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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

Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging

Yamada, Yuji; Primbs, James - In: Asia-Pacific Financial Markets 11 (2004) 3, pp. 335-365

Persistent link: https://www.econbiz.de/10005075680

Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis

Primbs, James; Rathinam, Muruhan; Yamada, Yuji - In: Applied Mathematical Finance 14 (2007) 1, pp. 1-17

This paper analyzes a pentanomial lattice model for option pricing that incorporates skewness and kurtosis of the underlying asset. The lattice is constructed using a moment matching procedure, and explicit positivity conditions for branch probabilities are provided in terms of skewness and...

Persistent link: https://www.econbiz.de/10005495376