Associate professor, applied mathematics, and director of the Computational Finance & Risk Management program
Tim Leung is an associate professor in the department of applied mathematics and the director of the UW Computational Finance & Risk Management (CFRM) program. His 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).
Professor Leung’s research has been funded by the National Science Foundation and published in numerous journal articles. He has written two books, respectively, on Optimal Mean Reversion Trading, and ETFs. In 2016, he won the Emerald Literati Network Award.
He is an associate editor of a number of journals, including 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.
Ph.D. Operations Research & Financial Engineering, Princeton University, 2004 – 2008
B.S. Operations Research & Industrial Engineering, Cornell University 2001 – 2003
- Director, Computational Finance and Risk Management Program, 2016 – present
- Associate Professor, Applied Math, University of Washington, 2016 – present
- Assistant Professor, Applied Math & Statistics, Johns Hopkins University, 2008 – 2011
- Assistant Professor, Industrial Engineering & Operations Research, Columbia University, 2011 – 2016