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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

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

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

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

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 mean reversion trading : mathematical analysis and practical applications

Leung, Tim; Li, Xin; Li, Xin - 2016

Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index