Vadim Linetsky

Northwestern University - Department of Industrial Engineering and Management Sciences

Evanston, IL 60208-3119

United States

SCHOLARLY PAPERS

26

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6,443

CITATIONS
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Top 1,783

in Total Papers Citations

248

Scholarly Papers (26)

1.

Valuing Convertible Bonds with Stock Price, Volatility, Interest Rate, and Default Risk

FDIC Center for Financial Research Working Paper Series No. 2008-02
Number of pages: 41 Posted: 28 Mar 2008
Pavlo Kovalov and Vadim Linetsky
Quantitative Risk Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 1,243 (15,382)
Citation 5

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Convertible bonds, credit risk, volatility skew, credit spreads, stochastic games

2.

Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models: A Fast Hilbert Transform Approach

Mathematical Finance, Forthcoming
Number of pages: 49 Posted: 22 Jun 2007
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 853 (26,861)

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Levy process, discrete barrier option, credit risk, default bond, Fourier transform, Hilbert transform, sinc expansion

3.

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

Operations Research, Forthcoming
Number of pages: 38 Posted: 22 Jun 2007
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 590 (44,327)
Citation 19

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jump-diffusion process, partial integro-differential equation, finite element method, extrapolation, implicit-explicit scheme, barrier option, Bermudan option, Toeplitz matrix

4.

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing

Number of pages: 57 Posted: 22 May 2014 Last Revised: 10 Sep 2015
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 574 (45,915)
Citation 17

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Pricing kernel, Arrow-Debreu securities, Recovery theorem, Markov processes

5.

Long Term Risk: A Martingale Approach

Number of pages: 37 Posted: 12 Nov 2014 Last Revised: 06 Oct 2016
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 567 (46,642)
Citation 22

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Stochastic discount factor, pricing kernel, long-term factorization, long bond, long forward measure, long-term risk-neutral measure, principal eigenfunction.

6.

Time Changed Markov Processes in Unified Credit-Equity Modeling

FDIC Center for Financial Research Working Paper No. 2008-03
Number of pages: 59 Posted: 28 Mar 2008
Peter Carr, Vadim Linetsky and Rafael Mendoza-Arriaga
New York University Finance and Risk Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 420 (67,771)
Citation 1

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7.

Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk

Number of pages: 31 Posted: 03 Nov 2010 Last Revised: 04 Dec 2016
Yunpeng Sun, Rafael Mendoza-Arriaga and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 406 (70,693)
Citation 4

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Marshall-Olkin multivariate exponential distribution, Levy process, subordinator, additive subordinator, simulation, dependent lifetimes, failure, default, reliability, credit risk

8.

Computing Exponential Moments of the Discrete Maximum of a Levy Process and Lookback Options

Finance and Stochastics, Forthcoming
Number of pages: 27 Posted: 29 Aug 2008
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 295 (101,441)
Citation 19

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Levy processes, discrete maximum, exponential moments, Esscher transform, discrete lookback options, Fourier transform, Hilbert transform, Sinc expansion

9.

Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums

Number of pages: 19 Posted: 26 Jan 2016
Likuan Qin, Vadim Linetsky and Yutian Nie
Northwestern University - Department of Industrial Engineering and Management Sciences, Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 256 (117,853)
Citation 10

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10.

Pricing Equity Default Swaps under the Jump to Default Extended CEV Model

Finance Stochastics, Vol. 15, No. 3, 513-540
Number of pages: 23 Posted: 18 May 2009 Last Revised: 24 Jul 2014
Vadim Linetsky and Rafael Mendoza-Arriaga
Northwestern University - Department of Industrial Engineering and Management Sciences and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 254 (118,845)
Citation 14

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Multivariate Subordination of Markov Processes with Financial Applications

Mathematical Finance (Online First), Forthcoming
Number of pages: 42 Posted: 03 Nov 2010 Last Revised: 24 Jul 2014
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 175 (169,496)
Citation 3

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JDCEV Model, Multiparameter Semigroups, Multivariate Subordination, Subordinators, Time-Inhomogeneous, Multiple Commodities, Additive Subordinators

Multivariate Subordination of Markov Processes with Financial Applications

Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Number of pages: 49 Posted: 20 Sep 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 0
Citation 9
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 JDCEV model, multiparameter semigroups, multivariate subordination, subordinators, time‐inhomogeneous, multiple commodities, additive subordinators, stochastic volatility

12.

On the Solution of Complementarity Problems Arising in American Options Pricing

Optimization Methods and Software, Forthcoming
Number of pages: 16 Posted: 06 Nov 2010
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering, Northwestern University - Department of Industrial Engineering and Management Sciences, Instituto Tecnológico Autónomo de México (ITAM) and Northwestern University
Downloads 155 (187,967)
Citation 2

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American Options Pricing, Linear Complementarity, Projected SOR Method

13.

Time-Changed CIR Default Intensities with Two-Sided Mean-Reverting Jumps

The Annals of Applied Probability, 24(2), 811-856
Number of pages: 31 Posted: 09 Sep 2012 Last Revised: 24 Jul 2014
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 119 (231,766)
Citation 19

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SubCIR, Subordinate CIR, semimartingale, subordination, Feller, semigroups, default intensity, bivariate process, default, credit risk

14.

Discretely Monitored First Passage Problems and Barrier Options: An Eigenfunction Expansion Approach

Finance and Stochastics, Forthcoming
Number of pages: 33 Posted: 05 Nov 2014
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 108 (248,563)
Citation 9

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first passage times, barrier options, diffusions, Bochner's subordination,eigenfunction expansions

15.

Long-Term Factorization of Affine Pricing Kernels

Number of pages: 24 Posted: 06 Oct 2016 Last Revised: 27 Jul 2017
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 106 (251,757)

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Stochastic discount factor, pricing kernel, affine models, long bond, long-term factorization, long forward measure, principal eigenfunction

16.

Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach

Number of pages: 36 Posted: 07 Feb 2013 Last Revised: 22 Feb 2013
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 100 (262,027)
Citation 16

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optimal stopping, American options, eigenfunction expansions

17.

The Long Bond, Long Forward Measure and Long-Term Factorization In Heath-Jarrow-Morton Models

Number of pages: 34 Posted: 04 Oct 2016 Last Revised: 27 Jul 2017
Likuan Qin and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 79 (303,794)
Citation 1

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Stochastic discount factor, pricing kernel, long-term factorization, long bond, long forward measure, term structure, HJM models

18.

Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach

Number of pages: 27 Posted: 22 Jun 2012
Dongjae Lim, Lingfei Li and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 60 (352,504)
Citation 16

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interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes

19.

Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Mathematical Finance, Vol. 14, pp. 49-78, January 2004
Number of pages: 30 Posted: 13 Apr 2004
Viatcheslav Gorovoi and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 28 (471,543)
Citation 49
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20.

Pricing Equity Derivatives Subject to Bankruptcy

Mathematical Finance, Vol. 16, No. 2, pp. 255-282, April 2006
Number of pages: 28 Posted: 08 May 2006
Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 27 (476,644)
Citation 44
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21.

(Online Appendix) Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk

Number of pages: 4 Posted: 07 Dec 2016
Yunpeng Sun, Rafael Mendoza-Arriaga and Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences, University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 15 (544,509)
Citation 3

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Marshall-Olkin multivariate exponential distribution, Levy process, subordinator, additive subordinator, simulation, dependent lifetimes, failure, default, reliability, credit risk

22.

Intensity-Based Valuation of Residential Mortgages: An Analytically Tractable Model

Mathematical Finance, Vol. 17, No. 4, pp. 541-573, October 2007
Number of pages: 34 Posted: 14 Sep 2007
Vyacheslav Gorovoy and Vadim Linetsky
Standard Bank - Securitization Group and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 9 (581,033)
Citation 10
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23.

Time-Changed Markov Processes in Unified Credit-Equity Modeling

Mathematical Finance, Vol. 20, Issue 4, pp. 527-569, October 2010
Number of pages: 43 Posted: 27 Sep 2010
Rafael Mendoza-Arriaga, Peter Carr and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management, New York University Finance and Risk Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 3 (621,476)
Citation 42
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24.

Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Lévy Process Models: A Fast Hilbert Transform Approach

Mathematical Finance, Vol. 18, Issue 3, pp. 337-384, July 2008
Number of pages: 48 Posted: 16 Jun 2008
Liming Feng and Vadim Linetsky
University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 1 (644,032)
Citation 61
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25.

Time‐Changed Ornstein–Uhlenbeck Processes and Their Applications in Commodity Derivative Models

Mathematical Finance, Vol. 24, Issue 2, pp. 289-330, 2014
Number of pages: 42 Posted: 06 Mar 2014
Vadim Linetsky
Northwestern University - Department of Industrial Engineering and Management Sciences
Downloads 0 (662,094)
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commodity derivatives, Ornstein–Uhlenbeck, time change, Bochner subordination, mean reversion, jumps, stochastic volatility, commodity futures, commodity options, energy derivatives

26.

Time-Changed Ornstein-Uhlenbeck Processes and Their Applications in Commodity Derivative Models

Mathematical Finance, Forthcoming
Posted: 17 Apr 2012 Last Revised: 06 Feb 2013
Lingfei Li and Vadim Linetsky
The Chinese University of Hong Kong and Northwestern University - Department of Industrial Engineering and Management Sciences

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commodity derivatives, mean-reverting jumps, eigenfunction expansion