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Pricing derivatives with counterparty risk and collateralization : a fixed point approach

Kim, Jinbeom; Leung, Tim - In: European journal of operational research : EJOR 249 (2016) 2, pp. 525-539

Persistent link: https://www.econbiz.de/10011436733

Constrained dynamic futures portfolios with stochastic basis

Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10013194629

Optimal trading of a basket of futures contracts

Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280

Persistent link: https://www.econbiz.de/10012496334

Speculative futures trading under mean reversion

Leung, Tim; Li, Jiao; Li, Xin; Wang, Zheng - In: Asia-Pacific financial markets 23 (2016) 4, pp. 281-304

Persistent link: https://www.econbiz.de/10011619949

Dynamic index tracking and risk exposure control using derivatives

Leung, Tim; Ward, Brian - In: Applied mathematical finance 25 (2018) 1/2, pp. 180-212

Persistent link: https://www.econbiz.de/10011959128

Optimal dynamic futures portfolio in a regime-switching market framework

Leung, Tim; Zhou, Yang - In: International journal of financial engineering 6 (2019) 4, pp. 1-27

Persistent link: https://www.econbiz.de/10012314525

Chapter 19 Derivatives

Whaley, Robert E. - 2003

The area of derivatives is arguably the most fascinating area within financial economics during the past thirty years. This chapter reviews the evolution of derivatives contract markets and derivatives research over the past thirty years. The chapter has six complementary sections. The first...

Persistent link: https://www.econbiz.de/10014023852