Tim Leung is the Boeing Endowed Chair Professor of Applied Mathematics and Director of the Computational Finance & Risk Management (CFRM) program at the University of Washington in Seattle.
Previously, he was a tenure-track Assistant Professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University and in the Department of Industrial Engineering & Operations Research at Columbia University. He obtained his BS from Cornell University with scholarships, and PhD from Princeton University with the Charlotte Procter Honorific Fellowship.
His research areas are Quantitative Finance and Stochastic Optimal Control. He has worked on a variety of problems, such as derivatives pricing, algorithmic trading, exchange-traded funds (ETFs), commodities, and cryptocurrencies. His research has been funded by the National Science Foundation (NSF) and industry, and he is regularly quoted in financial news outlets (e.g. Bloomberg, Al Jazeera). He has published over 80 research articles and several books on the topics of Mean Reversion Trading, ETFs, Futures Trading, and Employee Stock Options. In 2016, he won the Emerald Literati Network Award.
Professor Leung serves on the advisory board for the AI for Finance Institute. Previously, he has served as the Chair for the Institute for Operations Research and the Management Sciences (INFORMS) Finance Section and Vice Chair for the SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME). He is the founding editor of the book series, Modern Trends in Financial Engineering. He's on the editorial board of a number of journals, including Stochastic Models, Applied Mathematical Finance, SIAM Journal on Financial Math, Journal of Financial Engineering, Studies in Economics & Finance, High Frequency, IISE Transactions, Digital Signal Processing. In 2020, he is the co-editor of the IEEE Intelligent Systems Special Issue on AI and Fintech.
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Press Coverage & Links:
Prof. Tim Leung Quoted in Bloomberg News on Cryptocurrency, University of Washington
Crypto Traders Loved Big Leveraged Bets Until Inexplicable Crash, Bloomberg News
Prof. Leung’s Book Selected to “100 Best Derivatives Books of All Time” by Book Authority
"New execution algos show complexity is not to be feared" RISK Magazine
Asynchronous ADRs: Overnight vs Intraday Returns and Trading Strategies Interactive Brokers Traders' Insight
ETF Options emerge as effective risk management tools, Sina Finance
Applied Mathematical Tools for Modern Financial Problems University of Washington
Designing Ways to Account for Foreseeable Financial Risk Columbia University
Stock options may cost shareholders much less than previously thought Phys.org (Science X)
Books:
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications World Scientific 2016
Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation Springer 2016
Employee Stock Options World Scientific 2021
Stochastic Control Methods for Optimal Futures Trading
Academic Community:
Financial Management Association (FMA) Applied Finance Conference program committee
American Control Conference (ACC), session chair: "Stochastic Optimal Control"
SIAM/CAIMS Annual Meeting (AN20), organizing committee
SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME), Vice-Chair (2017-19), Program Director (2015-17)
INFORMS Section on Finance, Chair (2016-2019), Treasurer (2013-15) [website]
Book Series Founding Editor, Modern Trends in Financial Engineering [World Scientific Publishing Co.]
Editorial Board: Stochastic Models, SIAM Journal on Financial Math, Applied Math Finance, Int'l Journal of Financial Engineering (WSPC), High Frequency, Institute of Industrial and Systems Engineers (IISE) Transactions, Studies in Economics & Finance, Digital Signal Processing, IEEE Intelligent System (editor for special issue on AI and FinTech)
Math Alliance mentor
Industry Events:
CAIA and FIBREE State of Real Estate Blockchain Smart Securities Panel speaker Seattle, Aug 2019
Judge for Citadel Datathon, Oct 27, 2018
Faculty advisor for the Seattle CFA Challenge
Risk Engineering for Commercial Real Estate Solutions, Savills Studley
Conference Organization
Financial Management Association (FMA) Applied Finance Conference, program committee, 2020
2020 SIAM Annual Meeting joint with the 2020 Annual Meeting of The Canadian Applied and Industrial Mathematics Society (CAIMS)/Société Canadienne de Mathématiques Appliquées et Industrielles (SCMAI), organizational committee, 2019-2020
INFORMS Annual Meetings, Student Papers Competition, organizer and judge, 2016, 2017, 2018 [link]
8th Western Conference in Mathematical Finance (WCMF), organizer, March 24-25 @UW, 2017 [link]
SIAM Conference on Financial Math & Engineering, co-chair & program director, Nov 17-19 2016 [link] [program]
Bachelier Finance Society World Congress, local organizing committee, July 15-19, 2016
SIAM 8th International Congress on Industrial and Applied Mathematics (ICIAM), minisymposia organizer, 2015 [program]
SIAM Conference on Financial Math & Engineering, minisymposium organizer, 2012, 2014
SIAM Conference on Control and Its Applications, minisymposium organizer, 2011
INFORMS Annual Meetings, session chair, 2008-2012, cluster chair, 2013
CORS/INFORMS 2015 Joint International Meeting in Montreal, cluster chair, 2015
AMS Annual & Sectional Meetings, Financial Math Session, organizer, 2009, 2010, 2012, 2013
International Workshop on Computational Stochastics, program committee, 2011