Professor

Department of Industrial
Engineering and Management Sciences

McCormick School of Engineering
and Applied Sciences

Northwestern
University

Evanston, IL 60208-3119

E-mail: linetsky@iems.northwestern.edu

Voice:

Fax:

**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 **

**OPTIONS PRICING:
ANALYTICAL METHODS ****AND**** APPLICATIONS**

**The Path Integral
Approach**

**Occupation Times and Barrier and Step
Options**

- V. Linetsky, “Steps to the Barrier,”
, April 1998, pp. 62-65.*RISK* - V. Linetsky, “Step Options,”
, 9 (1999) pp. 55-96.*Mathematical Finance* - D. Davydov and V. Linetsky,
“Structuring, Pricing and Hedging Double Barrier Step
Options,”
*Journal of Computational Finance**,*Volume 5 Issue 2 Winter 2001/2002, pp.55-87.

**Valuation and Exercise of Executive Stock
Options**

- P. Carr and V.
Linetsky, “The Valuation of Executive
Stock Options in an Intensity-Based Framework,”
, 4 (2000) pp.211-230. [Correction]*European Finance Review*

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

- D. Davydov and V. Linetsky,
“The Valuation and Hedging of Barrier and Lookback
Options under the CEV Process,”
, 47 (2001) pp. 949-965.*Management Science* - D. Davydov and V. Linetsky,
“Pricing Options on Scalar Diffusions: An Eigenfunction
Expansion Approach,”
, 51 (2003) pp.185-209*Operations Research* - V. Linetsky, "Lookback
Options and Diffusion Hitting Times: A Spectral Expansion Approach,"
, 8 (2004) pp.373-398*Finance and Stochastics*

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, "Exotic Spectra,"
, April 2002, pp.85-89.*RISK* - V. Linetsky, "The Spectral Decomposition of the
Option Value,"
, 7 (2004) pp.337-384*IJTAF*

**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**

- V. Linetsky, "The Spectral Representation of Bessel
Processes with Drift: Applications in Queueing
and Finance,"
, 41 (2004) pp.327-344.*Journal of Applied Probability* - V. Linetsky, "Computing Hitting Time Densities for
OU and CIR Processes: Applications to Mean-reverting Models,"
, 7 (2004) pp.1-22.*Journal of Computational Finance* - V. Linetsky, "On the Transition Densities for
Reflected Diffusions"
, 37 (2005) 435-460.*Advances in Applied Probability*

**THE ****LAPLACE****
TRANSFORM APPROACH TO OPTIONS VALUATION**

- D. Davydov and V. Linetsky,
“Structuring, Pricing and Hedging Double Barrier Step
Options,”
*Journal of Computational Finance**,*Volume 5 Issue 2 Winter 2001/2002, pp.55-87. - D. Davydov and V. Linetsky,
“The Valuation and Hedging of Barrier and Lookback
Options under the CEV Process,”
, 47 (2001) pp. 949-965.*Management Science*

**INTEREST ****RATE**** MODELING**

- V. Gorovoi and V. Linetsky,
"Black's Model of Interest Rates as Options, Eigenfunction
Expansions and Japanese Interest Rates,"
*Mathematical Finance**,*14 (2004) pp.49-78*.* - V. Gorovoi and V. Linetsky,
"Shadow Interest,"
*RISK**,*December 2003, pp.81-84 - V. Linetsky, "Computing Hitting Time Densities for
OU and CIR Processes: Applications to Mean-reverting Models,"
, 7 (2004) pp.1-22.*Journal of Computational Finance*

**NUMERICAL SOLUTION OF ****PDE****’s**** IN COMPUTATIONAL FINANCE **

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

**MORTGAGE VALUATION ****AND**** PREPAYMENT MODELING**

**CREDIT RISK MODELING**

**Unified Credit-Equity Models **

**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.