Tim S.T. Leung : Citation Profile


Are you Tim S.T. Leung?

7

H index

4

i10 index

164

Citations

RESEARCH PRODUCTION:

36

Articles

40

Papers

1

Books

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 14
   Journals where Tim S.T. Leung has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 50 (23.36 %)

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: 2020-09-22    RAS profile: 2020-07-07    
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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 (3)

Vaello-Sebastià, Antoni (2)

Pallavicini, Andrea (1)

Ulm, Eric (1)

Eisenack, Klaus (1)

Siu, Tak Kuen (1)

De Donno, Marzia (1)

Alexander, Carol (1)

Carpenter, Jennifer (1)

Paschen, Marius (1)

Cites to:

merton, robert (14)

Jimenez-Martin, Juan (9)

McAleer, Michael (9)

Chang, Chia-Lin (9)

perez-amaral, teodosio (9)

Dai, Min (8)

Pascucci, Andrea (7)

Rouwenhorst, K. (7)

Brennan, Michael (6)

Xiong, Wei (5)

Jarrow, Robert (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)7
International Journal of Financial Engineering (IJFE)5
Annals of Finance4
Studies in Economics and Finance3
Quantitative Finance2
Mathematical Finance2
Applied Mathematical 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 (2020 and 2019)


YearTitle of citing document
2020Executive 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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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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2020Optimal 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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2019A 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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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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2020Affine 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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2020Optimal 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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2020Hedging 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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2019Speculative Trading, Prospect Theory and Transaction Costs. (2019). Zheng, Harry ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1911.10106.

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2019A singular stochastic control approach for optimal pairs trading with proportional transaction costs. (2019). Xing, Haipeng. In: Papers. RePEc:arx:papers:1911.10450.

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2020A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander. In: Papers. RePEc:arx:papers:2003.10502.

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2020Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330.

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2020Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time. (2020). Zou, Bin ; Deng, Jun. In: Papers. RePEc:arx:papers:2005.06015.

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2020When to sell an asset amid anxiety about drawdowns. (2020). Zhang, Hongzhong ; Rodosthenous, Neofytos. In: Papers. RePEc:arx:papers:2006.00282.

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2020Hedging nontradable risks with transaction costs and price impact. (2020). Jaimungal, Sebastian ; Donnelly, Ryan ; Cartea, Alvaro. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:833-868.

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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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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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2020Sparsity in optimal randomized classification trees. (2020). Morales, Dolores Romero ; Molero-Rio, Cristina ; Carrizosa, Emilio ; Blanquero, Rafael. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:1:p:255-272.

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2019Stop-loss and leverage in optimal statistical arbitrage with an application to energy market. (2019). Baldi, Tommaso Santagostino ; Baviera, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:79:y:2019:i:c:p:130-143.

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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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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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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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2020Partial liquidation under reference-dependent preferences. (2020). Henderson, Vicky ; Muscat, Jonathan. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00421-8.

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2019Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models. (2019). Cui, Zhenyu ; Chatterjee, Rupak ; Cao, Hongkai. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:06:y:2019:i:03:n:s2424786319500270.

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2019MULTI-CURRENCY CREDIT DEFAULT SWAPS. (2019). Brigo, Damiano ; Petrelli, Andrea ; Pede, Nicola. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:22:y:2019:i:04:n:s0219024919500183.

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Works by Tim S.T. Leung:


YearTitleTypeCited
2011Optimal Timing to Purchase Options In: Papers.
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paper3
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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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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paper2
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
article
2013Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers.
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paper14
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
article
2015Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers.
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paper2
2015Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers.
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paper26
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: 26
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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paper0
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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paper2
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: 2
article
2015Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers.
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paper6
2016Pricing derivatives with counterparty risk and collateralization: A fixed point approach.(2016) In: European Journal of Operational Research.
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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: 5
article
2015Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers.
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paper8
2015ESO Valuation with Job Termination Risk and Jumps in Stock Price In: Papers.
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paper0
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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This paper has another version. Agregated cites: 3
article
2017Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty In: Papers.
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paper1
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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article
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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paper0
2017Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options.(2017) In: Journal of Commodity Markets.
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article
2016Understanding the Tracking Errors of Commodity Leveraged ETFs In: Papers.
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paper2
2016Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies In: Papers.
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paper0
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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paper1
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: 1
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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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paper2
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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2019A stochastic control approach to managed futures portfolios.(2019) In: International Journal of Financial Engineering (IJFE).
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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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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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2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework In: Papers.
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2009ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS In: Mathematical Finance.
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2017LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance.
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article1
2016Foreign currency exposure within country exchange traded funds In: Studies in Economics and Finance.
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article0
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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paper0
2019Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics In: Annals of Finance.
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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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2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model In: International Journal of Financial Engineering (IJFE).
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2019How to mine gold without digging In: International Journal of Financial Engineering (IJFE).
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2020Optimal dynamic futures portfolio in a regime-switching market framework 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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2016Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications In: World Scientific Books.
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