portfolios via Penalized OU-Likelihood Estimation.

Jize Zhang, Tim Leung, Aleksandr Y. Aravkin

Proceedings of the 57th IEEE Conference on Decision and Control, 2018

2017

Timing options for a startup with early termination and competition risks.

Tim Leung, Zongxi Li

Risk Decis. Anal., 2017

2016

Pricing derivatives with counterparty risk and collateralization: A fixed point approach.

Jinbeom Kim, Tim Leung

Eur. J. Oper. Res., 2016

Impact of risk aversion and belief heterogeneity on trading of defaultable claims.

Jinbeom Kim, Tim Leung

Ann. Oper. Res., 2016

2015

ESO Valuation with Job Termination Risk and Jumps in Stock Price.

Tim Leung, Haohua Wan

SIAM J. Financial Math., 2015

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models.

Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang

SIAM J. Control. Optim., 2015

2014

Optimal starting-stopping and switching of a CIR process with fixed costs.

Tim Leung, Xin Li, Zheng Wang

Risk Decis. Anal., 2014

2013

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.

Tim Leung, Qingshuo Song, Jie Yang

Finance Stochastics, 2013

2012

Sequential static-Dynamic Hedging for Long-term Derivatives.

Tim Leung

Proceedings of the International Conference on Computational Science, 2012

2011

Optimal Timing to Purchase Options.

Tim Leung, Mike Ludkovski

SIAM J. Financial Math., 2011

2009

Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation.

Tim Leung, Ronnie Sircar

SIAM J. Control. Optim., 2009

2007

The Carroll-Hung method for component reliability mapping in aircraft maintenance.

Tim Leung, Tom Carroll, May Hung, Albert Tsang, Walter Chung

Qual. Reliab. Eng. Int., 2007