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Search: person:"Linetsky, Vadim"
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Stochastic process
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Linetsky, Vadim
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Li, Lingfei
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ECONIS (ZBW)
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1
Long forward probabilities, recovery, and the term structure of bond risk premiums
Qin, Likuan
;
Linetsky, Vadim
;
Nie, Yutian
- In:
The review of financial studies
31
(
2018
)
12
,
pp. 4863-4883
Persistent link: https://www.econbiz.de/10012005231
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2
Multivariate subordination of Markov processes with financial applications
Mendoza-Arriaga, Rafael
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 699-747
Persistent link: https://www.econbiz.de/10011583791
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3
Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei
;
Linetsky, Vadim
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
Saved in:
4
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
24
(
2014
)
2
,
pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
Saved in:
5
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
6
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Feng, Liming
;
Linetsky, Vadim
- In:
Finance and stochastics
13
(
2009
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10003899518
Saved in:
7
Spectral methods in derivatives pricing
Linetsky, Vadim
- In:
Financial engineering
,
(pp. 223-299)
.
2008
Persistent link: https://www.econbiz.de/10003567126
Saved in:
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