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A moment computation algorithm...
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ECONIS (ZBW)
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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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2
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
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3
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
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4
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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5
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
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6
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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7
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
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8
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/10005194807
Saved in:
9
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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10
Valuation and hedging of weather derivatives on monthly average temperature
Yamada, Yuji
- In:
Journal of risk
10
(
2007/08
)
1
,
pp. 101-125
Persistent link: https://www.econbiz.de/10003572544
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