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~person:"Hughston, Lane P."
~person:"Leung, Tim"
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Search: "International journal of theoretical and applied finance"
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Hughston, Lane P.
Leung, Tim
Elliott, Robert J.
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International journal of theoretical and applied finance
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International Journal of Theoretical and Applied Finance (IJTAF)
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1
Optimal dynamic futures portfolio under a multifactor Gaussian framework
Leung, Tim
;
Yan, Raphael
;
Zhou, Yang
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012662043
Saved in:
2
A top-down approach for the multiple exercises and valuation of employee stock options
Leung, Tim
;
Zhou, Yang
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270937
Saved in:
3
Determination of the Lévy exponent in asset pricing models
Bouzianis, George
;
Hughston, Lane P.
- In:
International journal of theoretical and applied finance
22
(
2019
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
Saved in:
4
Effort expenditure for cash flow in a mean-field equilibrium
Donnelly, Ryan
;
Leung, Tim
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012030894
Saved in:
5
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
6
Special issue on Barcelona workshop on mathematical finance
Corcuera, José Manuel
(
ed.
);
Schoutens, Wim
(
ed.
); …
-
Barcelona Workshop on Mathematical Finance <2017, Barcelona>
-
2018
Persistent link: https://www.econbiz.de/10011894050
Saved in:
7
Mean reversion trading with sequential deadlines and transaction costs
Kitapbayev, Yerkin
;
Leung, Tim
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011846482
Saved in:
8
Long-term growth rate of expected utility for leveraged ETFs : martingale extraction approach
Leung, Tim
;
Park, Hyungbin
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011734273
Saved in:
9
Optimal mean reversion trading with transaction costs and stop-loss exit
Leung, Tim
;
Li, Xin
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403754
Saved in:
10
An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting
Leung, Tim
;
Yamazaki, Kazutoshi
;
Zhang, Hongzhong
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403875
Saved in:
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