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The University of Texas at Dallas Erik Jonsson School of Engineering and Computer Science

James A. Primbs
Associate Professor of the Systems Engineering Department

972-883-4534 | Office: ECSS 3.903 | email

 

 

Education
1999 PhD Control and Dynamical Systems, Caltech
1995 MS Electrical Engineering, Stanford University
1994 BS Electrical Engineering, UC Davis
1994 BS Math, UC Davis

Experience

  • Consulting Associate Professor, Stanford University, 2011-2012
  • Assistant Professor, Stanford University, 2001-2011

Research Interests

  • Control Methods for Dynamic Hedging and Portfolio Optimization
  • Receding Horizon Control/Model Predictive Control
  • Robustness of Feedback Trading Strategies

Honors, Awards and Recognition

  • Secretary, Financial Services Section, INFORMS (2009-2012)
  • Eugene L. Grant Award for Excellence in Undergraduate Teaching (2007-2008)
  • MS&E Graduate Teaching Award (2004-2005)
  • Hellman Faculty Scholar (2004)
  • David Morganthaler II Faculty Scholar (2001-2003)
  • Recent Publications

    • M. Shin and J.A. Primbs, "A Riccati based Interior Point Algorithm for the Computation in Constrained Stochastic MPC", IEEE Transactions on Automatic Control, Vol. 57, No. 3, pp. 760-765, March 2012.
    • J. A. Primbs, "An SDP Relaxation of Arbitrage Pricing Bounds based on Option Prices and Moments", Journal of Optimization Theory and Applications, Vol. 144, No. 1, pp. 137-155, Jan. 2010.
    • J. A. 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.
    • J. A. Primbs and M. Rathinam, "Trader Behavior and its Effect on Asset Price Dynamics", Applied Mathematical Finance, Vol. 16, Issue 2, pp. 151-182, Apr. 2009.
    • J. A. Primbs and C.H. Sung, "Stochastic Receding Horizon Control of Constrained Linear Systems with State and Control Multiplicative Noise", IEEE Transactions on Automatic Control, Vol. 54, No. 2, pp. 221-230, Feb. 2009.

     

     

     

     

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