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Properties of multinomial lattices with cumulants for option pricing and hedging
Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 11 (2004) 3, pp. 335-365
Persistent link: https://www.econbiz.de/10003365663
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji; Primbs, James A. - In: Asia-Pacific financial markets 25 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
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A stochastic receding horizon control approach to constrained index tracking
Primbs, James A.; Sung, Chang Hwan - In: Asia-Pacific financial markets 15 (2008) 1, pp. 3-24
Persistent link: https://www.econbiz.de/10003757432