42 citations · 144 across the 29 of their papers we have counts for
4 papers · 1 filter
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
Tim Leung, Yang Zhou
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility…
Optimal Trading of a Basket of Futures Contracts
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, w…
Tracking VIX with VIX Futures: Portfolio Construction and Performance
Tim Leung, Brian Ward
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate…
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
Tim Leung, Yang Zhou
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination…