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Stochastic Modeling
Related Faculty
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Assistant Professor -
Boeing Endowed Professor, Director of Computational Finance and Risk Management Program -
Associate Professor, Graduate Program Coordinator
Research
- Yang, Y.-J & Qian, H. (2020) Unified formalism for entropy production and fluctuation relations. Phys. Rev. E 101 , 022129. Learn more
- Tim Leung and Marco Santoli (2016). Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, Springer Briefs in Quantitative Finance, Springer, New York. Learn more
- Tim Leung and Xin Li. (2016). Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications. (1st ed.) Singapore, World Scientific Publishing Company. Learn more
- Tim Leung and Xin Li (2015). Optimal mean reversion trading with transaction costs and stop-loss exit, International Journal of Theoretical and Applied Finance 18 (03), 1550020 Learn more