Edit Profile Linetsky, Vadim Compute Distance To: Compute Author ID: linetsky.vadim Published as: Linetsky, Vadim Documents Indexed: 36 Publications since 1998, including 1 Book all top 5 Co-Authors 8 single-authored 5 Feng, Liming 5 Li, Lingfei 5 Mendoza-Arriaga, Rafael 4 Qin, Likuan 3 Carr, Peter P. 2 Davydov, Dmitry 2 Morales, José Luis 2 Nocedal, Jorge 1 Birge, John R. 1 Gorovoi, Viatcheslav 1 Gorovoy, Vyacheslav 1 Kovalov, Pavlo 1 Lim, Dongjae 1 Marcozzi, Michael D. 1 Nie, Yutian 1 Sun, Yunpeng all top 5 Serials 8 Mathematical Finance 6 Finance and Stochastics 5 Operations Research 2 Advances in Applied Probability 1 Econometrica 1 Journal of Applied Probability 1 Management Science 1 Statistics & Probability Letters 1 Journal of Economic Dynamics & Control 1 Journal of Scientific Computing 1 The Annals of Applied Probability 1 Computational Economics 1 Optimization Methods & Software 1 International Journal of Theoretical and Applied Finance 1 European Finance Review 1 Stochastic Models 1 Handbooks in Operations Research and Management Science 1 Mathematics and Financial Economics all top 5 Fields 34 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 22 Probability theory and stochastic processes (60-XX) 5 Operations research, mathematical programming (90-XX) 3 Ordinary differential equations (34-XX) 3 Numerical analysis (65-XX) 1 Measure and integration (28-XX) 1 Special functions (33-XX) 1 Partial differential equations (35-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 32 Publications have been cited 937 times in 565 Documents Cited by ▼ Year ▼ Pricing and hedging path-dependent options under the CEV process. Zbl 1232.91659Davydov, Dmitry; Linetsky, Vadim 118 2001 Spectral expansions for Asian (average price) options. Zbl 1165.91406Linetsky, Vadim 82 2004 A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057Carr, Peter; Linetsky, Vadim 58 2006 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438Feng, Liming; Linetsky, Vadim 57 2008 Pricing options on scalar diffusions: An eigenfunction expansion approach. Zbl 1163.91391Davydov, Dmitry; Linetsky, Vadim 57 2003 The spectral decomposition of the option value. Zbl 1107.91051Linetsky, Vadim 56 2004 Pricing options in jump-diffusion models: an extrapolation approach. Zbl 1167.91367Feng, Liming; Linetsky, Vadim 48 2008 On the transition densities for reflected diffusions. Zbl 1073.60074Linetsky, Vadim 44 2005 Pricing equity derivatives subject to bankruptcy. Zbl 1145.91351Linetsky, Vadim 39 2006 Lookback options and diffusion hitting times: a spectral expansion approach. Zbl 1065.60105Linetsky, Vadim 35 2004 Black’s model of interest rates as options, eigenfunction expansions and Japanese interest rates. Zbl 1097.91041Gorovoi, Viatcheslav; Linetsky, Vadim 34 2004 Step options. Zbl 1076.91520Linetsky, Vadim 34 1999 Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim 32 2010 Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models. Zbl 1295.91091Li, Lingfei; Linetsky, Vadim 23 2014 The path integral approach to financial modeling and options pricing. Zbl 0897.90015Linetsky, Vadim 22 1998 Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Zbl 1199.60184Feng, Liming; Linetsky, Vadim 20 2009 Time-changed CIR default intensities with two-sided mean-reverting jumps. Zbl 1291.91225Mendoza-Arriaga, Rafael; Linetsky, Vadim 19 2014 The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029Carr, Peter; Linetsky, Vadim 19 2000 The spectral representation of Bessel processes with constant drift: applications in queueing and finance. Zbl 1056.60073Linetsky, Vadim 16 2004 Optimal stopping and early exercise: an eigenfunction expansion approach. Zbl 1273.91441Li, Lingfei; Linetsky, Vadim 15 2013 Pricing equity default swaps under the jump-to-default extended CEV model. Zbl 1303.91186Mendoza-Arriaga, Rafael; Linetsky, Vadim 15 2011 Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty. Zbl 1210.91133Kovalov, Pavlo; Linetsky, Vadim; Marcozzi, Michael 15 2007 On the solution of complementarity problems arising in American options pricing. Zbl 1229.90230Feng, Liming; Linetsky, Vadim; Morales, José Luis; Nocedal, Jorge 14 2011 Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103Mendoza-Arriaga, Rafael; Linetsky, Vadim 12 2016 Evaluating callable and putable bonds: an eigenfunction expansion approach. Zbl 1346.91236Lim, Dongjae; Li, Lingfei; Linetsky, Vadim 11 2012 Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing. Zbl 1338.90447Qin, Likuan; Linetsky, Vadim 8 2016 Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Zbl 1416.60079Li, Lingfei; Linetsky, Vadim 8 2015 Intensity-based valuation of residential mortgages: An analytically tractable model. Zbl 1138.91401Gorovoy, Vyacheslav; Linetsky, Vadim 8 2007 Long-term risk: A martingale approach. Zbl 1420.91475Qin, Likuan; Linetsky, Vadim 6 2017 Handbooks in operations research and management science: Financial engineering. Zbl 1170.91300Birge, John R. (ed.); Linetsky, Vadim (ed.) 5 2007 Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk. Zbl 1425.60047Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim 4 2017 Optimal stopping in infinite horizon: an eigenfunction expansion approach. Zbl 1296.60102Li, Lingfei; Linetsky, Vadim 3 2014 Long-term risk: A martingale approach. Zbl 1420.91475Qin, Likuan; Linetsky, Vadim 6 2017 Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk. Zbl 1425.60047Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim 4 2017 Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103Mendoza-Arriaga, Rafael; Linetsky, Vadim 12 2016 Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing. Zbl 1338.90447Qin, Likuan; Linetsky, Vadim 8 2016 Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Zbl 1416.60079Li, Lingfei; Linetsky, Vadim 8 2015 Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models. Zbl 1295.91091Li, Lingfei; Linetsky, Vadim 23 2014 Time-changed CIR default intensities with two-sided mean-reverting jumps. Zbl 1291.91225Mendoza-Arriaga, Rafael; Linetsky, Vadim 19 2014 Optimal stopping in infinite horizon: an eigenfunction expansion approach. Zbl 1296.60102Li, Lingfei; Linetsky, Vadim 3 2014 Optimal stopping and early exercise: an eigenfunction expansion approach. Zbl 1273.91441Li, Lingfei; Linetsky, Vadim 15 2013 Evaluating callable and putable bonds: an eigenfunction expansion approach. Zbl 1346.91236Lim, Dongjae; Li, Lingfei; Linetsky, Vadim 11 2012 Pricing equity default swaps under the jump-to-default extended CEV model. Zbl 1303.91186Mendoza-Arriaga, Rafael; Linetsky, Vadim 15 2011 On the solution of complementarity problems arising in American options pricing. Zbl 1229.90230Feng, Liming; Linetsky, Vadim; Morales, José Luis; Nocedal, Jorge 14 2011 Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim 32 2010 Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Zbl 1199.60184Feng, Liming; Linetsky, Vadim 20 2009 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438Feng, Liming; Linetsky, Vadim 57 2008 Pricing options in jump-diffusion models: an extrapolation approach. Zbl 1167.91367Feng, Liming; Linetsky, Vadim 48 2008 Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty. Zbl 1210.91133Kovalov, Pavlo; Linetsky, Vadim; Marcozzi, Michael 15 2007 Intensity-based valuation of residential mortgages: An analytically tractable model. Zbl 1138.91401Gorovoy, Vyacheslav; Linetsky, Vadim 8 2007 Handbooks in operations research and management science: Financial engineering. Zbl 1170.91300Birge, John R. (ed.); Linetsky, Vadim (ed.) 5 2007 A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057Carr, Peter; Linetsky, Vadim 58 2006 Pricing equity derivatives subject to bankruptcy. Zbl 1145.91351Linetsky, Vadim 39 2006 On the transition densities for reflected diffusions. Zbl 1073.60074Linetsky, Vadim 44 2005 Spectral expansions for Asian (average price) options. Zbl 1165.91406Linetsky, Vadim 82 2004 The spectral decomposition of the option value. Zbl 1107.91051Linetsky, Vadim 56 2004 Lookback options and diffusion hitting times: a spectral expansion approach. Zbl 1065.60105Linetsky, Vadim 35 2004 Black’s model of interest rates as options, eigenfunction expansions and Japanese interest rates. Zbl 1097.91041Gorovoi, Viatcheslav; Linetsky, Vadim 34 2004 The spectral representation of Bessel processes with constant drift: applications in queueing and finance. Zbl 1056.60073Linetsky, Vadim 16 2004 Pricing options on scalar diffusions: An eigenfunction expansion approach. Zbl 1163.91391Davydov, Dmitry; Linetsky, Vadim 57 2003 Pricing and hedging path-dependent options under the CEV process. Zbl 1232.91659Davydov, Dmitry; Linetsky, Vadim 118 2001 The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029Carr, Peter; Linetsky, Vadim 19 2000 Step options. Zbl 1076.91520Linetsky, Vadim 34 1999 The path integral approach to financial modeling and options pricing. Zbl 0897.90015Linetsky, Vadim 22 1998 all cited Publications top 5 cited Publications all top 5 Cited by 832 Authors 21 Linetsky, Vadim 17 Wang, Yongjin 14 Bo, Lijun 13 Li, Lingfei 11 Mendoza-Arriaga, Rafael 10 Yang, Xuewei 9 Levendorskiĭ, Sergeĭ Zakharovich 9 Pascucci, Andrea 8 Dias, José Carlos 8 Fusai, Gianluca 8 Kim, Jeong-Hoon 7 Cai, Ning 7 Marazzina, Daniele 7 Polunchenko, Aleksey S. 6 Cui, Zhenyu 6 Leonenko, Nikolai N. 6 Leung, Tim 6 Lorig, Matthew J. 6 Pagliarani, Stefano 6 Sun, Haiwei 5 Bayraktar, Erhan 5 Campolieti, Giuseppe 5 Forde, Martin 5 Kijima, Masaaki 5 Kirkby, Justin Lars 5 Kwok, Yue-Kuen 5 Makarov, Roman N. 5 Nunes, João Pedro Vidal 5 Song, Shiyu 5 Šuvak, Nenad 5 Wang, Tai-Ho 5 Wong, Hoi Ying 5 Yamazaki, Akira 5 Zhang, Hongzhong 4 Ballestra, Luca Vincenzo 4 Capponi, Agostino 4 Feng, Runhuan 4 Germano, Guido 4 Giorno, Virginia 4 Knessl, Charles 4 Lee, Min-Ku 4 Li, Chenxu 4 Mijatović, Aleksandar 4 Nobile, Amelia G. 4 Oosterlee, Cornelis Willebrordus 4 Pirjol, Dan 4 Platen, Eckhard 4 Sousa, Rúben 4 Tangman, Désiré Yannick 4 Zang, Qingpei 4 Zhang, Gongqiu 4 Zhao, Hui 4 Zhu, Lingjiong 3 Avram, Florin 3 Bhuruth, Muddun 3 Boyarchenko, Mitya 3 Capriotti, Luca 3 Carr, Peter P. 3 Chen, Nan 3 Company, Rafael 3 Dassios, Angelos 3 Decamps, Marc 3 Ding, Deng 3 Fabozzi, Frank J. 3 Gao, Jianwei 3 Glynn, Peter W. 3 Goovaerts, Marc J. 3 Guerra, Manuel 3 Henderson, Vicky 3 Jiao, Ying 3 Jódar Sanchez, Lucas Antonio 3 Kyriakou, Ioannis 3 Laurence, Peter 3 Lee, Chihoon 3 Lee, Spike T. 3 Ma, Jingtang 3 Nguyen, Duy-Minh 3 Pacelli, Graziella 3 Park, Hyungbin 3 Phelan, Carolyn E. 3 Pirozzi, Enrica 3 Qin, Likuan 3 Robinson, Daniel P. 3 Rong, Ximin 3 Ruas, João Pedro 3 Sbuelz, Alessandro 3 Shaw, William T. 3 Shen, Yang 3 Siu, Tak Kuen 3 Soleymani, Fazlollah 3 Takahashi, Akihiko 3 Toivanen, Jari 3 Xu, Guangli 3 Yakubovich, Semyon B. 3 Zhang, Jin E. 3 Zhang, Li-Xin 3 Zhou, Zhiqiang 3 Zucca, Cristina 2 Araneda, Axel A. 2 Boen, Lynn ...and 732 more Authors all top 5 Cited in 135 Serials 53 Quantitative Finance 50 International Journal of Theoretical and Applied Finance 29 Journal of Computational and Applied Mathematics 23 European Journal of Operational Research 21 Mathematical Finance 20 Insurance Mathematics & Economics 19 Journal of Economic Dynamics & Control 15 SIAM Journal on Financial Mathematics 14 Applied Mathematical Finance 14 Finance and Stochastics 11 Advances in Applied Probability 11 Journal of Applied Probability 9 Computers & Mathematics with Applications 9 Operations Research Letters 8 Statistics & Probability Letters 8 Stochastic Processes and their Applications 7 Applied Mathematics and Computation 7 International Journal of Computer Mathematics 7 Review of Derivatives Research 6 Journal of Statistical Physics 6 Physica A 6 Mathematics and Financial Economics 5 Journal of Mathematical Analysis and Applications 5 Operations Research 5 Stochastic Analysis and Applications 5 Applied Numerical Mathematics 5 Queueing Systems 5 The Annals of Applied Probability 5 Mathematical Problems in Engineering 5 Methodology and Computing in Applied Probability 5 Asia-Pacific Financial Markets 4 Chaos, Solitons and Fractals 4 Journal of Statistical Planning and Inference 4 Mathematics of Operations Research 4 Journal of Scientific Computing 4 Annals of Operations Research 4 Scandinavian Actuarial Journal 4 Stochastic Systems 3 Sequential Analysis 3 European Journal of Applied Mathematics 3 Computational and Applied Mathematics 3 Engineering Analysis with Boundary Elements 3 Abstract and Applied Analysis 3 Discrete Dynamics in Nature and Society 3 Decisions in Economics and Finance 3 Stochastics 2 Journal of Mathematical Physics 2 Applied Mathematics and Optimization 2 Journal of Econometrics 2 Numerische Mathematik 2 Journal of Complexity 2 Journal of Theoretical Probability 2 Communications in Statistics. Theory and Methods 2 Computational Statistics and Data Analysis 2 SIAM Journal on Scientific Computing 2 Statistical Inference for Stochastic Processes 2 Stochastic Models 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Computational Management Science 2 Journal of Physics A: Mathematical and Theoretical 2 Science China. Mathematics 2 Annals of Finance 2 ISRN Applied Mathematics 2 Modern Stochastics. Theory and Applications 1 International Journal of Theoretical Physics 1 Journal of Mathematical Biology 1 Lithuanian Mathematical Journal 1 Mathematical Methods in the Applied Sciences 1 Mathematical Notes 1 Metrika 1 Reports on Mathematical Physics 1 Theory of Probability and its Applications 1 Automatica 1 BIT 1 Journal of Economic Theory 1 Journal of Mathematical Economics 1 Journal of Optimization Theory and Applications 1 Mathematics and Computers in Simulation 1 Quarterly of Applied Mathematics 1 Ricerche di Matematica 1 SIAM Journal on Control and Optimization 1 SIAM Journal on Numerical Analysis 1 Transactions of the American Mathematical Society 1 Applied Mathematics and Mechanics. (English Edition) 1 Statistics 1 Probability Theory and Related Fields 1 Numerical Methods for Partial Differential Equations 1 Applied Mathematics Letters 1 Economics Letters 1 Applications of Mathematics 1 Numerical Algorithms 1 Automation and Remote Control 1 SIAM Journal on Optimization 1 Computational Optimization and Applications 1 Computational Economics 1 Applied Mathematics. Series B (English Edition) 1 Theory of Probability and Mathematical Statistics 1 Statistical Papers 1 Numerical Linear Algebra with Applications 1 Advances in Computational Mathematics ...and 35 more Serials all top 5 Cited in 36 Fields 445 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 302 Probability theory and stochastic processes (60-XX) 131 Numerical analysis (65-XX) 55 Statistics (62-XX) 52 Partial differential equations (35-XX) 25 Systems theory; control (93-XX) 22 Operations research, mathematical programming (90-XX) 19 Integral transforms, operational calculus (44-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 11 Special functions (33-XX) 11 Ordinary differential equations (34-XX) 10 Approximations and expansions (41-XX) 9 Operator theory (47-XX) 9 Statistical mechanics, structure of matter (82-XX) 8 Integral equations (45-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Quantum theory (81-XX) 5 Computer science (68-XX) 5 Biology and other natural sciences (92-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Functions of a complex variable (30-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Measure and integration (28-XX) 2 Fluid mechanics (76-XX) 2 Classical thermodynamics, heat transfer (80-XX) 1 Algebraic geometry (14-XX) 1 Real functions (26-XX) 1 Difference and functional equations (39-XX) 1 Abstract harmonic analysis (43-XX) 1 Functional analysis (46-XX) 1 Mechanics of particles and systems (70-XX) 1 Relativity and gravitational theory (83-XX) 1 Astronomy and astrophysics (85-XX) 1 Geophysics (86-XX) Citations by Year