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Vadim Linetsky

Affiliations: 
Industrial Engineering and Management Sciences Northwestern University, Evanston, IL 
Area:
Operations Research, Industrial Engineering
Website:
https://www.mccormick.northwestern.edu/research-faculty/directory/profiles/linetsky-vadim.html
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"Vadim Linetsky"
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Vyacheslav Gorovoy grad student 2005 Northwestern
Liming Feng grad student 2006 Northwestern
Pavlo Kovalov grad student 2006 Northwestern
Rafael Mendoza-Arriaga grad student 2009 Northwestern
Yunpeng Sun grad student 2011 Northwestern
Steven M. Golbeck grad student 2012 Northwestern
Lingfei Li grad student 2012 Northwestern
Dongjae Lim grad student 2013 Northwestern

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Publications

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Nie Y, Linetsky V. (2020) Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound Stochastic Models. 36: 1-19
Qin L, Linetsky V, Nie Y. (2018) Long Forward Probabilities, Recovery and the Term Structure of Bond Risk Premiums Review of Financial Studies. 31: 4863-4883
Qin L, Linetsky V. (2018) Long-term factorization in Heath–Jarrow–Morton models Finance and Stochastics. 22: 621-641
Qin L, Linetsky V. (2017) Long Term Risk: A Martingale Approach Econometrica. 85: 299-312
Sun Y, Mendoza-Arriaga R, Linetsky V. (2017) Marshall-Olkin Distributions, Subordinators, Efficient Simulation, and Applications to Credit Risk Advances in Applied Probability. 49: 481-514
Qin L, Linetsky V. (2017) Long-Term Factorization of Affine Pricing Kernels Mathematics and Financial Economics. 11: 479-498
Qin L, Linetsky V. (2016) Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing Operations Research. 64: 99-117
Mendoza-Arriaga R, Linetsky V. (2016) Multivariate Subordination of Markov Processes with Financial Applications Mathematical Finance. 26: 699-747
Li L, Linetsky V. (2015) Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach Finance and Stochastics. 19: 941-977
Mendoza-Arriaga R, Linetsky V. (2014) Time-changed CIR default intensities with two-sided mean-reverting jumps Annals of Applied Probability. 24: 811-856
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