Vadim Linetsky

Publication Activity (10 Years)

Years Active: 2001-2024
Publications (10 Years): 6

Top Topics

Adverse Selection

Statistical Learning

Portfolio Selection

Top Venues

Finance Stochastics

Oper. Res. Lett.

Publications

Yiming Peng, Vadim Linetsky
Partially egalitarian portfolio selection. Oper. Res. Lett. 52 (2024)
Yiming Peng, Vadim Linetsky
Portfolio Selection: A Statistical Learning Approach. ICAIF (2022)
Muchen Zhao, Vadim Linetsky
High frequency automated market making algorithms with adverse selection risk control via reinforcement learning. ICAIF (2021)
Likuan Qin, Vadim Linetsky
Long-term factorization in Heath-Jarrow-Morton models. Finance Stochastics 22 (3) (2018)
Likuan Qin, Vadim Linetsky
Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing. Oper. Res. 64 (1) (2016)
Lingfei Li, Vadim Linetsky
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Finance Stochastics 19 (4) (2015)
Lingfei Li, Vadim Linetsky
Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach. Oper. Res. 61 (3) (2013)
Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky
Valuation of collateralized debt obligations in a multivariate subordinator model. WSC (2011)
Rafael Mendoza-Arriaga, Vadim Linetsky
Pricing equity default swaps under the jump-to-default extended CEV model. Finance Stochastics 15 (3) (2011)
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) (2011)
Liming Feng, Vadim Linetsky
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Finance Stochastics 13 (4) (2009)
Liming Feng, Vadim Linetsky
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. Oper. Res. 56 (2) (2008)
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) (2007)
Peter Carr, Vadim Linetsky
A jump to default extended CEV model: an application of Bessel processes. Finance Stochastics 10 (3) (2006)
Vadim Linetsky
Lookback options and diffusion hitting times: A spectral expansion approach. Finance Stochastics 8 (3) (2004)
Vadim Linetsky
Spectral Expansions for Asian (Average Price) Options. Oper. Res. 52 (6) (2004)
Dmitry Davydov, Vadim Linetsky
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach. Oper. Res. 51 (2) (2003)
Dmitry Davydov, Vadim Linetsky
Pricing and Hedging Path-Dependent Options Under the CEV Process. Manag. Sci. 47 (7) (2001)