Tim Siu-Tang Leung

Assistant Professor
timleung@jhu.edu
(410) 516-7582 Office
Personal Homepage

[ Education & Experience | Publications & Presentations | Research Interests | More ]

• T. Leung, R. Sircar "Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options". Mathematical Finance. vol.19. 1 (2009).

• T. Leung, R. Sircar "Exponential Hedging with Optimal Stopping and Application to ESO Valuation". SIAM Journal on Control and Optimization. (2009).

• T. Leung, R. Sircar, T. Zariphopoulou. Credit Derivatives and Risk Aversion. Advances in Econometrics. Elsevier Science. Edited by T. Fomby, J-P Fouque and K. Solna. vol.22. 2008.

• T. Leung, Optimal Investment with American Derivatives in a Regime-Switching Market. 15th INFORMS Applied Probability Society Conference, Cornell University. July 14, 2009.
  

• T. Leung, Exponential Hedging in an Incomplete Market with Regime Switching. Actuarial Science and Mathematical Finance Group Meetings 2008-09, Fields Institute. May 13, 2009.
  

• T. Leung, Dynamic Exponential Hedging with Optimal Stopping and Static-dynamic Hedges. Daiwa Young Researchers’ Workshop on Finance 2009, Kyoto University. March 09, 2009.
  

• T. Leung, Exponential Hedging with Optimal Stopping and Static-dynamic Hedges. AMS Annual Meeting Special Session on Financial Mathematics, Washington DC. January, 2009.
  

• T. Leung, Exponential Hedging with Optimal Stopping and Application to ESO Valuation. SIAM Conference on Financial Mathematics & Engineering, New Brunswick, NJ. November, 2008.
  

• T. Leung, Credit Derivatives and Risk Aversion. INFORMS Annual Meeting Financial Services Session, Washington DC. October, 2008.
  

• T. Leung, ESOs: Accounting for Optimal Hedging, Suboptimal Exercises, and Restrictions. INFORMS Annual Meeting Financial Services Session, Washington DC. October, 2008.
  

• T. Leung, Exponential Hedging with Optimal Stopping and Application to ESO Valuation. Columbia University Probability Seminar, New York, NY. October, 2008.
  

• T. Leung, Accounting for Risk Aversion and Other Idiosyncrasies in the Valuation of Employee Stock Options. Georgia State University Risk Management & Insurance Research Seminar, Atlanta, GA. September, 2008.
  

• T. Leung, Utility-based Valuation of Employee Stock Options. Workshop on Pricing and Hedging Exotic Options, Warwick, UK. July, 2008.
  

• T. Leung, Utility-based Valuation of Employee Stock Options. Bachelier Finance Society Congress 2008 , London, UK. July, 2008.
  

• T. Leung, The Valuation of Employee Stock Options and Their Effects on Financial Accounting. Princeton Research Symposium, Princeton, NJ. November, 2007.
  

• T. Leung, Modeling Early Exercises in Employee Stock Option Valuation. AMS Annual Meeting Special Session on Financial Mathematics, New Orleans. January, 2007.