Faculty Directory
Vadim Linetsky

Professor of Industrial Engineering and Management Sciences

Contact

2145 Sheridan Road
Tech C251
Evanston, IL 60208-3109

Email Vadim Linetsky

Departments

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, mathematical finance, stochastic modeling.


Selected Publications

  • Li, Lingfei; Linetsky, Vadim, “Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach”, Finance and Stochastics, (2015)
  • Linetsky, Vadim; Mendoza-Arriaga, Rafael, “Multivariate subordination of markov processes with financial applications”, Mathematical Finance, (2014)
  • Linetsky, Vadim; Li, Lingfei, “Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models”, Mathematical Finance, (2014)
  • Linetsky, Vadim; Li, Lingfei, “Optimal stopping in infinite horizon: An eigenfunction expansion approach”, Statistics and Probability Letters, (2014)
  • Li, L.; Linetsky, V.; Lim, D., “Evaluating callable and putable bonds: An eigenfunction expansion approach”, Journal of Economic Dynamics and Control, (2012)
  • R. Mendoza-Arriaga and V. Linetsky, “Pricing equity default swaps under the jump-to-default extended CEV model”, Finance and Stochastics, (2011)
  • L. Feng, V. Linetsky, J. L. Morales and J. Nocedal, “On the solution of complementarity problems arising in American options pricing”, Optimization Methods & Software, (2011)
  • 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)