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Linetsky, Vadim's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,323 |
Total
Citations
123 |
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1.
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Kovalov, Pavlo
Quantitative Risk Management Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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953
(9,981)
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1
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Convertible bonds, credit risk, volatility skew, credit spreads, stochastic games
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2.
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Feng, Liming
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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600
(19,946)
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19
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Levy process, discrete barrier option, credit risk, default bond, Fourier transform, Hilbert transform, sinc expansion
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3.
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Feng, Liming
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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491
(26,064)
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10
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jump-diffusion process, partial integro-differential equation, finite element method, extrapolation, implicit-explicit scheme, barrier option, Bermudan option, Toeplitz matrix
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4.
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Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
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366
(37,972)
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11
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5.
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Feng, Liming
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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230
(64,753)
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5
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Levy processes, discrete maximum, exponential moments, Esscher transform, discrete lookback options, Fourier transform, Hilbert transform, Sinc expansion
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6.
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Sun, Yunpeng
Northwestern University - Department of Industrial Engineering and Management Sciences Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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03 Nov 10
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Last Revised:
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20 Sep 11
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170
(87,381)
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1
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Marshall-Olkin multivariate exponential distribution, Levy process, multidimensional subordinator, dependent lifetimes, failure, default, reliability, credit risk
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7.
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Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management
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166
(89,268)
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3
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8.
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Feng, Liming
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences Morales, Jose Luis
Instituto Tecnológico Autónomo de México (ITAM) Nocedal, Jorge
Northwestern University
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98
(137,008)
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1
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American Options Pricing, Linear Complementarity, Projected SOR Method
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9.
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Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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03 Nov 10
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Last Revised:
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27 Jul 12
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73
(165,144)
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1
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JDCEV Model, Multiparameter Semigroups, Multivariate Subordination, Subordinators
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10.
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Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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09 Sep 12
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Last Revised:
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06 May 13
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46
(207,723)
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SubCIR, Subordinate CIR, semimartingale, subordination, Feller, semigroups, default intensity, bivariate process, default, credit risk
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11.
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Li, Lingfei
The Chinese University of Hong Kong Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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07 Feb 13
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Last Revised:
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22 Feb 13
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38
(223,914)
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optimal stopping, American options, eigenfunction expansions
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12.
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Lim, Dongjae
Northwestern University - Department of Industrial Engineering and Management Sciences Li, Lingfei
The Chinese University of Hong Kong Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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27
(251,729)
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interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes
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13.
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Gorovoi, Viatcheslav
Northwestern University - Department of Industrial Engineering and Management Sciences Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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27
(251,729)
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17
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14.
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Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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26
(254,849)
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26
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15.
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Gorovoy, Vyacheslav
Standard Bank - Securitization Group Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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8
(316,515)
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3
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16.
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Mendoza-Arriaga, Rafael
University of Texas at Austin - Department of Information, Risk and Operations Management Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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3
(330,903)
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6
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17.
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Feng, Liming
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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1
(343,102)
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19
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18.
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Li, Lingfei
The Chinese University of Hong Kong Linetsky, Vadim
Northwestern University - Department of Industrial Engineering and Management Sciences
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| Posted: |
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17 Apr 12
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Last Revised:
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06 Feb 13
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commodity derivatives, mean-reverting jumps, eigenfunction expansion
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Records 1 -
18
of 18 matches
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