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Pairs trading under transaction costs using model predictive control
Primbs, James A.
;
Yamada, Yuji
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Quantitative finance
18
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2018
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6
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pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
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pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
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