Vadim Linetsky

Available identifiers

zbMath Open linetsky.vadimMaRDI QIDQ318868

List of research outcomes

Publication	Date of Publication	Type
Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound	2020-04-22	Paper
Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk	2019-09-16	Paper
Long-Term Risk: A Martingale Approach	2019-01-31	Paper
Long-term factorization in Heath-Jarrow-Morton models	2018-07-16	Paper
Long-term factorization of affine pricing kernels	2017-12-29	Paper
MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS	2016-11-01	Paper
Evaluating callable and putable bonds: an eigenfunction expansion approach	2016-10-06	Paper
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing	2016-05-13	Paper
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach	2015-11-09	Paper
Pricing equity default swaps under the jump-to-default extended CEV model	2014-12-17	Paper
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS	2014-05-14	Paper
Time-changed CIR default intensities with two-sided mean-reverting jumps	2014-05-05	Paper
Optimal stopping in infinite horizon: an eigenfunction expansion approach	2014-04-17	Paper
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach	2013-09-05	Paper
Pricing and Hedging Path-Dependent Options Under the CEV Process	2012-02-19	Paper
On the solution of complementarity problems arising in American options pricing	2011-11-15	Paper
TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING	2010-10-15	Paper
Computing exponential moments of the discrete maximum of a Lévy process and lookback options	2010-04-22	Paper
An Algorithm for Linear Complementarity and its Application in American Options Pricing	2010-01-22	Paper
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach	2009-08-13	Paper
Spectral Expansions for Asian (Average Price) Options	2009-07-17	Paper
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach	2009-07-05	Paper
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH	2008-08-21	Paper
INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL	2008-05-22	Paper
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty	2008-01-04	Paper
A jump to default extended CEV model: an application of Bessel processes	2006-12-08	Paper
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY	2006-09-25	Paper
On the transition densities for reflected diffusions	2005-09-29	Paper
Lookback options and diffusion hitting times: a spectral expansion approach	2005-05-20	Paper
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE	2005-02-28	Paper
The spectral representation of Bessel processes with constant drift: applications in queueing and finance	2004-09-24	Paper
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates	2004-05-27	Paper
Step Options	2001-11-26	Paper
The Valuation of Executive Stock Options in an Intensity-Based Framework *	2000-01-01	Paper
The path integral approach to financial modeling and options pricing	1998-05-26	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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