9
H index
8
i10 index
294
Citations
Tim S.T. Leung : Citation Profile
| RESEARCH PRODUCTION: 47 Articles 48 Papers 4 Books 10 Chapters RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
|
17 years (2008 - 2025). 
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:
| Cites to:
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Main data
Where Tim S.T. Leung has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 47 |
Recent works citing Tim S.T. Leung (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862. Full description at Econpapers || Download paper |
| 2025 | Dynamic Inventory Management with Mean-Field Competition. (2025). Li, ZI ; Donnelly, Ryan. In: Papers. RePEc:arx:papers:2210.17208. Full description at Econpapers || Download paper |
| 2024 | Optimal stopping of Gauss-Markov bridges. (2024). Garc, Eduardo ; D'Auria, Bernardo ; Azze, Abel. In: Papers. RePEc:arx:papers:2211.05835. Full description at Econpapers || Download paper |
| 2025 | Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2025). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers || Download paper |
| 2024 | Optimal Entry and Exit with Signature in Statistical Arbitrage. (2024). Chakraborty, Prakash ; Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2309.16008. Full description at Econpapers || Download paper |
| 2024 | Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon. (2024). Choulli, Tahir ; Lepinette, Emmanuel. In: Papers. RePEc:arx:papers:2401.05713. Full description at Econpapers || Download paper |
| 2024 | Advanced Statistical Arbitrage with Reinforcement Learning. (2024). Lee, Kiseop ; Ning, Boming. In: Papers. RePEc:arx:papers:2403.12180. Full description at Econpapers || Download paper |
| 2025 | Dynamic Black-Litterman. (2025). Lim, Andrew ; Abdelhakmi, Anas. In: Papers. RePEc:arx:papers:2404.18822. Full description at Econpapers || Download paper |
| 2025 | Market Simulation under Adverse Selection. (2025). Swishchuk, Anatoliy ; Lalor, Luca. In: Papers. RePEc:arx:papers:2409.12721. Full description at Econpapers || Download paper |
| 2025 | Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark. (2025). Li, Yuying ; van Staden, Pieter ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2412.05431. Full description at Econpapers || Download paper |
| 2025 | Minimal Shortfall Strategies for Liquidation of a Basket of Stocks using Reinforcement Learning. (2025). Zhang, NA ; Pemy, Moustapha. In: Papers. RePEc:arx:papers:2502.07868. Full description at Econpapers || Download paper |
| 2025 | Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040. Full description at Econpapers || Download paper |
| 2025 | Stochastic Price Dynamics in Response to Order Flow Imbalance: Evidence from CSI 300 Index Futures. (2025). Zhang, Kouxiao ; Hu, Chen. In: Papers. RePEc:arx:papers:2505.17388. Full description at Econpapers || Download paper |
| 2025 | Drawdowns, Drawups, and Occupation Times under General Markov Models. (2025). Zhang, Weinan ; Zeng, Pingping. In: Papers. RePEc:arx:papers:2506.00552. Full description at Econpapers || Download paper |
| 2025 | Making Leveraged Exchange-Traded Funds Work for your Portfolio. (2025). Forsyth, Peter ; van Staden, Pieter ; Li, Yuying. In: Papers. RePEc:arx:papers:2506.19200. Full description at Econpapers || Download paper |
| 2025 | Pricing American options time-capped by a drawdown event in a L\evy market. (2025). Stcepniak, Pawel ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2508.20677. Full description at Econpapers || Download paper |
| 2025 | Pricing American Options Time-Capped by a Drawdown Event. (2025). Stcepniak, Pawel ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2509.00999. Full description at Econpapers || Download paper |
| 2025 | Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416. Full description at Econpapers || Download paper |
| 2025 | Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets. (2025). Muck, Matthias ; Schmidl, Thomas ; Wolf, Julian. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s154461232401537x. Full description at Econpapers || Download paper |
| 2025 | Analytical computation of conditional moments in the extended Cox–Ingersoll–Ross process with regime switching: Hybrid PDE system solutions with financial applications. (2025). Thamrongrat, Nopporn ; Rujivan, Sanae ; Djehiche, Boualem ; Juntanon, Parun. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:229:y:2025:i:c:p:176-202. Full description at Econpapers || Download paper |
| 2024 | Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654. Full description at Econpapers || Download paper |
| 2024 | Optimal stopping of an Ornstein–Uhlenbeck bridge. (2024). Garcia-Portugues, E ; Dauria, B ; Azze, A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000486. Full description at Econpapers || Download paper |
| 2024 | Does parking matter? The impact of parking time on last-mile delivery optimization. (2024). Reed, Sara ; Thomas, Barrett W ; Campbell, Ann Melissa. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:181:y:2024:i:c:s1366554523003794. Full description at Econpapers || Download paper |
| 2024 | Enhanced Genetic-Algorithm-Driven Triple Barrier Labeling Method and Machine Learning Approach for Pair Trading Strategy in Cryptocurrency Markets. (2024). Kim, Suntae ; Fu, Ning ; Kang, Mingu ; Hong, Joongi. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:5:p:780-:d:1352114. Full description at Econpapers || Download paper |
| 2025 | Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models. (2025). Wang, Xingchun ; Zhao, Meng Jie. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10794-z. Full description at Econpapers || Download paper |
| 2025 | Mixed frequency data and portfolio selection: A novel approach integrating DEA with mixed frequency data sources. (2025). Wang, Liukai ; Xiong, YU ; Liang, Shuhao. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-025-06529-4. Full description at Econpapers || Download paper |
| 2024 | Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm. (2024). Soylu, Pinar Kaya ; Baci, Mahmut. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00590-3. Full description at Econpapers || Download paper |
| 2025 | Copula-based trading of cointegrated cryptocurrency Pairs. (2025). Witzany, Jiří ; Tadi, Masood. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00702-7. Full description at Econpapers || Download paper |
| 2024 | Robust long-term growth rate of expected utility for leveraged ETFs. (2024). Yeo, Heejun ; Park, Hyungbin ; Leung, Tim. In: Mathematics and Financial Economics. RePEc:spr:mathfi:v:18:y:2024:i:4:d:10.1007_s11579-024-00371-1. Full description at Econpapers || Download paper |
Works by Tim S.T. Leung:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Optimal Timing to Purchase Options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | American Step-Up and Step-Down Default Swaps under Levy Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Default Swap Games Driven by Spectrally Negative Levy Processes In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Default swap games driven by spectrally negative Lévy processes.(2013) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2013 | Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing.(2013) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2012 | Risk Premia and Optimal Liquidation of Credit Derivatives In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2013 | Stochastic Modeling and Fair Valuation of Drawdown Insurance In: Papers. [Full Text][Citation analysis] | paper | 24 |
| 2013 | Stochastic modeling and fair valuation of drawdown insurance.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2015 | Leveraged {ETF} implied volatilities from {ETF} dynamics In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2015 | Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit In: Papers. [Full Text][Citation analysis] | paper | 41 |
| 2015 | OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
| 2014 | Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Accounting for Earnings Announcements in the Pricing of Equity Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Accounting for earnings announcements in the pricing of equity options.(2014) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | The Golden Target: Analyzing the Tracking Performance of Leveraged Gold ETFs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | The golden target: analyzing the tracking performance of leveraged gold ETFs.(2015) In: Studies in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2015 | Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2016 | Pricing derivatives with counterparty risk and collateralization: A fixed point approach.(2016) In: European Journal of Operational Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2015 | Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Optimal derivative liquidation timing under path-dependent risk penalties.(2015) In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | An Optimal Multiple Stopping Approach to Infrastructure Investment Decisions In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2015 | An optimal multiple stopping approach to infrastructure investment decisions.(2015) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2015 | Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2015 | ESO Valuation with Job Termination Risk and Jumps in Stock Price In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2015 | AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING.(2015) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2015 | Optimal Static Quadratic Hedging In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2016 | Optimal static quadratic hedging.(2016) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2016 | Speculative Futures Trading under Mean Reversion In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2016 | Speculative Futures Trading under Mean Reversion.(2016) In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2017 | Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty.(2017) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2016 | Optimal Risk-Averse Timing of an Asset Sale: Trending vs Mean-Reverting Price Dynamics In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options.(2017) In: Journal of Commodity Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Understanding the Tracking Errors of Commodity Leveraged ETFs In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Asynchronous ADRs: overnight vs intraday returns and trading strategies.(2017) In: Studies in Economics and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Long-Term Growth Rate of Expected Utility for Leveraged ETFs: Martingale Extraction Approach In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Optimal mean-reverting spread trading: nonlinear integral equation approach.(2017) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Optimal Trading with a Trailing Stop In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives.(2018) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Mean Reversion Trading with Sequential Deadlines and Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Optimal Timing to Trade Along a Randomized Brownian Bridge In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2018 | Optimal Timing to Trade along a Randomized Brownian Bridge.(2018) In: IJFS. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Mean Reverting Portfolios via Penalized OU-Likelihood Estimation In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal Dynamic Basis Trading In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Optimal dynamic basis trading.(2019) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2018 | A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | A Stochastic Control Approach to Managed Futures Portfolios In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | A stochastic control approach to managed futures portfolios.(2019) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2019 | A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | Tracking VIX with VIX Futures: Portfolio Construction and Performance In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Tracking VIX with VIX Futures: Portfolio Construction and Performance.(2020) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2019 | Optimal Trading of a Basket of Futures Contracts In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Optimal trading of a basket of futures contracts.(2020) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal dynamic futures portfolio in a regime-switching market framework.(2019) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices.(2022) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2021 | Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2024 | Monte Carlo Simulation for Trading Under a L\evy-Driven Mean-Reverting Framework In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework.(2023) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Optimal positioning in derivative securities in incomplete markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Interest rate derivatives in a CTMC setting: pricing, replication and Ross recovery In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Pricing energy spread options with variance gamma-driven Ornstein-Uhlenbeck dynamics In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS In: Mathematical Finance. [Full Text][Citation analysis] | article | 30 |
| 2017 | LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS In: Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2008 | Credit derivatives and risk aversion In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 1 |
| 2019 | Constructing cointegrated cryptocurrency portfolios for statistical arbitrage In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 13 |
| 2025 | A flexible regime-switching framework for foreign exchange dynamics In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Foreign currency exposure within country exchange traded funds In: Studies in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics In: JRFM. [Full Text][Citation analysis] | article | 0 |
| 2024 | A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices In: Mathematics. [Full Text][Citation analysis] | article | 0 |
| 2023 | A Diversification Framework for Multiple Pairs Trading Strategies In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2023 | Multiscale Volatility Analysis for Noisy High-Frequency Prices In: Risks. [Full Text][Citation analysis] | article | 0 |
| 2010 | Relational Adaptation in Buyer-Supplier Relationship Management: A Synthesis of Effects of Exchange Hazards, Relational Norms, and Legitimacy management In: Post-Print. [Citation analysis] | paper | 0 |
| 2019 | Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Constrained dynamic futures portfolios with stochastic basis In: Annals of Finance. [Full Text][Citation analysis] | article | 0 |
| 2013 | An Optimal Timing Approach to Option Portfolio Risk Management In: Palgrave Macmillan Books. [Citation analysis] | chapter | 0 |
| 2016 | Impact of risk aversion and belief heterogeneity on trading of defaultable claims In: Annals of Operations Research. [Full Text][Citation analysis] | article | 2 |
| 2024 | Robust long-term growth rate of expected utility for leveraged ETFs In: Mathematics and Financial Economics. [Full Text][Citation analysis] | book | 0 |
| 2015 | Implied Volatility of Leveraged ETF Options In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 8 |
| 2013 | American step-up and step-down default swaps under L�vy models In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| 2018 | Optimal dynamic pairs trading of futures under a two-factor mean-reverting model In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 1 |
| 2019 | How to mine gold without digging In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 0 |
| 2020 | On the efficacy of optimized exit rule for mean reversion trading In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] | article | 0 |
| 2019 | EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2021 | OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2021 | Employee Stock Options:Exercise Timing, Hedging, and Valuation In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
| 2024 | Stochastic Control Approach to Futures Trading In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
| 2016 | Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications In: World Scientific Books. [Full Text][Citation analysis] | book | 12 |
| 2016 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the Ornstein-Uhlenbeck Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the Exponential OU Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Under the CIR Model In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Futures Trading Under Mean Reversion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 7 |
| 2016 | Optimal Liquidation of Options In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2016 | Trading Credit Derivatives In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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