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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
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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
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Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389
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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
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Accounting for risk aversion in derivatives purchase timing
Leung, Tim; Ludkovski, Mike - In: Mathematics and financial economics 6 (2012) 4, pp. 363-386
Persistent link: https://www.econbiz.de/10009623554
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Risk premia and optimal liquidation of credit derivatives
Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
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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
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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
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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