Vadim Linetsky
Affiliations: | Industrial Engineering and Management Sciences | Northwestern University, Evanston, IL |
Area:
Operations Research, Industrial EngineeringWebsite:
https://www.mccormick.northwestern.edu/research-faculty/directory/profiles/linetsky-vadim.htmlGoogle:
"Vadim Linetsky"Children
Sign in to add traineeVyacheslav 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 |