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Linetsky, Vadim

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Author ID: linetsky.vadim Recent zbMATH articles by "Linetsky, Vadim"
Published as: Linetsky, Vadim
Documents Indexed: 36 Publications since 1998, including 1 Book

Publications by Year

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 1232.91659
Davydov, Dmitry; Linetsky, Vadim
118
2001
Spectral expansions for Asian (average price) options. Zbl 1165.91406
Linetsky, Vadim
82
2004
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
58
2006
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
57
2008
Pricing options on scalar diffusions: An eigenfunction expansion approach. Zbl 1163.91391
Davydov, Dmitry; Linetsky, Vadim
57
2003
The spectral decomposition of the option value. Zbl 1107.91051
Linetsky, Vadim
56
2004
Pricing options in jump-diffusion models: an extrapolation approach. Zbl 1167.91367
Feng, Liming; Linetsky, Vadim
48
2008
On the transition densities for reflected diffusions. Zbl 1073.60074
Linetsky, Vadim
44
2005
Pricing equity derivatives subject to bankruptcy. Zbl 1145.91351
Linetsky, Vadim
39
2006
Lookback options and diffusion hitting times: a spectral expansion approach. Zbl 1065.60105
Linetsky, Vadim
35
2004
Black’s model of interest rates as options, eigenfunction expansions and Japanese interest rates. Zbl 1097.91041
Gorovoi, Viatcheslav; Linetsky, Vadim
34
2004
Step options. Zbl 1076.91520
Linetsky, Vadim
34
1999
Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim
32
2010
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models. Zbl 1295.91091
Li, Lingfei; Linetsky, Vadim
23
2014
The path integral approach to financial modeling and options pricing. Zbl 0897.90015
Linetsky, Vadim
22
1998
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Zbl 1199.60184
Feng, Liming; Linetsky, Vadim
20
2009
Time-changed CIR default intensities with two-sided mean-reverting jumps. Zbl 1291.91225
Mendoza-Arriaga, Rafael; Linetsky, Vadim
19
2014
The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029
Carr, Peter; Linetsky, Vadim
19
2000
The spectral representation of Bessel processes with constant drift: applications in queueing and finance. Zbl 1056.60073
Linetsky, Vadim
16
2004
Optimal stopping and early exercise: an eigenfunction expansion approach. Zbl 1273.91441
Li, Lingfei; Linetsky, Vadim
15
2013
Pricing equity default swaps under the jump-to-default extended CEV model. Zbl 1303.91186
Mendoza-Arriaga, Rafael; Linetsky, Vadim
15
2011
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty. Zbl 1210.91133
Kovalov, Pavlo; Linetsky, Vadim; Marcozzi, Michael
15
2007
On the solution of complementarity problems arising in American options pricing. Zbl 1229.90230
Feng, Liming; Linetsky, Vadim; Morales, José Luis; Nocedal, Jorge
14
2011
Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103
Mendoza-Arriaga, Rafael; Linetsky, Vadim
12
2016
Evaluating callable and putable bonds: an eigenfunction expansion approach. Zbl 1346.91236
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim
11
2012
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing. Zbl 1338.90447
Qin, Likuan; Linetsky, Vadim
8
2016
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Zbl 1416.60079
Li, Lingfei; Linetsky, Vadim
8
2015
Intensity-based valuation of residential mortgages: An analytically tractable model. Zbl 1138.91401
Gorovoy, Vyacheslav; Linetsky, Vadim
8
2007
Long-term risk: A martingale approach. Zbl 1420.91475
Qin, Likuan; Linetsky, Vadim
6
2017
Handbooks in operations research and management science: Financial engineering. Zbl 1170.91300
Birge, John R. (ed.); Linetsky, Vadim (ed.)
5
2007
Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk. Zbl 1425.60047
Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim
4
2017
Optimal stopping in infinite horizon: an eigenfunction expansion approach. Zbl 1296.60102
Li, Lingfei; Linetsky, Vadim
3
2014
Long-term risk: A martingale approach. Zbl 1420.91475
Qin, Likuan; Linetsky, Vadim
6
2017
Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk. Zbl 1425.60047
Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim
4
2017
Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103
Mendoza-Arriaga, Rafael; Linetsky, Vadim
12
2016
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing. Zbl 1338.90447
Qin, Likuan; Linetsky, Vadim
8
2016
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach. Zbl 1416.60079
Li, Lingfei; Linetsky, Vadim
8
2015
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models. Zbl 1295.91091
Li, Lingfei; Linetsky, Vadim
23
2014
Time-changed CIR default intensities with two-sided mean-reverting jumps. Zbl 1291.91225
Mendoza-Arriaga, Rafael; Linetsky, Vadim
19
2014
Optimal stopping in infinite horizon: an eigenfunction expansion approach. Zbl 1296.60102
Li, Lingfei; Linetsky, Vadim
3
2014
Optimal stopping and early exercise: an eigenfunction expansion approach. Zbl 1273.91441
Li, Lingfei; Linetsky, Vadim
15
2013
Evaluating callable and putable bonds: an eigenfunction expansion approach. Zbl 1346.91236
Lim, Dongjae; Li, Lingfei; Linetsky, Vadim
11
2012
Pricing equity default swaps under the jump-to-default extended CEV model. Zbl 1303.91186
Mendoza-Arriaga, Rafael; Linetsky, Vadim
15
2011
On the solution of complementarity problems arising in American options pricing. Zbl 1229.90230
Feng, Liming; Linetsky, Vadim; Morales, José Luis; Nocedal, Jorge
14
2011
Time-changed Markov processes in unified credit-equity modeling. Zbl 1232.91692
Mendoza-Arriaga, Rafael; Carr, Peter; Linetsky, Vadim
32
2010
Computing exponential moments of the discrete maximum of a Lévy process and lookback options. Zbl 1199.60184
Feng, Liming; Linetsky, Vadim
20
2009
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
57
2008
Pricing options in jump-diffusion models: an extrapolation approach. Zbl 1167.91367
Feng, Liming; Linetsky, Vadim
48
2008
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty. Zbl 1210.91133
Kovalov, Pavlo; Linetsky, Vadim; Marcozzi, Michael
15
2007
Intensity-based valuation of residential mortgages: An analytically tractable model. Zbl 1138.91401
Gorovoy, Vyacheslav; Linetsky, Vadim
8
2007
Handbooks in operations research and management science: Financial engineering. Zbl 1170.91300
Birge, John R. (ed.); Linetsky, Vadim (ed.)
5
2007
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
58
2006
Pricing equity derivatives subject to bankruptcy. Zbl 1145.91351
Linetsky, Vadim
39
2006
On the transition densities for reflected diffusions. Zbl 1073.60074
Linetsky, Vadim
44
2005
Spectral expansions for Asian (average price) options. Zbl 1165.91406
Linetsky, Vadim
82
2004
The spectral decomposition of the option value. Zbl 1107.91051
Linetsky, Vadim
56
2004
Lookback options and diffusion hitting times: a spectral expansion approach. Zbl 1065.60105
Linetsky, Vadim
35
2004
Black’s model of interest rates as options, eigenfunction expansions and Japanese interest rates. Zbl 1097.91041
Gorovoi, Viatcheslav; Linetsky, Vadim
34
2004
The spectral representation of Bessel processes with constant drift: applications in queueing and finance. Zbl 1056.60073
Linetsky, Vadim
16
2004
Pricing options on scalar diffusions: An eigenfunction expansion approach. Zbl 1163.91391
Davydov, Dmitry; Linetsky, Vadim
57
2003
Pricing and hedging path-dependent options under the CEV process. Zbl 1232.91659
Davydov, Dmitry; Linetsky, Vadim
118
2001
The valuation of executive stock options in an intensity-based framework. Zbl 1035.91029
Carr, Peter; Linetsky, Vadim
19
2000
Step options. Zbl 1076.91520
Linetsky, Vadim
34
1999
The path integral approach to financial modeling and options pricing. Zbl 0897.90015
Linetsky, Vadim
22
1998
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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
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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