Narrow search
Showing 1 - 7 of 7
Cover Image
Spectral methods in derivatives pricing
Linetsky, Vadim - In: Financial engineering, (pp. 223-299). 2008
Persistent link: https://www.econbiz.de/10003567126
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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