Publications

Publications (By Subject)
	MPC/RHC · RHC and Control Lyapunov Functions · Stability, Performance, and Robustness Analysis · Stochastic RHC/MPC · Additional Control Related Control Approach to Financial Engineering · RHC/MPC methods · SDP/SOS Option Pricing Bounds · Trader Behavior and Feedback Modeling · Dynamic Hedging Analysis and Lattice Methods · Market Segmentation · Pairs Trading
MPC/RHC
	RHC and Control Lyapunov Functions 1. J. Primbs, "Nonlinear Optimal Control: A Receding Horizon Approach", PhD Thesis, Control and Dynamical Systems, California Institute of Technology, 1999. 2. 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. 3. 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. 4. 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. 5. 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. Stability, Performance, and Robustness Analysis 1. J. Primbs and V. Nevistic, "Feasibility and Stability of Constrained Finite Receding Horizon Control," Automatica 36, pp. 965-971, 2000. 2. 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. 3. A. Jadbabaie, J. Primbs, and J. Hauser, “Unconstrained receding horizon control with no terminal cost,” Proceedings of the American Control Conference, June 2001. 4. 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. 5. J. Primbs, "The Analysis of Optimization Based Controllers," Automatica Vol. 37, No. 6, pp. 933-938 , 2001. 6. 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. 7. 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. 8. 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. Stochastic RHC/MPC 1. M. Shin and J. Primbs, “A Fast Algorithm for Stochastic Model Predictive Control with Probabilistic Constraints”, Submitted to ACC 2010. 2. 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. 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. Additional Control Related 1. 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. 2. 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. 3. 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. 4. 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. 5. 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.
Control Approach to Financial Engineering
	RHC/MPC Methods 1. J. Primbs, “LQR and Receding Horizon Approaches to Multi-Dimensional Options Hedging under Transaction Costs”, Submitted to ACC 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 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. 4. 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. 5. 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. 6. Pete Meindl and J. Primbs, “Dynamic Hedging with Stochastic Volatility Using Receding Horizon Control”, Proceedings of Financial Engineering Applications, MIT, Nov. 8-10, 2004. SDP/SOS Option Pricing Bounds 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, “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, “Option Pricing Bounds via Semidefinite Programming”, Proceedings of the 2006 American Control Conference, Minneapolis, MN, June 14-16, pp. 1266-1271, 2006. Trader Behavior and Feedback Modeling 1. 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. 2. 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. Dynamic Hedging Analysis and Lattice Methods 1. 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. 2. 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. 3. 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. 4. 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. 5. 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. 6. 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. Market Segmentation 1. Q. Li and J. Primbs, “Pricing a New Asset in a Hierarchical Segmented Market”. 2. Q. Li and J. Primbs, “Asset Pricing in Hierarchical Segmented Markets”. Pairs Trading 1. S-J. Kim, J. Primbs, and S. Boyd, “Dynamic Spread Trading”. 2. 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.