<<A>> factor model approach to derivative pricing

von Primbs, James A.
Veröffentlicht 2017

Properties of multinomial lattices with cumulants for option pricing and hedging

von Yamada, Yuji
Veröffentlicht in Asia-Pacific financial markets (2006)

Pairs trading under transaction costs using model predictive control

von Primbs, James A.
Veröffentlicht in Quantitative finance (2018)

Optimal trading with cointegrated pairs of stocks

von Yamada, Yuji
Veröffentlicht in Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011 (2012)

A moment computation algorithm for the error in discrete dynamic hedging

von Primbs, James A.
Veröffentlicht in Journal of banking & finance (2006)

Value-at-risk estimation for dynamic hedging

von Yamada, Yuji
Veröffentlicht in International journal of theoretical and applied finance (2002)

Trader behavior and its effect on asset price dynamics

von Primbs, James A.
Veröffentlicht in Applied mathematical finance (2009)

Distribution-based option pricing on lattice asset dynamics models

von Yamada, Yuji
Veröffentlicht in International journal of theoretical and applied finance (2002)

Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints

von Yamada, Yuji
Veröffentlicht in Asia-Pacific financial markets (2018)

A stochastic receding horizon control approach to constrained index tracking

von Primbs, James A.
Veröffentlicht in Asia-Pacific financial markets (2008)

Option pricing with a pentanomial lattice model that incorporates skewness and kurtosis

von Primbs, James A
Veröffentlicht in Applied mathematical finance (2007)

A penalty cost approach to strategic asset allocation with illiquid asset classes

von Hayes, Mark H.
Veröffentlicht in The journal of portfolio management (2015)