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2020 – today
- 2024
[j15]Yiming Peng, Vadim Linetsky:
Partially egalitarian portfolio selection. Oper. Res. Lett. 52: 107055 (2024)- 2022
- [c3]Yiming Peng, Vadim Linetsky:
Portfolio Selection: A Statistical Learning Approach. ICAIF 2022: 257-263 - 2021
- [c2]Muchen Zhao, Vadim Linetsky:
High frequency automated market making algorithms with adverse selection risk control via reinforcement learning. ICAIF 2021: 33:1-33:9
2010 – 2019
- 2018
- [j14]Likuan Qin, Vadim Linetsky:
Long-term factorization in Heath-Jarrow-Morton models. Finance Stochastics 22(3): 621-641 (2018) - 2016
- [j13]Likuan Qin, Vadim Linetsky:
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing. Oper. Res. 64(1): 99-117 (2016) - 2015
- [j12]Lingfei Li
, Vadim Linetsky:
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Finance Stochastics 19(4): 941-977 (2015) - 2013
- [j11]Lingfei Li, Vadim Linetsky:
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach. Oper. Res. 61(3): 625-643 (2013) - 2011
- [j10]Rafael Mendoza-Arriaga, Vadim Linetsky:
Pricing equity default swaps under the jump-to-default extended CEV model. Finance Stochastics 15(3): 513-540 (2011) - [j9]Liming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal:
On the solution of complementarity problems arising in American options pricing. Optim. Methods Softw. 26(4-5): 813-825 (2011) - [c1]Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky:
Valuation of collateralized debt obligations in a multivariate subordinator model. WSC 2011: 3747-3759
2000 – 2009
- 2009
- [j8]Liming Feng, Vadim Linetsky:
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance Stochastics 13(4): 501-529 (2009) - 2008
- [j7]Liming Feng, Vadim Linetsky:
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. Oper. Res. 56(2): 304-325 (2008) - 2007
- [j6]Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi:
Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty. J. Sci. Comput. 33(3): 209-237 (2007) - 2006
- [j5]Peter Carr, Vadim Linetsky:
A jump to default extended CEV model: an application of Bessel processes. Finance Stochastics 10(3): 303-330 (2006) - 2004
- [j4]Vadim Linetsky:
Lookback options and diffusion hitting times: A spectral expansion approach. Finance Stochastics 8(3): 373-398 (2004) - [j3]Vadim Linetsky:
Spectral Expansions for Asian (Average Price) Options. Oper. Res. 52(6): 856-867 (2004) - 2003
- [j2]Dmitry Davydov, Vadim Linetsky:
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach. Oper. Res. 51(2): 185-209 (2003) - 2001
- [j1]Dmitry Davydov, Vadim Linetsky:
Pricing and Hedging Path-Dependent Options Under the CEV Process. Manag. Sci. 47(7): 949-965 (2001)
Coauthor Index
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