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Optimal trading with cointegrated pairs of stocks
Yamada, Yuji; Primbs, James A. - In: Recent advances in financial engineering 2011: …, (pp. 183-202). 2012
Persistent link: https://www.econbiz.de/10009573431
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A moment computation algorithm for the error in discrete dynamic hedging
Primbs, James A.; Yamada, Yuji - In: Journal of banking & finance 30 (2006) 2, pp. 519-540
Persistent link: https://www.econbiz.de/10003291317
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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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Distribution-based option pricing on lattice asset dynamics models
Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 599-618
Persistent link: https://www.econbiz.de/10001743192
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Value-at-risk estimation for dynamic hedging
Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 333-354
Persistent link: https://www.econbiz.de/10001682217
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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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Pairs trading under transaction costs using model predictive control
Primbs, James A.; Yamada, Yuji - In: Quantitative finance 18 (2018) 6, pp. 885-895
Persistent link: https://www.econbiz.de/10011907977
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Optimal hedging of prediction errors using prediction errors
Yamada, Yuji - In: Asia-Pacific financial markets 15 (2008) 1, pp. 67-95
Persistent link: https://www.econbiz.de/10003757439
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Valuation and hedging of weather derivatives on monthly average temperature
Yamada, Yuji - In: Journal of risk 10 (2007/08) 1, pp. 101-125
Persistent link: https://www.econbiz.de/10003572544
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Properties of optimal smooth functions in additive models for hedging multivariate derivatives
Yamada, Yuji - In: Asia-Pacific financial markets 19 (2012) 2, pp. 149-179
Persistent link: https://www.econbiz.de/10009629160