Linetsky, Vadim: search on Z-Library

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1

The Path Integral Approach to Financial Modeling and Options Pricing

Journal:

Computational Economics

Year:

1997

Language:

english

File:

PDF, 242 KB

english, 1997

2

Computing exponential moments of the discrete maximum of a Lévy process and lookback options

Liming Feng, Vadim Linetsky

Journal:

Finance and Stochastics

Year:

2009

Language:

english

File:

PDF, 722 KB

english, 2009

3

Asset financing with credit risk

Steven Golbeck, Vadim Linetsky

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 888 KB

english, 2013

4

PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

Liming Feng, Vadim Linetsky

Journal:

Mathematical Finance

Year:

2008

Language:

english

File:

PDF, 1.58 MB

english, 2008

5

TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

Rafael Mendoza-Arriaga, Peter Carr, Vadim Linetsky

Journal:

Mathematical Finance

Year:

2010

Language:

english

File:

PDF, 415 KB

english, 2010

6

Evaluating callable and putable bonds: An eigenfunction expansion approach

Lim, Dongjae, Li, Lingfei, Linetsky, Vadim

Journal:

Journal of Economic Dynamics and Control

Year:

2012

Language:

english

File:

PDF, 306 KB

english, 2012

7

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing

Qin, Likuan, Linetsky, Vadim

Journal:

Operations Research

Year:

2016

Language:

english

File:

PDF, 414 KB

english, 2016

8

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

Li, Lingfei, Linetsky, Vadim

Journal:

Operations Research

Year:

2013

Language:

english

File:

PDF, 411 KB

english, 2013

9

Introduction to the special issue on applications of financial engineering in operations, production, services, logistics, and management

John Birge, Vadim Linetsky

Journal:

Naval Research Logistics (NRL)

Year:

2006

Language:

english

File:

PDF, 38 KB

english, 2006

10

A jump to default extended CEV model: an application of Bessel processes

Peter Carr, Vadim Linetsky

Journal:

Finance and Stochastics

Year:

2006

Language:

english

File:

PDF, 450 KB

english, 2006

11

Pricing equity default swaps under the jump-to-default extended CEV model

Rafael Mendoza-Arriaga, Vadim Linetsky

Journal:

Finance and Stochastics

Year:

2011

Language:

english

File:

PDF, 983 KB

english, 2011

12

Pricing Multi-Asset American Options: A

Pavlo Kovalov, Vadim Linetsky, Michael Marcozzi

Journal:

Journal of Scientific Computing

Year:

2007

Language:

english

File:

PDF, 1.57 MB

english, 2007

13

Step Options

Journal:

Mathematical Finance

Year:

1999

Language:

english

File:

PDF, 1.12 MB

english, 1999

14

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Viatcheslav Gorovoi, Vadim Linetsky

Journal:

Mathematical Finance

Year:

2004

Language:

english

File:

PDF, 260 KB

english, 2004

15

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

Journal:

Mathematical Finance

Year:

2006

Language:

english

File:

PDF, 490 KB

english, 2006

16

INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL

Vyacheslav Gorovoy, Vadim Linetsky

Journal:

Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 287 KB

english, 2007

17

Spectral Expansions for Asian (Average Price) Options

Linetsky, Vadim

Journal:

Operations Research

Year:

2004

Language:

english

File:

PDF, 175 KB

english, 2004

18

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Feng, Liming, Linetsky, Vadim

Journal:

Operations Research

Year:

2008

Language:

english

File:

PDF, 502 KB

english, 2008

19

On the solution of complementarity problems arising in American options pricing

Feng, Liming, Linetsky, Vadim, Luis Morales, José, Nocedal, Jorge

Journal:

Optimization Methods and Software

Year:

2011

Language:

english

File:

PDF, 205 KB

english, 2011

20

TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS

Li, Lingfei, Linetsky, Vadim

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 1.81 MB

english, 2014

21

On the Transition Densities for Reflected Diffusions

Journal:

Advances in Applied Probability

Year:

2005

Language:

english

File:

PDF, 2.26 MB

english, 2005

22

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

LINETSKY, VADIM

Journal:

International Journal of Theoretical and Applied Finance

Year:

2004

Language:

english

File:

PDF, 496 KB

english, 2004

23

Pricing and Hedging Path-Dependent Options Under the CEV Process

Davydov, Dmitry, Linetsky, Vadim

Journal:

Management Science

Year:

2001

Language:

english

File:

PDF, 329 KB

english, 2001

24

Spectral Expansions for Asian (Average Price) Options

Journal:

Operations Research

Year:

2004

Language:

english

File:

PDF, 1.91 MB

english, 2004

25

Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach

Li, Lingfei, Linetsky, Vadim

Journal:

Finance and Stochastics

Year:

2015

Language:

english

File:

PDF, 2.31 MB

english, 2015

26

MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS

Mendoza-Arriaga, Rafael, Linetsky, Vadim

Journal:

Mathematical Finance

Year:

2014

Language:

english

File:

PDF, 969 KB

english, 2014

27

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

Davydov, Dmitry, Linetsky, Vadim

Journal:

Operations Research

Year:

2003

Language:

english

File:

PDF, 395 KB

english, 2003

28

Pricing and Hedging Path-Dependent Options under the CEV Process

Dmitry Davydov and Vadim Linetsky

Journal:

Management Science

Year:

2001

Language:

english

File:

PDF, 768 KB

english, 2001

29

Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk

Sun, Yunpeng, Mendoza-Arriaga, Rafael, Linetsky, Vadim

Journal:

Advances in Applied Probability

Year:

2017

Language:

english

File:

PDF, 551 KB

english, 2017

30

Lookback options and diffusion hitting times: A spectral expansion approach

Journal:

Finance and Stochastics

Year:

2004

Language:

english

File:

PDF, 315 KB

english, 2004

31

Optimal stopping in infinite horizon: An eigenfunction expansion approach

Li, Lingfei, Linetsky, Vadim

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 429 KB

english, 2014

32

[IEEE 2011 Winter Simulation Conference - (WSC 2011) - Phoenix, AZ, USA (2011.12.11-2011.12.14)] Proceedings of the 2011 Winter Simulation Conference (WSC) - Valuation of collateralized debt obligations in a multivariate subordinator model

Sun, Yunpeng, Mendoza-Arriaga, Rafael, Linetsky, Vadim

Year:

2011

Language:

english

File:

PDF, 195 KB

english, 2011

33

[Handbooks in Operations Research and Management Science] Financial Engineering Volume 15 || Chapter 6 Spectral Methods in Derivatives Pricing

Linetsky, Vadim

Year:

2007

Language:

english

File:

PDF, 593 KB

english, 2007

34

[AIP NUMERICAL ANALYSIS AND APPLIED MATHEMATICS: International Conference on Numerical Analysis and Applied Mathematics 2009: Volume 1 and Volume 2 - Rethymno, Crete (Greece) (18–22 September 2009)] AIP Conference Proceedings - An Algorithm for Linear Complementarity and its Application in American Options Pricing

Feng, Liming, Linetsky, Vadim, Morales, José Luis, Nocedal, Jorge, Simos, Theodore E., Psihoyios, George, Tsitouras, Ch.

Year:

2009

Language:

english

File:

PDF, 193 KB

english, 2009

35

The Spectral Representation of Bessel Processes with Constant Drift: Applications in Queueing and Finance

Journal:

Journal of Applied Probability

Year:

2004

Language:

english

File:

PDF, 1.60 MB

english, 2004

36

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach

Dmitry Davydov and Vadim Linetsky

Journal:

Operations Research

Year:

2003

Language:

english

File:

PDF, 1.13 MB

english, 2003

37

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Liming Feng and Vadim Linetsky

Journal:

Operations Research

Year:

2008

Language:

english

File:

PDF, 5.23 MB

english, 2008

38

Time-changed CIR default intensities with two-sided mean-reverting jumps

Mendoza-Arriaga, Rafael, Linetsky, Vadim

Journal:

The Annals of Applied Probability

Year:

2014

Language:

english

File:

PDF, 1.31 MB

english, 2014

39

Long-Term Risk: A Martingale Approach

Qin, Likuan, Linetsky, Vadim

Journal:

Year:

2017

Language:

english

File:

PDF, 215 KB

english, 2017

40

The spectral representation of Bessel processes with constant drift: applications in queueing and finance

Linetsky, Vadim

Journal:

Journal of Applied Probability

Year:

2004

Language:

english

File:

PDF, 190 KB

english, 2004

41

On the transition densities for reflected diffusions

Linetsky, Vadim

Journal:

Advances in Applied Probability

Year:

2005

Language:

english

File:

PDF, 242 KB

english, 2005

42

The spectral representation of Bessel processes with constant drift: applications in queueing and finance

Linetsky, Vadim

Journal:

Journal of Applied Probability

Year:

2004

Language:

english

File:

PDF, 219 KB

english, 2004

43

Long Forward Probabilities, Recovery, and the Term Structure of Bond Risk Premiums

Qin, Likuan, Linetsky, Vadim, Nie, Yutian

Journal:

Review of Financial Studies

Year:

2018

Language:

english

File:

PDF, 701 KB

english, 2018

44

Long-term factorization in Heath–Jarrow–Morton models

Qin, Likuan, Linetsky, Vadim

Journal:

Finance and Stochastics

Year:

2018

Language:

english

File:

PDF, 809 KB

english, 2018

45

Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps

Mendoza, Rafael, Linetsky, Vadim

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 1.83 MB

english, 2012

46

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

Li, Lingfei, Linetsky, Vadim

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 529 KB

english, 2013

47

Ross Recovery in Continuous Time

Qin, Likuan, Linetsky, Vadim

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 369 KB

english, 2014

48

Long Term Risk: A Martingale Approach

Qin, Likuan, Linetsky, Vadim

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 187 KB

english, 2014