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q-fin.MF2018
Optimal Timing to Trade Along a Randomized Brownian Bridge
Tim Leung, Jiao Li, Xin Li
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset pric…
q-fin.MF2016
Speculative Futures Trading under Mean Reversion
Tim Leung, Jiao Li, Xin Li +1
This paper studies the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the Ornstein-…
q-fin.MF2014
Optimal Starting-Stopping and Switching of a CIR Process with Fixed Costs
Tim Leung, Xin Li, Zheng Wang
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that in…