Professor Tim Leung is the Boeing endowed chair Professor of Applied Mathematics and Director of the Computational Finance & Risk Management (CFRM) program. He is also a core faculty of the UW Quantitative Ecology and Resource Management (QERM) program.
Before joining UW, he was a professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University (2008-2011) and in the Department of Industrial Engineering & Operations Research at Columbia University (2011-2016). 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 60 articles and written four books respectively, on the topics of Mean Reversion Trading, ETFs, Employee Stock Options, and Futures Trading. In 2016, he won the Emerald Literati Network Award.
Professor Leung is the founding editor of the book series, Modern Trends in Financial Engineering. He also serves on the editorial board 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. In 2020, he is the co-editor of the IEEE Intelligent Systems Special Issue on AI and Fintech. He has served as the 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).
- Tim Leung. (2021) Employee Stock Options, Exercise Timing, Hedging, and Valuation. World Scientific
- Tim Leung and Marco Santoli (2016). Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, Springer Briefs in Quantitative Finance, Springer, New York.
- Tim Leung and Xin Li. (2016). Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications. (1st ed.) Singapore, World Scientific Publishing Company.
- 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
- 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)
- Prof. Tim Leung Quoted in Bloomberg News on Cryptocurrency - July 19, 2021
- Applied Mathematical Tools for Modern Financial Problems - August 25, 2017
- CFRM Featured in the UW Daily - July 26, 2017
- Professor Leung receives 2016 Emerald Literati Award - September 7, 2016
- Drs. Ivana Bozic and Tim Leung join Amath faculty - April 4, 2016