Faculty Directory
Vadim Linetsky

Orrington Lunt 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

  • Nie, Yutian; Linetsky, Vadim, Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound, Stochastic Models 36(1):1-19.
  • Sun, Yunpeng; Mendoza-Arriaga, Rafael; Linetsky, Vadim, Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk, Advances in Applied Probability 49(2):481-514.
  • Qin, Likuan; Linetsky, Vadim, Long-term factorization of affine pricing kernels, Mathematics and Financial Economics 11(4):479-498.
  • Qin, Likuan; Linetsky, Vadim, Long-Term Risk, Econometrica 85(1):299-312.
  • Qin, Likuan; Linetsky, Vadim, Positive eigenfunctions of markovian pricing operators, Operations Research 64(1):99-117.
  • Li, Lingfei; Linetsky, Vadim, Discretely monitored first passage problems and barrier options, Finance and Stochastics 19(4):941-977.