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~person:"Primbs, James A."
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
A penalty cost approach to strategic asset allocation with illiquid asset classes
Hayes, Mark H.
;
Primbs, James A.
;
Chiquoine, Ben
- In:
The journal of portfolio management : a publication of …
41
(
2015
)
2
,
pp. 33-41
Persistent link: https://www.econbiz.de/10011294207
Saved in:
9
Trader behavior and its effect on asset price dynamics
Primbs, James A.
;
Rathinam, Muruhan
- In:
Applied mathematical finance
16
(
2009
)
1/2
,
pp. 151-181
Persistent link: https://www.econbiz.de/10003847155
Saved in:
10
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
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