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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

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

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

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

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

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

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific Financial Markets 21 (2014) 1, pp. 1-14

Option pricing under the Lévy process has been considered an important research direction in the field of financial engineering, where a closed-form expression for the standard European option is available due to the existence of analytically tractable characteristic function according to the...

Persistent link: https://www.econbiz.de/10010866368