Vadim Linetsky

18 papers Misc 1Journal 15Unranked 2
YearRankTypeTitle / Venue / Authors
2024 J jnl
Partially egalitarian portfolio selection.
Oper. Res. Lett.
Yiming Peng, Vadim Linetsky
2022 — conf
Portfolio Selection: A Statistical Learning Approach.
ICAIF
Yiming Peng, Vadim Linetsky
2021 — conf
High frequency automated market making algorithms with adverse selection risk control via reinforcement learning.
ICAIF
Muchen Zhao, Vadim Linetsky
2018 J jnl
Long-term factorization in Heath-Jarrow-Morton models.
Finance Stochastics
Likuan Qin, Vadim Linetsky
2016 J jnl
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing.
Oper. Res.
Likuan Qin, Vadim Linetsky
2015 J jnl
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach.
Finance Stochastics
Lingfei Li, Vadim Linetsky
2013 J jnl
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach.
Oper. Res.
Lingfei Li, Vadim Linetsky
2011 J jnl
On the solution of complementarity problems arising in American options pricing.
Optim. Methods Softw.
Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal
2011 J jnl
Pricing equity default swaps under the jump-to-default extended CEV model.
Finance Stochastics
Rafael Mendoza-Arriaga, Vadim Linetsky
2011 Misc conf
Valuation of collateralized debt obligations in a multivariate subordinator model.
WSC
Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky
2009 J jnl
Computing exponential moments of the discrete maximum of a Lévy process and lookback options.
Finance Stochastics
Liming Feng, Vadim Linetsky
2008 J jnl
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.
Oper. Res.
Liming Feng, Vadim Linetsky
2007 J jnl
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.
J. Sci. Comput.
Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi
2006 J jnl
A jump to default extended CEV model: an application of Bessel processes.
Finance Stochastics
Peter Carr, Vadim Linetsky
2004 J jnl
Lookback options and diffusion hitting times: A spectral expansion approach.
Finance Stochastics
Vadim Linetsky
2004 J jnl
Spectral Expansions for Asian (Average Price) Options.
Oper. Res.
Vadim Linetsky
2003 J jnl
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach.
Oper. Res.
Dmitry Davydov, Vadim Linetsky
2001 J jnl
Pricing and Hedging Path-Dependent Options Under the CEV Process.
Manag. Sci.
Dmitry Davydov, Vadim Linetsky