Professor Tim Leung is a tenured Associate Professor in the Department of Applied Mathematics and the Director of the Computational Finance & Risk Management (CFRM) program. Professor Leung obtained his PhD in Operations Research & Financial Engineering at Princeton University. He was previously 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.
Professor Leung's 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), and published in dozens of journal articles. He has 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 an Associate Editor of a number of journals, including Applied Mathematical Finance, SIAM Journal on Financial Math, Journal of Financial Engineering, Studies in Economics & Finance, High Frequency, and Digital Signal Processing. He 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.
Professor Leung regularly supervises PhD, MS, and undergraduate research projects, collaborates with academics, practitioners, and regulators, and he is active in conference organization. He is the Chair of the INFORMS Finance Section, and the Vice Chair of the SIAM Activity Group on Financial Mathematics & Engineering (SIAG-FME).
- Tim Leung and Marco Santoli (2016). Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, Springer Briefs in Quantitative Finance, Springer, New York.
- Leung, Tim, and Xin Li. (2016). Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications. (1st ed.) Singapore, World Scientific Publishing Company.
- 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