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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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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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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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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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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
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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
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Cross hedging using prediction error weather derivatives for loss of solar output prediction errors in electricity market
Matsumoto, Takuji; Yamada, Yuji - In: Asia-Pacific financial markets 26 (2019) 2, pp. 211-227
Persistent link: https://www.econbiz.de/10012308054