Vadim Linetsky

According to our database, Vadim Linetsky authored at least 17 papers between 2001 and 2022.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2022

Portfolio Selection: A Statistical Learning Approach.

Yiming Peng, Vadim Linetsky

Proceedings of the 3rd ACM International Conference on AI in Finance, 2022

2021

High frequency automated market making algorithms with adverse selection risk control via reinforcement learning.

Muchen Zhao, Vadim Linetsky

Proceedings of the ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3, 2021

2018

Long-term factorization in Heath-Jarrow-Morton models.

Likuan Qin, Vadim Linetsky

Finance Stochastics, 2018

2016

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

Likuan Qin, Vadim Linetsky

Oper. Res., 2016

2015

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

Lingfei Li, Vadim Linetsky

Finance Stochastics, 2015

2013

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach.

Lingfei Li, Vadim Linetsky

Oper. Res., 2013

2011

On the solution of complementarity problems arising in American options pricing.

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

Optim. Methods Softw., 2011

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

Rafael Mendoza-Arriaga, Vadim Linetsky

Finance Stochastics, 2011

Valuation of collateralized debt obligations in a multivariate subordinator model.

Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky

Proceedings of the Winter Simulation Conference 2011, 2011

2009

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

Liming Feng, Vadim Linetsky

Finance Stochastics, 2009

2008

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach.

Liming Feng, Vadim Linetsky

Oper. Res., 2008

2007

Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty.

Pavlo Kovalov, Vadim Linetsky, Michael D. Marcozzi

J. Sci. Comput., 2007

2006

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

Peter Carr, Vadim Linetsky

Finance Stochastics, 2006

2004

Spectral Expansions for Asian (Average Price) Options.

Vadim Linetsky

Oper. Res., 2004

Lookback options and diffusion hitting times: A spectral expansion approach.

Vadim Linetsky

Finance Stochastics, 2004

2003

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach.

Dmitry Davydov, Vadim Linetsky

Oper. Res., 2003

2001

Pricing and Hedging Path-Dependent Options Under the CEV Process.

Dmitry Davydov, Vadim Linetsky

Manag. Sci., 2001