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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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Stochastic modeling and fair valuation of drawdown insurance
Zhang, Hongzhong; Leung, Tim; Hadjiliadis, Olympia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 840-850
Persistent link: https://www.econbiz.de/10010227813
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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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An optimal multiple stopping approach to infrastructure investment decisions
Dahlgren, Eric; Leung, Tim - In: Journal of economic dynamics & control 53 (2015), pp. 251-267
Persistent link: https://www.econbiz.de/10011526952
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Impact of risk aversion and belief heterogeneity on trading of defaultable claims
Kim, Jinbeom; Leung, Tim - In: Optimization models with economic and game theoretic …, (pp. 117-146). 2016
Persistent link: https://www.econbiz.de/10011533434
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Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
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Accounting for earnings announcements in the pricing of equity options
Leung, Tim; Santoli, Marco - In: Journal of financial engineering 1 (2014) 4, pp. 1-46
Persistent link: https://www.econbiz.de/10010508746
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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
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An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10011403875