Publications

Publications
	Submitted Journal Conference Tech Reports Thesis
Submitted Papers
	1. J. Primbs, “LQR and Receding Horizon Approaches to Multi-Dimensional Option Hedging under Transaction Costs”, Submitted to ACC 2010. 2. M. Shin and J. Primbs, “A Fast Algorithm for Stochastic Model Predictive Control with Probabilistic Constraints”, Submitted to ACC 2010 3. S-J. Kim, J. Primbs, and S. Boyd, “Dynamic Spread Trading”, Submitted to Quantitative Finance.
Journal Papers
	1. J. Primbs, “An SDP Relaxation of Arbitrage Pricing Bounds based on Option Prices and Moments”. To Appear in Journal of Optimization Theory and Applications, Jan. 2010. 2. J. Primbs, “Dynamic Hedging of Basket Options under Proportional Transaction Costs using Receding Horizon Control”, International Journal of Control, Vol. 82, Issue 10, pp. 1841-1855, Oct. 2009. 3. J. Primbs and M. Rathinam, “Trader Behavior and its Effect on Asset Price Dynamics”, Applied Mathematical Finance, Vol. 16, Issue 1-2, pp. 151-182, Feb-Apr. 2009. 4. J. Primbs and C.H. Sung, “Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise”, IEEE TAC, Vol. 54, No. 2, pp 221-230, Feb. 2009. 5. J. Primbs and C. H. Sung, “A Stochastic Receding Horizon Control Approach to Constrained Index Tracking”, Asia-Pacific Financial Markets, Vol. 15, No. 1, pp 3-24, March 2008. 6. J. Primbs and Y. Yamada, “A New Computational Tool for Analyzing Dynamic Hedging under Transaction Costs”, Quantitative Finance, Vol. 8, Issue 4, pp 405-413, June 2008. 7. P. Meindl and J. Primbs, “Dynamic Hedging of Single and Multi-dimensional Options with Transaction Costs: A General Utility Maximization Approach”, Quantitative Finance, pp. 299-312, Vol.8, No. 3, April, 2008. 8. J. Primbs, M. Rathinam, and Y. Yamada, “Option Pricing with a Pentanomial Lattice Model that Incorporates Skewness and Kurtosis”, Applied Math Finance, Vol. 14, Issue 1, Pages 1-17, Feb. 2007. 9. J. Primbs and Y. Yamada, "A Moment Computation Algorithm for the Error in Discrete Dynamic Hedging" Journal of Banking and Finance, Vol. 30, Issue 2, Pages 519-540, Feb. 2006. 10. Y. Yamada and J. Primbs , “Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging”, Asia-Pacific Financial Markets, Vol. 11, No. 3, pp 335-365, Sept 2004. 11. Y. Yamada and J. Primbs, "Value at Risk (VaR) Estimation for Dynamic Hedging," International Journal of Theoretical and Applied Finance, pp. 333-354, Vol. 5, No. 4, June 2002. 12. Y. Yamada and J. Primbs, "Distribution based Option Pricing on Lattice Asset Dynamics Models," International Journal of Theoretical and Applied Finance, pp. 599-618, Vol. 5, No. 6, pp., Sept. 2002. 13. J. Primbs, "The Analysis of Optimization Based Controllers," Automatica Vol. 37, No. 6, pp. 933-938 , 2001. 14. J. Primbs and M. Giannelli, "Kuhn-Tucker based Stability Conditions for Systems with Saturation," IEEE Transactions on Automatic Control, Vol. 46, No 10, pp. 1643-1647, October 2001. 15. J. Yu, A. Jadbabaie, J. Primbs, and Y. Huang, "Comparison of Nonlinear Control Designs for a Ducted Fan Model," Automatica 37(12) pp. 1971-1978, 2001. 16. J. Primbs, V. Nevistic and J. Doyle, "A Receding Horizon Generalization of Pointwise Min-Norm Controllers," IEEE Trans. on Automatic Control, Vol 45, No 5, pp 898-909, May 2000. 17. J. Primbs and V. Nevistic, "A Framework for Robustness Analysis of Finite Receding Horizon Control," IEEE Trans. on Automatic Control, Vol 45, No 10, pp 1828-1838, October 2000. 18. J. Primbs and V. Nevistic, "Feasibility and Stability of Constrained Finite Receding Horizon Control," Automatica 36, pp. 965-971, 2000. 19. J. Primbs and V. Nevistic, "A New Approach to Stability Analysis of Finite Receding Horizon Control without End Constraints," IEEE Trans. on Automatic Control, Vol 45, No 8, 1507-1512, August 2000. 20. J. Primbs, V. Nevistic and J. Doyle, "Nonlinear Optimal Control: A Control Lyapunov Function and Receding Horizon Perspective," Asian Journal of Control, Vol.1, No 1, pp. 14-24, March 1999.
Conference Papers
	1. S. Mudchanatongsuk, J. Primbs, and W. Wong, “Optimal Pairs Trading: A Stochastic Control Approach”, Proceedings of the American Control Conference, Seattle, WA, pp. 1035-1039, June 2008. 2. J. Primbs, “Optimization based Option Pricing Bounds via Piecewise Polynomial Super- and Sub-Martingales”, Proceedings of the American Control Conference, Seattle, WA, pp. 363-368, June 2008. 3. J. Primbs, “A Soft Constraint Approach to Stochastic Receding Horizon Control”, Proceedings of the 46th IEEE Conference on Decision and Control, New Orleans, LA, pp. 4797-4802, Dec. 2007. 4. J. Primbs, S. Mudchanatongsuk, and W. Wong, “A Receding Horizon Control Formulation of European Basket Option Hedging”, Financial Engineering Applications, 2007. 5. J. Primbs, “Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise”, Proceedings of the 2007 American Control Conference, New York, NY, pp. 4470-4475, July 2007. 6. J. Primbs “Portfolio Optimization Applications of Stochastic Receding Horizon Control”, Proceeding of the 2007 American Control Conference, New York, NY, pp. 1811-1816, July 2007. 7. J. Primbs, “Option Pricing Bounds via Semidefinite Programming”, Proceedings of the 2006 American Control Conference, Minneapolis, MN, June 14-16, pp. 1266-1271, 2006. 8. J. Primbs and M. Rathinam, “Trader Behavior and Hedging Feedback in the Stock Pinning Phenomena”, Proceedings of the 2006 American Control Conference, Minneapolis, MN, June 14-16, pp. 1272-1277, 2006. 9. Y. Yamada and J. Primbs, “Option Valuation and Hedging using Multinomial Lattices with Cumulants”, Proceedings of the 2006 American Control Conference, Minneapolis, MN, June 14-16, pp. 1278-1283, 2006. 10. J. Primbs and Y. Yamada, “Analysis Tools and Techniques for Dynamic Hedging under Transaction Costs”, Proceedings of Financial Engineering Applications, MIT, Nov. 8-10, 2004. 11. Y. Yamada and J. Primbs, “Effect of higher order moments on hedging loss VaR and CVaR”, Proceedings of Financial Engineering Applications, MIT, Nov. 8-10, 2004 12. Pete Meindl and J. Primbs, “Dynamic Hedging with Stochastic Volatility Using Receding Horizon Control”, Proceedings of Financial Engineering Applications, MIT, Nov. 8-10, 2004. 13. J. Primbs and Y. Yamada, “A Moment Based Analysis of Hedging Under Discrete Trading,” Proceedings of Computational Intelligence for Financial Engineering, March 20-23, 2003. 14. Y. Yamada and J. Primbs, “Mean Square Optimal Hedges using Higher Order Moments,” Proceedings of Computational Intelligence for Financial Engineering, March 20-23, 2003 and Proc. of the 6th Columbia-JAFEE International Conference, Tokyo, pp148-161, March 15-16, 2003. 15. J. Primbs and M. Rathinam, “Trader Behavior in the Modeling of Asset Price Dynamics,” Computational Intelligence in Economics and Finance, Proceedings of 7^th Joint Conference on Information Sciences, pp. 1247-1250, Research Triangle Park, North Carolina, September 27, 2003. 16. Y. Yamada and J. Primbs, ``On the relations between market risk and higher order moments," Proc. of JAFEE Conference, pp. 238--252 April, 2002. 17. Y. Yamada and J. Primbs, “Construction of Multinomial Lattices for Optimal Hedges,” Proceedings of the International Conference on Computational Science, (1) 2001, 579-588. 18. Y. Yamada and J. Primbs, "Risk Estimates for Dynamic Hedging using Convex Probability Bounds, " Proceedings of the American Control Conference. June 2001. 19. A. Jadbabaie, J. Primbs, and J. Hauser, “Unconstrained receding horizon control with no terminal cost,” Proceedings of the American Control Conference, June 2001. 20. Y. Yamada and J. Primbs, "Distribution based Option Pricing on Lattice Asset Dynamics Models," In Proceedings of the 2000 American Control Conference, pages 3393-3397, Chicago, IL, July 2000. 21. M. Giannelli and J. Primbs, "An Analysis Technique for Optimization Based Control applied to Quasi-LPV Plants," In Proceedings of the 2000 American Control Conference, pages 1909-1913, Chicago, IL, July 2000. 22. J. Primbs, "The Analysis of Optimization Based Controllers," In Proceedings of the 1999 American Control Conference, pages 3297-3301, San Diego, CA, June 1999. 23. J. Yu, A. Jadbabaie, J. Primbs and Y. Huang, "Comparison of Nonlinear Control Designs for a Ducted Fan Model," In Proceedings of the 1999 IFAC World Congress, Vol. E, pages 53-58, Beijing, China, July 1999. 24. J. Primbs and M. Giannelli. "A Control Lyapunov Function based Receding Horizon Methodology for Input Constrained Nonlinear Systems," In Proceedings of the 1999 IFAC World Congress, Vol. E, 527-532, Beijing, China, July 1999. 25. J. Primbs and V. Nevistic. "A Framework for Robustness Analysis of Constrained Finite Receding Horizon Control," In Proceedings of the 1998 American Control Conference, pages 2718-2722, Philadelphia, PA, June 1998. 26. J. Primbs, V. Nevistic and J. Doyle. "On Receding Horizon Extensions and Control Lyapunov Functions," In Proceedings of the 1998 American Control Conference, pages 3276-3280, Philadelphia, PA, June 1998. 27. J. Primbs and M. Giannelli. "Control Lyapunov Function based Receding Horizon Control from Time-Varying Systems," In Proceedings of the 1998 Conference on Decision and Control, pages 1382-1383, Tampa, Florida, December 1998. 28. J. Primbs and V. Nevistic. "MPC Extensions to Feedback Linearizable Systems," In Proceeding of the 1997 American Control Conference, pages 2073-2077, Albuquerque, NM, June 1997. 29. M. Kantner and J. Primbs. "Nonlinear MPC Lower Bounds via Robust Simulation," In Proceedings of the 1997 American Control Conference, pages 1633-1634, Albuquerque, NM, June 1997. 30. V. Nevistic and J. Primbs. "Receding Horizon Quadratic Optimal Control: Performance Bounds for a Finite Horizon Strategy," In Proceedings of the 1997 European Control Conference, Brussels, Belgium, July 1997. 31. J. Primbs and V. Nevistic. "Constrained Finite Receding Horizon Linear Quadratic Control," In Proceedings of the 1997 IEEE Conference on Decision on Control, pages 3196-3201, San Diego, CA, Dec. 1997. 32. J. Doyle, J. Primbs, B. Shapiro, and V. Nevistic. "Nonlinear games: examples and counterexamples," In Proceedings of 35th IEEE Conference on Decision and Control, pages 3915-3920, Kobe, Japan, December 1996. 33. R. Freeman and J. Primbs. "Control Lyapunov Functions: New Ideas from and Old Source," In Proceedings of 35th IEEE Conference on Decision and Control, pages 3926-3931, Kobe, Japan, December 1996. 34. V. Nevistic and J. Primbs. "Model Predictive Control: breaking through constraints," In Proceedings of 35th IEEE Conference on Decision and Control, pages 3932-3937, Kobe, Japan, December 1996.
Technical Reports and Working Papers
	1. J. Primbs and M. Giannelli. "Kuhn-Tucker based Stability Conditions for Systems with Saturation," Technical Report No. CIT-CDS 00-005, California Institute of Technology, Pasadena, CA 91125, December 2000. 2. J. Primbs and V. Nevistic. "Constrained Finite Receding Horizon Linear Quadratic Control," Technical Report No. CIT-CDS 97-002, California Institute of Technology, Pasadena, CA 91125, 1997. 3. V. Nevistic and J. Primbs. "Finite Receding Horizon Linear Quadratic Control: A Unifying Theory for Stability and Performance Analysis," Technical Report No. CIT-CDS 97-001, California Institute of Technology, Pasadena, CA 91125, 1997. 4. J. Primbs and V. Nevistic. "Optimality of nonlinear design techniques: A converse HJB approach," Technical Report No. CIT-CDS 96-022, California Institute of Technology, Pasadena, CA 91125, 1996. 5. V. Nevistic and J. Primbs. "Constrained nonlinear optimal control: A converse HJB approach," Technical Report No. CIT-CDS 96-021, California Institute of Technology, Pasadena, CA 91125, 1996.
Thesis
	"Nonlinear Optimal Control: A Receding Horizon Approach", PhD Thesis, Control and Dynamical Systems, California Institute of Technology, 1999.

1. J. Primbs and M. Giannelli. "Kuhn-Tucker based Stability Conditions for Systems with Saturation," Technical Report No. CIT-CDS 00-005, California Institute of Technology, Pasadena, CA 91125, December 2000.

2. J. Primbs and V. Nevistic. "Constrained Finite Receding Horizon Linear Quadratic Control," Technical Report No. CIT-CDS 97-002, California Institute of Technology, Pasadena, CA 91125, 1997.