Vadim Linetsky, Ph.D.

Professor
Department of Industrial Engineering and Management Sciences
McCormick School of Engineering and Applied Sciences

Northwestern University
2145 Sheridan Road, Room C251
Evanston, IL 60208-3119
E-mail: linetsky@iems.northwestern.edu
Voice: (847) 491 2084
Fax: (847) 491 8005

My research and teaching interests are in the areas of Financial Engineering, Mathematical and Computational Finance, and Stochastic Modeling.



Publications in Financial Engineering

 

EDITED VOLUMES

 

 

Table of Contents

 

 

Introduction

 

OPTIONS PRICING: ANALYTICAL METHODS AND APPLICATIONS

 

The Path Integral Approach

 

Occupation Times and Barrier and Step Options

 

Valuation and Exercise of Executive Stock Options

 

Analytical Solutions for Barrier and Lookback Options under the Constant Elasticity of Variance (CEV) Model

 

Note: a generalization of the CEV model to include a jump to default was introduced in “A Jump to Default Extended CEV Model: An Application of Bessel Processes” listed under “Credit Risk Modeling”.

 

An Analytical Solution for Asian (Average Price) Options

 

THE SPECTRAL EXPANSION METHOD IN MATHEMATICAL FINANCE AND APPLIED PROBABILITY

 

The Method

·        V. Linetsky, 2007, “Spectral Methods in Derivatives Pricing,” in Handbook of Financial Engineering, Handbooks in Operations Research and Management Sciences, Elsevier, Amsterdam, 2007.

 

Applications in Mathematical Finance

 

See papers listed under “Interest Rate Modeling”, “Credit Risk Modeling”, “The Constant Elasticity of Variance (CEV) Model”, and “Mortgage Valuation”.

 

Applications in Stochastic Modeling and Applied Probability

 

THE LAPLACE TRANSFORM APPROACH TO OPTIONS VALUATION

 

INTEREST RATE MODELING

 

NUMERICAL SOLUTION OF PDE’s IN COMPUTATIONAL FINANCE

 

·        L. Feng, P. Kovalov, V. Linetsky, and M. Marcozzi, 2007, “Variational Methods in Derivatives Pricing,” in Handbook of Financial Engineering, Handbooks in Operations Research and Management Sciences, Elsevier, Amsterdam.

·        P. Kovalov, V. Linetsky, M. Marcozzi, 2007, “Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty”, 2007, Journal of Scientific Computing, 33(3), 209-237.

·        L. Feng and V. Linetsky, 2008, “Pricing Options in Jump-Diffusion Models: An Extrapolation Approach,” Operations Research, 52(2), 304-325. [Appendix can be found here.]

·        P. Kovalov and V. Linetsky, 2006, “Pricing Convertible Bonds with Stock Price, Interest Rate and Credit Risks,” under revision.

 

FAST FOURIER TRANSFORM (FFT)-BASED METHODS FOR LEVY PROCESSES IN COMPUTATIONAL FINANCE

 

·        L. Feng and V. Linetsky, 2006, “Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models: A Hilbert Transform Approach,” Mathematical Finance, to appear.

·        L. Feng and V. Linetsky, 2007, “Computing Exponential Moments of the Discrete Maximum of a Levy Process and Lookback Options,” Finance and Stochastics, to appear.

 

MORTGAGE VALUATION AND PREPAYMENT MODELING

 

·        V. Gorovoi and V. Linetsky, “Intensity-based Valuation of Residential Mortgages: An Analytically Tractable Model,” Mathematical Finance, 17(4), 541-573. 

 

CREDIT RISK MODELING

 

Unified Credit-Equity Models

·        P. Carr and V. Linetsky, “A Jump to Default Extended CEV Model: An Application of Bessel Processes,” Finance and Stochastics, 10(3), 303-330.

 


Selected Publications in Theoretical and Mathematical Physics Publications

Supergravity and String Theory

  • E.S. Fradkin and V. Linetsky, “Superconformal Higher Spin Theory in the Cubic Approximation,” Nuclear Physics B 350 (1991) pp. 274-324.
  • E.S. Fradkin and V. Linetsky, “On the Space-Time Interpretation of the Coset Models in D < 26 String Theory,” Physics Letters B 277 (1992) pp. 74-78.

Infinite-dimensional Lie Algebras

  • E.S. Fradkin and V. Linetsky, “An Exceptional N = 8 Superconformal Algebra in Two Dimensions Associated with F(4),” Physics Letters B 275 (1992) pp. 345-349.
  • E.S. Fradkin and V. Linetsky, “Classification of Superconformal and Quasi-superconformal Algebras in Two Dimensions,” Physics Letters B 291 (1992) pp. 71-76.
  • E.S. Fradkin and V. Linetsky, “Infinite-dimensional Generalizations of Finite-dimensional Symmetries,” Journal of Mathematical Physics 32 (1991) pp. 1218-1226.

Geometric Quantization

  • E.S. Fradkin and V. Linetsky, “BFV Approach to Geometric Quantization,” Nuclear Physics B 431 (1994) pp. 569-621.
  • E.S. Fradkin and V. Linetsky, “BFV Quantization on Hermitian Symmetric Spaces,” Nuclear Physics B 444 (1995) pp. 577-601.