Concepedia

Tim Leung

TL

30

Publications

678

Citations

16

H-Index

2008

Active since

Affiliations

Columbia University(Current)

University of Washington

University of Washington Applied Physics Laboratory

Princeton University

University of Technology Sydney

Tim Leung is an author at Columbia University specializing in business, finance, and asset pricing.

Top concepts

FinanceBusinessAsset PricingOption PricingFinancial EconomicsEconomicsFinancial EngineeringManagementEngineeringQuantitative Finance

Publications per year

2008–2021

30

Publications

30

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

Tim Leung, Ronnie Sircar · Mathematical Finance · 2009 · 104 citations

Financial Risk Management, Employee Stock Options, Asset Pricing +18

Constructing cointegrated cryptocurrency portfolios for statistical arbitrage

Tim Leung, Hung Cuong Nguyen · Studies in Economics and Finance · 2019 · 43 citations

Economics, Statistical Arbitrage, Financial Economics +15

Stochastic modeling and fair valuation of drawdown insurance

Hongzhong Zhang, Tim Leung, Olympia Hadjiliadis · Insurance Mathematics and Economics · 2013 · 39 citations · Full text

Economics, Derivative Pricing, Business +4

OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

Tim Leung, Xin Li · International Journal of Theoretical and Applied Finance · 2015 · 39 citations · Full text

Market Microstructure, Economics, Computational Finance +13

Implied Volatility of Leveraged ETF Options

Tim Leung, Ronnie Sircar · Applied Mathematical Finance · 2014 · 37 citations

Volatility Modeling, Option Pricing, Asset Pricing +8

Rows per page

1–5 of 30