Tim Siu-Tang Leung
Assistant Professor

Applied Mathematics and Statistics
Johns Hopkins University
302 Whitehead Hall
3400 N. Charles Street
Baltimore, MD 21218

Email:

Phone: 410-516-7582
Fax: 410-516-7459

News:
- JHU Fin. Math. Master's Program;
- JHU Seminars in Applied Math & Statistics;
- EQuad News (Princeton) Article.


Research
Employee Stock Options

Accounting for Risk Aversion, Vesting, Job Termination Risk and Multiple Exercises in Valuation of Employee Stock Options, with Ronnie Sircar.
    November 2006, revised August 2007. Mathematical Finance, Vol. 19, Issue 1, pp. 99-128, January 2009.

Exponential Hedging with Optimal Stopping and Application to ESO Valuation, with Ronnie Sircar.
    March 2008, revised November 2008. SIAM Journal on Control and Optimization, Vol. 48, Issue 3, pp. 1422-1451, April 2009.

Employee Stock Options: Accounting for Optimal Hedging, Suboptimal Exercises, and Contractual Restrictions. August 2008.
    INFORMS Annual Meeting (Financial Services Session) Research Paper Competition - 2nd place.

* A general press article about my research on the cost of employee stock options:
   Eurekalert, EQuad News (Princeton), etc.

Credit Risk

Credit Derivatives and Risk Aversion, with Ronnie Sircar and Thaleia Zariphopoulou. October 2007, revised December 2007.
   Advances in Econometrics vol. 22 (eds. Tom Fomby, Jean-Pierre Fouque and Knut Solna), Elsevier Science, December 2008.




Recent Presentations

Recent Meetings

INFORMS Annual Meeting, Washington D.C., Oct. 12-15, 2008
         --Models and Analysis in Financial Engineering, Session Chair

SIAM Conference on Financial Mathematics & Engineering, Nov. 21-22, 2008

AMS Annual Meeting, Washington D.C., Jan. 5-8, 2009
         --Special Session on Financial Mathematics, Co-organizer

INFORMS Applied Probability Conference, Cornell University, Ithaca NY, July 12-15, 2009