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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 (email)

Biography

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

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).

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