| Publication | Date of Publication | Type |
|---|
On Feedforward Stock Trading Control Using a New Transaction Level Price Trend Model
IEEE Transactions on Automatic Control | 2022-02-24 | Paper |
A Generalization of Simultaneous Long–Short Stock Trading to PI Controllers
IEEE Transactions on Automatic Control | 2018-12-19 | Paper |
Model predictive control for optimal pairs trading portfolio with gross exposure and transaction cost constraints
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
A Riccati Based Interior Point Algorithm for the Computation in Constrained Stochastic MPC
IEEE Transactions on Automatic Control | 2017-09-08 | Paper |
Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise
IEEE Transactions on Automatic Control | 2017-08-08 | Paper |
On a New Paradigm for Stock Trading Via a Model-Free Feedback Controller
IEEE Transactions on Automatic Control | 2017-05-03 | Paper |
A factor model approach to derivative pricing
| 2016-11-07 | Paper |
SDP relaxation of arbitrage pricing bounds based on option prices and moments
Journal of Optimization Theory and Applications | 2010-03-05 | Paper |
Dynamic hedging of basket options under proportional transaction costs using receding horizon control
International Journal of Control | 2010-01-06 | Paper |
Trader Behavior and its Effect on Asset Price Dynamics
Applied Mathematical Finance | 2009-09-13 | Paper |
A stochastic receding horizon control approach to constrained index tracking
Asia-Pacific Financial Markets | 2008-09-10 | Paper |
A new computational tool for analysing dynamic hedging under transaction costs
Quantitative Finance | 2008-08-07 | Paper |
Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach
Quantitative Finance | 2008-05-22 | Paper |
Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis
Applied Mathematical Finance | 2007-06-07 | Paper |
Properties of multinomial lattices with cumulants for option pricing and hedging
Asia-Pacific Financial Markets | 2006-11-17 | Paper |
VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
The analysis of optimization based controllers
Automatica | 2002-08-19 | Paper |
Kuhn-Tucker-based stability conditions for systems with saturation
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
Comparison of nonlinear control design techniques on a model of the Caltech ducted fan
Automatica | 2002-04-29 | Paper |
scientific article; zbMATH DE number 1728305 (Why is no real title available?)
| 2002-04-15 | Paper |
A new approach to stability analysis for constrained finite receding horizon control without end constraints
IEEE Transactions on Automatic Control | 2001-08-05 | Paper |
A framework for robustness analysis of constrained finite receding horizon control
IEEE Transactions on Automatic Control | 2001-08-05 | Paper |
Feasibility and stability of constrained finite receding horizon control
Automatica | 2001-03-01 | Paper |
A receding horizon generalization of pointwise min-norm controllers
IEEE Transactions on Automatic Control | 2000-10-17 | Paper |
