Tim Siu-Tang Leung
Assistant Professor

Applied Mathematics and Statistics
Johns Hopkins University
202B Whitehead Hall
3400 N. Charles Street
Baltimore, MD 21218
Email:

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



Education
  • Ph.D., Operations Research and Financial Engineering. Princeton University. 2004 - 2008
  • B.S., Operations Research and Industrial Engineering. Cornell University. 2001 - 2003



    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.

    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
  • AMS Eastern Sectional Meeting, New Jersey, May 22-23, 2010
             --Special Session on Financial Mathematics

  • INFORMS Applied Probability Conference, Cornell University, Ithaca NY, July 12-15, 2009
  • AMS Annual Meeting, Washington D.C., Jan. 5-8, 2009
             --Special Session on Financial Mathematics



    Useful Information & Links:

    Admissions
  • JHU Financial Math. Master's Program
  • JHU Applied Math & Statistics Ph.D. Program (including Financial Math);

    Seminars
  • JHU Seminars in Applied Math & Statistics
  • JHU Financial Math. Practitioners Seminar (Dept of Applied Math & Stat)
  • JHU Seminars in Economics (2009 Theme: Financial Crisis)