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
2025 Best paper conf
Assessing the Effectiveness of the Tigress Obfuscator Against MOPSA and BinaryNinja.
CheckMATE
Nicolò Altamura, Enrico Bragastini, Marco Campion, Mila Dalla Preda
2026 Best paper preprint
ASSEMBLAGE-DEEPHISTORY: A Cross-Build Binary Dataset with Temporal Coverage.
arXiv
Chang Liu, Noah Fleischmann, Nicolò Altamura, Edward Raff, James Holt, Kristopher Micinski