Tim S.T. Leung : Citation Profile


Are you Tim S.T. Leung?

9

H index

6

i10 index

233

Citations

RESEARCH PRODUCTION:

41

Articles

43

Papers

2

Books

9

Chapters

RESEARCH ACTIVITY:

   13 years (2009 - 2022). See details.
   Cites by year: 17
   Journals where Tim S.T. Leung has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 52 (18.25 %)

EXPERT IN:

   Duration Analysis; Optimal Timing Strategies
   Portfolio Choice; Investment Decisions
   Asset Pricing; Trading Volume; Bond Interest Rates

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple640
   Updated: 2022-11-19    RAS profile: 2022-05-04    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Tim S.T. Leung.

Is cited by:

Carr, Peter (7)

Bayraktar, Erhan (4)

Brigo, Damiano (3)

Vrins, Frédéric (3)

Vaello-Sebastià, Antoni (2)

Basdekidou, Vasiliki (2)

CARMONA, JULIO (2)

Alexander, Carol (2)

Vargiolu, Tiziano (1)

Wei, Xiaopeng (1)

Paschen, Marius (1)

Cites to:

Carr, Peter (20)

merton, robert (14)

Irwin, Scott (9)

Dai, Min (9)

Garcia, Philip (8)

Rouwenhorst, K. (8)

Pérez-Amaral, Teodosio (7)

Jimenez-Martin, Juan (7)

McAleer, Michael (7)

Chang, Chia-Lin (7)

Brennan, Michael (7)

Main data


Where Tim S.T. Leung has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)8
International Journal of Financial Engineering (IJFE)6
Annals of Finance5
Studies in Economics and Finance4
Applied Mathematical Finance2
Quantitative Finance2
Mathematical Finance2
Journal of Financial Engineering (JFE)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org42

Recent works citing Tim S.T. Leung (2022 and 2021)


YearTitle of citing document
2022Robust replication of barrier-style claims on price and volatility. (2017). Carr, Peter ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1508.00632.

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2021High-dimensional statistical arbitrage with factor models and stochastic control. (2019). Guijarro-Ordonez, Jorge. In: Papers. RePEc:arx:papers:1901.09309.

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2022Dynamic Optimal Portfolios for Multiple Co-Integrated Assets. (2019). Papanicolaou, A ; Li, T N. In: Papers. RePEc:arx:papers:1908.02164.

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2022Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106.

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2021The VIX index under scrutiny of machine learning techniques and neural networks. (2021). Wong, Kin Wai ; Hirsa, Ali ; Cao, Wenxin ; Fu, Yiwen ; Sun, Hanze ; Osterrieder, Joerg ; Misheva, Branka Hadji. In: Papers. RePEc:arx:papers:2102.02119.

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2022Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028.

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2021Robust Replication of Volatility and Hybrid Derivatives on Jump Diffusions. (2021). Lorig, Matthew ; Lee, Roger ; Carr, Peter. In: Papers. RePEc:arx:papers:2107.00554.

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2022Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms. (2022). Wei, Wei ; Tan, Ken Seng ; Sun, Chaofan. In: Papers. RePEc:arx:papers:2201.09105.

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2022Optimal times to buy and sell a home. (2022). Lorig, Matthew ; Suaysom, Natchanon. In: Papers. RePEc:arx:papers:2203.05545.

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2022Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

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2021Executive Compensation and Company Valuation. (2021). Schueler, Andreas. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:2:p:297-324.

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2021Double continuation regions for American options under Poisson exercise opportunities. (2021). Perez, Jose Luis ; Palmowski, Zbigniew ; Yamazaki, Kazutoshi. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:722-771.

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2021Robust replication of volatility and hybrid derivatives on jump diffusions. (2021). Lorig, Matthew ; Lee, Roger ; Carr, Peter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1394-1422.

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2022Affine term structure models: A time?change approach with perfect fit to market curves. (2022). Vrins, Frederic ; Mbaye, Cheikh. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:678-724.

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2021Risk Hedging for Production Planning. (2021). Yao, David D ; Wang, Liao. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:6:p:1825-1837.

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2021Analysis of Bitcoin prices using market and sentiment variables. (2021). Olmo, Jose ; Kapar, Burcu. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:1:p:45-63.

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2021Optimal stopping of an Ornstein-Uhlenbeck bridge. (2021). D'Auria, Bernardo ; Azze, Abel Guada ; Portugues, Eduardo Garcia. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:33508.

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2021Investing in electricity production under a reliability options scheme. (2021). Zormpas, Dimitrios ; Vargiolu, Tiziano ; Fontini, Fulvio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:126:y:2021:i:c:s016518892030172x.

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2021The values and incentive effects of options on the maximum or the minimum of the stock prices and market index. (2021). Wang, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302345.

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2021Pricing American drawdown options under Markov models. (2021). Zhang, Gongqiu ; Li, Lingfei. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:3:p:1188-1205.

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2022Approximate value adjustments for European claims. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161.

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2022On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution. (2022). Vecer, Jan ; Taylor, Stephen ; Navratil, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:3:p:1215-1229.

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2022Structural estimation of counterparty credit risk under recovery risk. (2022). Morelli, Giacomo ; Corallo, Vincenzo ; Castellano, Rosella. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s037842662200108x.

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2021Realization utility with stop-loss strategy. (2021). Zhang, Zhanpei ; Yang, Chunpeng. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:261-275.

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2022On the predictive power of tweet sentiments and attention on bitcoin. (2022). Suardi, Sandy ; Liu, Bin ; Rasel, Atiqur Rahman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:289-301.

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2022Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach. (2022). Glover, Kristoffer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:919-937.

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2021Application of Empirical Mode Decomposition and Extreme Learning Machine Algorithms on Prediction of the Surface Vibration Signal. (2021). Wang, Xue Song ; Shen, Yan ; Sun, KE. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7519-:d:676507.

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2022A Singular Stochastic Control Approach for Optimal Pairs Trading with Proportional Transaction Costs. (2022). Xing, Haipeng. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:4:p:147-:d:777349.

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2021.

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2021Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. (2021). Aysan, Ahmet ; Ul, Asad ; Topuz, Humeyra. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:74-:d:535495.

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2022A Finite Difference Scheme for Pairs Trading with Transaction Costs. (2022). Tourin, Agnes ; Li, Zequn. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-021-10159-w.

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2021A refined measure of conditional maximum drawdown. (2021). Rossello, Damiano ; lo Cascio, Silvestro. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00081-8.

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2021Model risk in real option valuation. (2021). Alexander, Carol ; Chen, XI. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03273-4.

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2021Optimal Bitcoin trading with inverse futures. (2021). Zou, Bin ; Zhang, Shuyu ; Pan, Huifeng ; Deng, Jun. In: Annals of Operations Research. RePEc:spr:annopr:v:304:y:2021:i:1:d:10.1007_s10479-021-04125-w.

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2022Kalman filter approach to real options with active learning. (2022). , Jacco ; Sendstad, Lars H ; Sund, Sebastian. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:3:d:10.1007_s10287-022-00423-1.

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2021Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages. (2021). Figa-Talamanca, Gianna ; Patacca, Marco ; Focardi, Sergio. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00318-x.

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2021On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5.

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Works by Tim S.T. Leung:


YearTitleTypeCited
2011Optimal Timing to Purchase Options In: Papers.
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paper4
2012American Step-Up and Step-Down Default Swaps under Levy Models In: Papers.
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paper1
2012Default Swap Games Driven by Spectrally Negative Levy Processes In: Papers.
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paper9
2013Default swap games driven by spectrally negative Lévy processes.(2013) In: Stochastic Processes and their Applications.
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This paper has another version. Agregated cites: 9
article
2013Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing In: Papers.
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paper5
2013Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.(2013) In: Finance and Stochastics.
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article
2012Risk Premia and Optimal Liquidation of Credit Derivatives In: Papers.
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paper3
2012RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 3
article
2013Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers.
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paper18
2013Stochastic modeling and fair valuation of drawdown insurance.(2013) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 18
article
2015Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers.
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paper6
2015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers.
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paper35
2015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 35
article
2014Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs In: Papers.
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paper3
2015Accounting for Earnings Announcements in the Pricing of Equity Options In: Papers.
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2014Accounting for earnings announcements in the pricing of equity options.(2014) In: Journal of Financial Engineering (JFE).
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article
2015The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs In: Papers.
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paper3
2015The golden target: analyzing the tracking performance of leveraged gold ETFs.(2015) In: Studies in Economics and Finance.
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This paper has another version. Agregated cites: 3
article
2015Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers.
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paper12
2016Pricing derivatives with counterparty risk and collateralization: A fixed point approach.(2016) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 12
article
2015Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties In: Papers.
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paper2
2015Optimal derivative liquidation timing under path-dependent risk penalties.(2015) In: Journal of Financial Engineering (JFE).
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This paper has another version. Agregated cites: 2
article
2015An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions In: Papers.
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2015An optimal multiple stopping approach to infrastructure investment decisions.(2015) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 6
article
2015Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers.
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paper9
2015ESO Valuation with Job Termination Risk and Jumps in Stock Price In: Papers.
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2015Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models In: Papers.
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2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting In: Papers.
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2015AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2015Optimal Static Quadratic Hedging In: Papers.
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2016Optimal static quadratic hedging.(2016) In: Quantitative Finance.
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2016Speculative Futures Trading under Mean Reversion In: Papers.
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2016Speculative Futures Trading under Mean Reversion.(2016) In: Asia-Pacific Financial Markets.
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article
2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty In: Papers.
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2017Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty.(2017) In: International Journal of Financial Engineering (IJFE).
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2016Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics In: Papers.
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paper1
2017Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options In: Papers.
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2017Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options.(2017) In: Journal of Commodity Markets.
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2016Understanding the Tracking Errors of Commodity Leveraged ETFs In: Papers.
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2016Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies In: Papers.
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2017Asynchronous ADRs: overnight vs intraday returns and trading strategies.(2017) In: Studies in Economics and Finance.
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article
2016Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach In: Papers.
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2017LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 2
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2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach In: Papers.
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paper1
2017Optimal mean-reverting spread trading: nonlinear integral equation approach.(2017) In: Annals of Finance.
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This paper has another version. Agregated cites: 1
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2019Optimal Trading with a Trailing Stop In: Papers.
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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives In: Papers.
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2018Dynamic Index Tracking and Risk Exposure Control Using Derivatives.(2018) In: Applied Mathematical Finance.
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2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs In: Papers.
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2018MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2018Optimal Timing to Trade Along a Randomized Brownian Bridge In: Papers.
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2018Optimal Timing to Trade along a Randomized Brownian Bridge.(2018) In: IJFS.
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This paper has another version. Agregated cites: 5
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2018Mean Reverting Portfolios via Penalized OU-Likelihood Estimation In: Papers.
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2019Optimal Dynamic Basis Trading In: Papers.
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2019Optimal dynamic basis trading.(2019) In: Annals of Finance.
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This paper has another version. Agregated cites: 1
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2018A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization In: Papers.
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2018A Stochastic Control Approach to Managed Futures Portfolios In: Papers.
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2019A stochastic control approach to managed futures portfolios.(2019) In: International Journal of Financial Engineering (IJFE).
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This paper has another version. Agregated cites: 1
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2019A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options In: Papers.
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2020A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2019Tracking VIX with VIX Futures: Portfolio Construction and Performance In: Papers.
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2020Tracking VIX with VIX Futures: Portfolio Construction and Performance.(2020) In: World Scientific Book Chapters.
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chapter
2019Optimal Trading of a Basket of Futures Contracts In: Papers.
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2020Optimal trading of a basket of futures contracts.(2020) In: Annals of Finance.
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This paper has another version. Agregated cites: 0
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2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework In: Papers.
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2019Optimal dynamic futures portfolio in a regime-switching market framework.(2019) In: International Journal of Financial Engineering (IJFE).
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2021Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model In: Papers.
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2021Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices In: Papers.
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2021Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning In: Papers.
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paper1
2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS In: Mathematical Finance.
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article26
2017LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance.
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2019Constructing cointegrated cryptocurrency portfolios for statistical arbitrage In: Studies in Economics and Finance.
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2016Foreign currency exposure within country exchange traded funds In: Studies in Economics and Finance.
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2021Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics In: JRFM.
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2010Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management In: Post-Print.
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2019Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics In: Annals of Finance.
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2022Constrained dynamic futures portfolios with stochastic basis In: Annals of Finance.
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2013An Optimal Timing Approach to Option Portfolio Risk Management In: Palgrave Macmillan Books.
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2016Impact of risk aversion and belief heterogeneity on trading of defaultable claims In: Annals of Operations Research.
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2015Implied Volatility of Leveraged ETF Options In: Applied Mathematical Finance.
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2013American step-up and step-down default swaps under L?vy models In: Quantitative Finance.
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article7
2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model In: International Journal of Financial Engineering (IJFE).
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article1
2019How to mine gold without digging In: International Journal of Financial Engineering (IJFE).
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2020On the efficacy of optimized exit rule for mean reversion trading In: International Journal of Financial Engineering (IJFE).
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2019EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM In: International Journal of Theoretical and Applied Finance (IJTAF).
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2021OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF).
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2021Employee Stock Options:Exercise Timing, Hedging, and Valuation In: World Scientific Books.
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2016Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications In: World Scientific Books.
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2016Introduction In: World Scientific Book Chapters.
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2016Trading Under the Ornstein-Uhlenbeck Model In: World Scientific Book Chapters.
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2016Trading Under the Exponential OU Model In: World Scientific Book Chapters.
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2016Trading Under the CIR Model In: World Scientific Book Chapters.
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2016Futures Trading Under Mean Reversion In: World Scientific Book Chapters.
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chapter5
2016Optimal Liquidation of Options In: World Scientific Book Chapters.
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chapter0
2016Trading Credit Derivatives In: World Scientific Book Chapters.
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chapter0

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