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2020 – today
- 2021
[c5]Tim Leung
, Yang Zhou:
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model. ACC 2021: 1168-1173- 2020
- [j13]Jize Zhang, Tim Leung, Aleksandr Y. Aravkin:
Sparse mean-reverting portfolios via penalized likelihood optimization. Autom. 111 (2020) - [j12]Longbing Cao, George Yuan, Tim Leung, Wei Zhang:
Special Issue on AI and FinTech: The Challenge Ahead. IEEE Intell. Syst. 35(2): 3-6 (2020) - [j11]Longbing Cao, George Yuan, Tim Leung, Wei Zhang:
Special Issue on AI and FinTech: The Challenge Ahead. IEEE Intell. Syst. 35(3): 3-6 (2020) - [c4]Tim Leung, Yang Zhou:
A Stochastic Control Approach to Futures Trading with Regime Switching. ACC 2020: 2808-2813
2010 – 2019
- 2019
- [c3]Jize Zhang, Tim Leung, Aleksandr Y. Aravkin:
A Relaxed Optimization Approach for Cardinality-Constrained Portfolios. ECC 2019: 2885-2892 - 2018
- [c2]Jize Zhang, Tim Leung, Aleksandr Y. Aravkin:
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation. CDC 2018: 5795-5800 - 2017
- [j10]Tim Leung, Zongxi Li:
Timing options for a startup with early termination and competition risks. Risk Decis. Anal. 6(2): 151-166 (2017) - 2016
- [j9]Jinbeom Kim, Tim Leung:
Impact of risk aversion and belief heterogeneity on trading of defaultable claims. Ann. Oper. Res. 243(1-2): 117-146 (2016) - [j8]Jinbeom Kim, Tim Leung:
Pricing derivatives with counterparty risk and collateralization: A fixed point approach. Eur. J. Oper. Res. 249(2): 525-539 (2016) - 2015
- [j7]Tim Leung, Kazutoshi Yamazaki, Hongzhong Zhang:
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models. SIAM J. Control. Optim. 53(4): 2373-2405 (2015) - [j6]Tim Leung, Haohua Wan:
ESO Valuation with Job Termination Risk and Jumps in Stock Price. SIAM J. Financial Math. 6(1): 487-516 (2015) - 2014
- [j5]Tim Leung, Xin Li, Zheng Wang:
Optimal starting-stopping and switching of a CIR process with fixed costs. Risk Decis. Anal. 5(2-3): 149-161 (2014) - 2013
- [j4]Tim Leung, Qingshuo Song, Jie Yang:
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing. Finance Stochastics 17(4): 839-870 (2013) - 2012
- [c1]Tim Leung:
Sequential static-Dynamic Hedging for Long-term Derivatives. ICCS 2012: 1211-1218 - 2011
- [j3]Tim Leung, Mike Ludkovski:
Optimal Timing to Purchase Options. SIAM J. Financial Math. 2(1): 768-793 (2011)
2000 – 2009
- 2009
- [j2]Tim Leung, Ronnie Sircar:
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation. SIAM J. Control. Optim. 48(3): 1422-1451 (2009) - 2007
- [j1]Tim Leung, Tom Carroll, May Hung, Albert Tsang, Walter Chung:
The Carroll-Hung method for component reliability mapping in aircraft maintenance. Qual. Reliab. Eng. Int. 23(1): 137-154 (2007)
Coauthor Index
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