Tim S.T. Leung : Citation Profile


Are you Tim S.T. Leung?

7

H index

4

i10 index

147

Citations

RESEARCH PRODUCTION:

33

Articles

40

Papers

1

Books

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 14
   Journals where Tim S.T. Leung has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 45 (23.44 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ple640
   Updated: 2019-11-16    RAS profile: 2019-11-08    
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Relations with other researchers


Works with:

Pascucci, Andrea (2)

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:

Bayraktar, Erhan (4)

Brigo, Damiano (2)

Vaello-Sebastià, Antoni (2)

Ulm, Eric (1)

Carpenter, Jennifer (1)

Ballotta, Laura (1)

Cartea, Álvaro (1)

Mahmoud, Ola (1)

Yang, Zhaojun (1)

CARMONA, JULIO (1)

Pallavicini, Andrea (1)

Cites to:

merton, robert (12)

Jimenez-Martin, Juan (9)

McAleer, Michael (9)

Chang, Chia-Lin (9)

perez-amaral, teodosio (9)

Dai, Min (8)

Pascucci, Andrea (7)

Rouwenhorst, K. (6)

Jarrow, Robert (5)

Goetzmann, William (5)

Brennan, Michael (5)

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)6
International Journal of Financial Engineering (IJFE)4
Studies in Economics and Finance3
Annals of Finance3
Applied Mathematical Finance2
Mathematical Finance2
Quantitative Finance2
Journal of Financial Engineering (JFE)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org39

Recent works citing Tim S.T. Leung (2019 and 2018)


YearTitle of citing document
2017Quantile Hedging in a Semi-Static Market with Model Uncertainty. (2017). Bayraktar, Erhan ; Wang, GU. In: Papers. RePEc:arx:papers:1408.4848.

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2017The Limits of Leverage. (2017). Guasoni, Paolo ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1506.02802.

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2017Robust 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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2018Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities. (2018). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1612.02444.

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2017Pricing insurance drawdown-type contracts with underlying L\evy assets. (2017). Tumilewicz, Joanna ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1701.01891.

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2017A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes. (2017). Zhang, Hongzhong ; Li, Bin ; Landriault, David. In: Papers. RePEc:arx:papers:1702.07786.

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2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Eksi, Zehra ; Colaneri, Katia ; Altay, Suhan. In: Papers. RePEc:arx:papers:1704.06697.

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2017Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\evy Models. (2017). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:1706.03724.

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2017Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market. (2017). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Papers. RePEc:arx:papers:1706.07021.

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2018On the optimality of threshold type strategies in single and recursive optimal stopping under L\evy models. (2018). Zhang, Hongzhong ; Long, Mingsi . In: Papers. RePEc:arx:papers:1707.07797.

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2018On optimal periodic dividend strategies for L\evy risk processes. (2018). Yano, Kouji ; Yamazaki, Kazutoshi ; Noba, Kei. In: Papers. RePEc:arx:papers:1708.01678.

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2018Executive stock option exercise with full and partial information on a drift change point. (2018). Monoyios, Michael ; Klad, Kamil ; Henderson, Vicky. In: Papers. RePEc:arx:papers:1709.10141.

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2018Fair valuation of L\evy-type drawdown-drawup contracts with general insured and penalty functions. (2018). Tumilewicz, Joanna ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1712.04418.

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2019Double continuation regions for American and Swing options with negative discount rate in L\evy models. (2019). De Donno, Marzia ; Tumilewicz, Joanna ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1801.00266.

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2018Optimal periodic replenishment policies for spectrally positive L\evy demand processes. (2018). Bensoussan, Alain ; Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:1806.09216.

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2018Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1807.01428.

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2018Stochastic Switching Games. (2018). Ludkovski, Michael ; Li, Liangchen. In: Papers. RePEc:arx:papers:1807.03893.

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2018A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1808.06430.

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2018Model Risk in Real Option Valuation. (2018). Alexander, Carol ; Chen, XI. In: Papers. RePEc:arx:papers:1809.00817.

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2018A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (2018). Nistor, Victor ; Han, Xiao ; Grishchenko, Olesya. In: Papers. RePEc:arx:papers:1812.09904.

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2019Optimal execution with dynamic risk adjustment. (2019). Wang, Tai-Ho ; di Giacinto, Marina ; Cheng, Xue. In: Papers. RePEc:arx:papers:1901.00617.

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2019Optimal redeeming strategy of stock loans under drift uncertainty. (2019). Yi, Fahuai ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:1901.06680.

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

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2019Affine term structure models : a time-changed approach with perfect fit to market curves. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1903.04211.

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2019Optimal stopping for the exponential of a Brownian bridge. (2019). Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1904.00075.

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2019Optimal valuation of American callable credit default swaps under drawdown. (2019). Surya, Budhi ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1904.10063.

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2019Nonlinear price dynamics of S&P 100 stocks. (2019). Desantis, Mark ; Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1907.04422.

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2019Hedging Non-Tradable Risks with Transaction Costs and Price Impact. (2019). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1908.00054.

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

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2017Capacity expansion games with application to competition in power generation investments. (2017). Aid, Rene ; Ludkovski, Michael ; Li, Liangchen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:1-31.

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2019Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379.

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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. (2019). Brigo, Damiano ; Pallavicini, Andrea ; Francischello, Marco. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805.

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2017On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13.

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2018Pricing insurance drawdown-type contracts with underlying Lévy assets. (2018). Palmowski, Zbigniew ; Tumilewicz, Joanna. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:1-14.

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2018Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (2018). Landriault, David ; Li, Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:137-147.

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2018On optimal periodic dividend strategies for Lévy risk processes. (2018). Noba, Kei ; Yano, Kouji ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:29-44.

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2018Poissonian potential measures for Lévy risk models. (2018). Landriault, David ; Xu, DI ; Li, Bin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:152-166.

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2018Optimality of multi-refraction control strategies in the dual model. (2018). Czarna, Irmina ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:148-160.

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2017Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula. (2017). Louhichi, Wael ; Harb, Etienne. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:963-975.

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2017On future drawdowns of Lévy processes. (2017). Baurdoux, E J ; Pistorius, M R ; Palmowski, Z. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2679-2698.

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2019On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models. (2019). Zhang, Hongzhong ; Long, Mingsi . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:8:p:2821-2849.

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2018Reaching goals under ambiguity: Continuous-time optimal portfolio selection. (2018). Ji, Shaolin ; Shi, Xiaomin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:63-69.

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2017On future drawdowns of Lévy processes. (2017). Pistorius, Martijn R ; Palmowski, Z ; Baurdoux, Erik J. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84342.

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2018Editorial for Special Issue “Finance, Financial Risk Management and their Applications”. (2018). Chan, Leunglung. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:83-:d:174085.

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2018Variance Swap Replication: Discrete or Continuous?. (2018). le Floch, Fabien. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:11-:d:131575.

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2018Take Profit and Stop Loss Trading Strategies Comparison in Combination with an MACD Trading System. (2018). Vezeris, Dimitrios ; Schinas, Christos ; Kyrgos, Themistoklis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:56-:d:170764.

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2019Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. (2019). Schneider, Lucas ; Stubinger, Johannes. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:51-:d:218983.

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2018A Threshold Type Policy for Trading a Mean-Reverting Asset with Fixed Transaction Costs. (2018). Luu, Phong ; Zhang, Qing ; Tie, Jingzhi. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:107-:d:172739.

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2017The Leveraged ETF Inefficiency in Trending & Range-Bound Markets: An Application Case Study for a 3x Leveraged Gold Miners ETF. (2017). Basdekidou, Vasiliki A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:7:p:1-13.

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2017Inventory Control for Spectrally Positive Lévy Demand Processes. (2017). Yamazaki, Kazutoshi. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:42:y:2017:i:1:p:212-237.

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2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market. (2019). Yang, Qing-Qing ; Siu, Tak-Kuen ; Ching, Wai-Ki ; Gu, Jia-Wen. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9749-6.

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2017Designing long-lived investments under uncertain and ongoing change. (2017). Paschen, Marius ; Eisenack, Klaus. In: Working Papers. RePEc:old:dpaper:398.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2018Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x.

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2018Quantile Hedging in a semi-static market with model uncertainty. (2018). Bayraktar, Erhan ; Wang, GU. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0616-y.

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2018The pricing efficiency of exchange-traded commodities. (2018). Dorfleitner, Gregor ; Gerer, Johannes ; Gerl, Anna . In: Review of Managerial Science. RePEc:spr:rvmgts:v:12:y:2018:i:1:d:10.1007_s11846-016-0221-0.

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2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751.

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2018Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations. (2018). Yao, Nian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500160.

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2017IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION. (2017). Cartea, Alvaro ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500443.

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2018TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE. (2018). Cartea, Alvaro ; Ricci, Jason ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500255.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2017Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes. (2017). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:172017.

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Works by Tim S.T. Leung:


YearTitleTypeCited
2011Optimal Timing to Purchase Options In: Papers.
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2012American Step-Up and Step-Down Default Swaps under Levy Models In: Papers.
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2013American step-up and step-down default swaps under Lévy models.(2013) In: Quantitative Finance.
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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
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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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2012Risk Premia and Optimal Liquidation of Credit Derivatives In: Papers.
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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: 2
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2013Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers.
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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: 14
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2015Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers.
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2015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers.
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paper22
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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2014Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs In: Papers.
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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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2015The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs In: Papers.
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2015The golden target: analyzing the tracking performance of leveraged gold ETFs.(2015) In: Studies in Economics and Finance.
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2015Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers.
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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: 5
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2015Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties In: Papers.
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2015Optimal derivative liquidation timing under path-dependent risk penalties.(2015) In: Journal of Financial Engineering (JFE).
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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: 4
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2015Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers.
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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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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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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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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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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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2017Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach In: Papers.
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2017Optimal mean-reverting spread trading: nonlinear integral equation approach.(2017) In: Annals of Finance.
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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: International Journal of Financial Studies.
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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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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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