Tim Leung
Boeing Endowed Chair Professor, Applied Mathematics (AMATH), University of Washington, Seattle
Director, Computational Finance & Risk Management (CFRM) Program
Faculty, Quantitative Ecology & Resource Management (QERM) Program, Center for Quantitative Science
[MS Degree] [courses] inquiry: compfin@uw.edu
In the Press:
Is Crypto About to Go Extinct? - Interviewed by Al Jazeera English
Books:
Leveraged ETFs - Price Dynamics & Options Valuation
Optimal Mean Reversion Trading: Mathematical Analysis & Practical Applications
Employee Stock Options — Exercise Timing, Hedging, and Valuation
Stochastic Control Approach to Futures Trading
Pairs Trading with Optimized Positions & Exit Rules
Dynamic Estimation of Stochastic Gold Exposure
Dynamic Futures Portfolio in a Regime-Switching Market
Dynamic Futures Portfolio Under a Multifactor Gaussian Framework
Multiscale Financial Signal Processing
Multiscale Decomposition and Analysis of Sector ETF Price Dynamics
Python Package for Mean Reversion Trading
Pairs Trading ADRs and SPY
Optimal Trading along a Randomized Brownian Bridge
Mean Reversion Trading Strategies with Deadlines and Transaction Costs
Stochastic Storage Cost Model for Grains Futures
Index Tracking — Mind the Gap!
Encoding Market View via a Randomized Brownian Bridge
