Pricing and Hedging Path-Dependent Options Under the CEV Process. - Dmitry Davydov; Vadim Linetsky (Manag. Sci., 2001)

Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach. - Dmitry Davydov; Vadim Linetsky (Oper. Res., 2003)

Lookback options and diffusion hitting times: A spectral expansion approach. - Vadim Linetsky (Finance Stochastics, 2004)

Spectral Expansions for Asian (Average Price) Options. - Vadim Linetsky (Oper. Res., 2004)

A jump to default extended CEV model: an application of Bessel processes. - Peter Carr 002; Vadim Linetsky (Finance Stochastics, 2006)

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)

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach. - Liming Feng; Vadim Linetsky (Oper. Res., 2008)

Computing exponential moments of the discrete maximum of a Lévy process and lookback options. - Liming Feng; Vadim Linetsky (Finance Stochastics, 2009)

Valuation of collateralized debt obligations in a multivariate subordinator model. - Yunpeng Sun; Rafael Mendoza-Arriaga; Vadim Linetsky (WSC, 2011)

Pricing equity default swaps under the jump-to-default extended CEV model. - Rafael Mendoza-Arriaga; Vadim Linetsky (Finance Stochastics, 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)

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach. - Lingfei Li; Vadim Linetsky (Oper. Res., 2013)

Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. - Lingfei Li; Vadim Linetsky (Finance Stochastics, 2015)

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing. - Likuan Qin; Vadim Linetsky (Oper. Res., 2016)

Long-term factorization in Heath-Jarrow-Morton models. - Likuan Qin; Vadim Linetsky (Finance Stochastics, 2018)

High frequency automated market making algorithms with adverse selection risk control via reinforcement learning. - Muchen Zhao; Vadim Linetsky (ICAIF, 2021)

Portfolio Selection: A Statistical Learning Approach. - Yiming Peng; Vadim Linetsky (ICAIF, 2022)

Partially egalitarian portfolio selection. - Yiming Peng; Vadim Linetsky (Oper. Res. Lett., 2024)