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Black's model of interest rates as options, eigenfunction expansions and Japanese interest rates
Gorovoi, Viatcheslav
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
14
(
2004
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10001917699
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2
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Gorovoi, Viatcheslav
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
14
(
2004
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10008215000
Saved in:
3
Step options
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 55-96
Persistent link: https://www.econbiz.de/10001363486
Saved in:
4
Pricing equity derivates subject to bankruptcy
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 255-282
Persistent link: https://www.econbiz.de/10003325841
Saved in:
5
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
Saved in:
6
Time-changed Markov processes in unified credit-equity modeling
Mendoza-Arriaga, Rafael
;
Carr, Peter
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
20
(
2010
)
4
,
pp. 527-569
Persistent link: https://www.econbiz.de/10008666998
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7
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
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Intensity-based valuation of residential mortgages : an analytically tractable model
Gorovoy, Vyacheslav
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 541-573
Persistent link: https://www.econbiz.de/10003626607
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9
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models : a fast Hilbert transform approach
Feng, Liming
;
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
18
(
2008
)
3
,
pp. 337-384
Persistent link: https://www.econbiz.de/10003752266
Saved in:
10
Step Options
Linetsky, Vadim
- In:
Mathematical finance : an international journal of …
9
(
1999
)
1
,
pp. 55
Persistent link: https://www.econbiz.de/10008218695
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