Vadim Linetsky - researchr alias

researchr

You are not signed in
Sign in
Sign up

Viewing Publication 1 - 18 from 18

2024

Partially egalitarian portfolio selectionYiming Peng, Vadim Linetsky. orl, 52:107055, 2024. [doi]

2022

Portfolio Selection: A Statistical Learning ApproachYiming Peng, Vadim Linetsky. icaif 2022: 257-263 [doi]

2021

High frequency automated market making algorithms with adverse selection risk control via reinforcement learningMuchen Zhao, Vadim Linetsky. icaif 2021: [doi]

2018

Long-term factorization in Heath-Jarrow-Morton modelsLikuan Qin, Vadim Linetsky. fs, 22(3):621-641, 2018. [doi]

2016

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term PricingLikuan Qin, Vadim Linetsky. ior, 64(1):99-117, 2016. [doi]

2015

Discretely monitored first passage problems and barrier options: an eigenfunction expansion approachLingfei Li, Vadim Linetsky. fs, 19(4):941-977, 2015. [doi]

2013

Optimal Stopping and Early Exercise: An Eigenfunction Expansion ApproachLingfei Li, Vadim Linetsky. ior, 61(3):625-643, 2013. [doi]

2011

On the solution of complementarity problems arising in American options pricingLiming Feng, Vadim Linetsky, José Luis Morales, Jorge Nocedal. oms, 26(4-5):813-825, 2011. [doi]

Pricing equity default swaps under the jump-to-default extended CEV modelRafael Mendoza-Arriaga, Vadim Linetsky. fs, 15(3):513-540, 2011. [doi]

Valuation of collateralized debt obligations in a multivariate subordinator modelYunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky. wsc 2011: 3747-3759 [doi]

2009

Computing exponential moments of the discrete maximum of a Lévy process and lookback optionsLiming Feng, Vadim Linetsky. fs, 13(4):501-529, 2009. [doi]

2008

Pricing Options in Jump-Diffusion Models: An Extrapolation ApproachLiming Feng, Vadim Linetsky. ior, 56(2):304-325, 2008. [doi]

2007

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth PenaltyPavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi. jscic, 33(3):209-237, 2007. [doi]

2006

A jump to default extended CEV model: an application of Bessel processesPeter Carr, Vadim Linetsky. fs, 10(3):303-330, 2006. [doi]

2004

Spectral Expansions for Asian (Average Price) OptionsVadim Linetsky. ior, 52(6):856-867, 2004. [doi]

Lookback options and diffusion hitting times: A spectral expansion approachVadim Linetsky. fs, 8(3):373-398, 2004. [doi]

2003

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion ApproachDmitry Davydov, Vadim Linetsky. ior, 51(2):185-209, 2003. [doi]

2001

Pricing and Hedging Path-Dependent Options Under the CEV ProcessDmitry Davydov, Vadim Linetsky. mansci, 47(7):949-965, 2001. [doi]

Sign in or sign up to see more results.

runs on WebDSL