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ECONIS (ZBW)
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Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Yamada, Yuji
;
Primbs, James A.
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Asia-Pacific financial markets
25
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012032980
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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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4
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
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