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Tim Leung

Associate Professor
Director of Computational Finance and Risk Management Program
Tim Leung

Contact Information

Lewis 217
Office Hours: 
By appointment (timleung@uw.edu)

Biography

Ph.D., Operations Research & Financial Engineering, Princeton University, 2008
B.S., Operations Research & Industrial Engineering, Cornell University, 2003

Professor Tim Leung is a tenured Associate Professor of Applied Mathematics and the Director of the Computational Finance & Risk Management (CFRM) program. He is also a faculty affiliate of the eScience Institute and the UW Quantitative Ecology and Resource Management (QERM) program. Previously, he was​​ an 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​ in New York City.​ He obtained his PhD in Operations Research & Financial Engineering at Princeton University where he was supported by the Charlotte Procter Honorific Fellowship. 

His research areas are Financial Mathematics and Optimal Stochastic Control. He has worked on a variety of problems, such as derivatives pricing, algorithmic trading, credit risk, ​executive compensation, ​and exchange-traded funds (ETFs). His research has been funded by the National Science Foundation (NSF). ​He has published over 50 articles and written two books respectively, on the topics of Mean Reversion Trading and ETFs. In 2016, he won the Emerald Literati Network​ Award. 

Professor Leung is the founding editor of the book series, Modern Trends in Financial Engineering​, that publishes monographs on important contemporary topics in theory and practice of Financial ​Mathematics & ​Engineering. ​​He is also an Associate Editor of a number of journals, including Applied Mathematical Finance, SIAM Journal on Financial Math, Stochastic Models, International Journal of Financial Engineering, Studies in Economics & Finance, High Frequency, and Digital Signal Processing. ​He is the elected Chair for the Institute for Operations Research and the Management Sciences (INFORMS) Finance Section, as well as Vice Chair for the SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME).

 

Research

Courses Taught

  • Investment Science (on-campus)
  • Monte Carlo Simulation (on-campus & online)
  • Term Structure Models (on-campus & online) [link]
  • Stochastic Processes for Finance (on-campus)
  • Data Analysis for Financial Engineers (on-campus & online)
  • Foundations of Financial Engineering (on-campus & online)
  • Advanced Topics in Financial Engineering (PhD/MS level, on-campus)
  • Probability Theory (PhD level, on-campus)
  • PDEs in Finance (PhD level, on-campus)

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