McCormick School of Engineering, Northwestern University

Vadim Linetsky

Professor of Industrial Engineering and Management Sciences

Education

Ph.D. Theoretical and Mathematical Physics, P.N. Lebedev Physical Institute of the Russian Academy of Sciences (FIRAN), Moscow

M.S. Electrical Engineering, Moscow State Institute of Radio Engineering, Moscow, Russia

B.S. Electronics and Automation, University of Technology

Research Interests

Financial engineering; credit risk modeling; pricing and hedging of barrier and look-back options; modeling the term structure of interest rates

Selected Publications

• R Mendoza-Arriaga;P Carr;V Linetsky, “TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING”, Mathematical Finance, (2010)
• LM FENG;V LINETSKY;JL MORALES;J NOCEDAL;TE SIMOS;G PSIHOYIOS;C TSITOURAS, “An Algorithm for Linear Complementarity and its Application in American Options Pricing”, Numerical Analysis and Applied Mathematics, Vols 1 and 2, (2009)
• LM FENG, V LINETSKY, “Computing exponential moments of the discrete maximum of a L,vy process and lookback options”, FINANCE AND STOCHASTICS, (2009)