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Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty

Bulthuis, Brian; Concha, Julio; Leung, Tim; Ward, Brian - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-29

Persistent link: https://www.econbiz.de/10011777847

Optimal Mean Reversion Trading : Mathematical Analysis and Practical Applications

Leung, Tim - 2019

This book provides a systematic study on the optimal timing of trades in markets with mean-reverting price dynamics. We present a financial engineering approach that distills the core mathematical questions from different trading problems, and also incorporates the practical aspects of trading,...

Persistent link: https://www.econbiz.de/10012903969

Robust long-term growth rate of expected utility for leveraged ETFs

Leung, Tim; Park, Hyungbin; Yeo, Heejun - In: Mathematics and financial economics 18 (2024) 4, pp. 671-705

Persistent link: https://www.econbiz.de/10015189218

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

Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870

Persistent link: https://www.econbiz.de/10010190872

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

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

Leung, Tim; Li, Xin; Wang, Zheng - In: Risk and decision analysis 5 (2014) 2/3, pp. 149-161

Persistent link: https://www.econbiz.de/10011285058

Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options

Leung, Tim; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 99-128

Persistent link: https://www.econbiz.de/10003818394

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

Optimal mean reversion trading with transaction costs and stop-loss exit

Leung, Tim; Li, Xin - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011403754