Vadim Linetsky, Ph.D.Professor

(Department of Industrial Engineering and Management Sciences

McCormick School of Engineering and Applied Sciences

Northwestern University)

E-mail: linetsky@iems.northwestern.edu

好贴推荐1：

https://bbs.pinggu.org/thread-3204515-1-1.html

好贴推荐2：

分数布朗运动(FBM)在金融中应用文献I、II、III:

https://bbs.pinggu.org/thread-3189718-1-1.html
https://bbs.pinggu.org/thread-3197055-1-1.html

https://bbs.pinggu.org/thread-3201294-1-1.html

His Papers stem from Financial Engineering and Stochastic Process, Computational Finance Field

OPTIONS PRICING: ANALYTICAL METHODS AND APPLICATIONS

The Path Integral Approach

        V. Linetsky, “The Path Integral Approach to Financial Modeling and Options Pricing,” Computational Economics, 11 (1998) pp. 129-163.

Occupation Times and Barrier and Step Options

        V. Linetsky, “Steps to the Barrier,” RISK, April 1998, pp. 62-65.

        V. Linetsky, “Step Options,” Mathematical Finance, 9 (1999) pp. 55-96.

        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,” European Finance Review, 4 (2000) pp.211-230.

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,” Management Science, 47 (2001) pp. 949-965.

        D. Davydov and V. Linetsky, “Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach,” Operations Research, 51 (2003) pp.185-209

        V. Linetsky, "Lookback Options and Diffusion Hitting Times: A Spectral Expansion Approach," Finance and Stochastics, 8 (2004) pp.373-398

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

V. Linetsky, "Spectral Expansions for Asian (Average Price) Options,” Operations Research, 52 (2004) pp.856-867

THE SPECTRAL EXPANSION METHOD IN MATHEMATICAL FINANCE AND APPLIED PROBABILITY

The Method

        V. Linetsky, "Exotic Spectra," RISK, April 2002, pp.85-89.

        V. Linetsky, "The Spectral Decomposition of the Option Value," IJTAF, 7 (2004) pp.337-384·   

        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

        V. Linetsky, "The Spectral Representation of Bessel Processes with Drift: Applications in Queueing and Finance," Journal of Applied Probability, 41 (2004) pp.327-344.

        V. Linetsky, "Computing Hitting Time Densities for OU and CIR Processes: Applications to Mean-reverting Models," Journal of Computational Finance, 7 (2004) pp.1-22.

        V. Linetsky, "On the Transition Densities for Reflected Diffusions" Advances in Applied Probability, 37 (2005) 435-460.

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,” Management Science, 47 (2001) pp. 949-965.

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.

NUMERICAL SOLUTION OF PDE’s IN COMPUTATIONAL FINANCE

        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.

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

        V. Linetsky, “Pricing Equity Derivatives subject to Bankruptcy,” Mathematical Finance, 16(2) (2006) 255-282.

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

本帖隐藏的内容

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Linetsky Papers.zip
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本附件包括：

• Intensity-based Valuation of Residential Mortgages_ An Analytically Tractable Model.pdf
• Lookback Options and Diffusion Hitting Times_ A Spectral Expansion Approach.pdf
• On the Transition Densities for Reflected Diffusions.pdf
• Pricing Equity Derivatives subject to Bankruptcy,.pdf
• Pricing Options in Jump-Diffusion Models_ An Extrapolation Approach.pdf
• Pricing Options on Scalar Diffusions_ An Eigenfunction Expansion Approach.pdf
• Spectral Expansions for Asian (Average Price) Options.pdf
• Step Options.pdf
• Steps to the Barrier.pdf
• Structuring, Pricing and Hedging Double Barrier Step Options.pdf
• The Path Integral Approach to Financial Modeling and Options Pricing.pdf
• The Spectral Decomposition of the Option Value.pdf
• The Spectral Representation of Bessel Processes with Drift_ Applications in Queueing and Finance.pdf
• The Valuation and Hedging of Barrier and Lookback Options under the CEV Process.pdf
• The Valuation of Executive Stock Options in an Intensity-Based Framework.pdf
• A Jump to Default Extended CEV Model_ An Application of Bessel Processes.pdf
• Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates.pdf
• Exotic Spectra.pdf

A Jump to Default Extended CEV Model_ An Application of Bessel Processes.pdf
大小:(414.23 KB)

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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Ja.pdf
大小:(763.47 KB)

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Exotic Spectra.pdf
大小:(155.17 KB)

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Intensity-based Valuation of Residential Mortgages_ An Analytically Tractable Model.pdf
大小:(460.49 KB)

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Lookback Options and Diffusion Hitting Times_ A Spectral Expansion Approach.pdf
大小:(314.56 KB)

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On the Transition Densities for Reflected Diffusions.pdf
大小:(201.45 KB)

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Pricing Equity Derivatives subject to Bankruptcy,.pdf
大小:(498.01 KB)

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Pricing Options in Jump-Diffusion Models_ An Extrapolation Approach.pdf
大小:(501.74 KB)

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Pricing Options on Scalar Diffusions_ An Eigenfunction Expansion Approach.pdf
大小:(312.08 KB)

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Spectral Expansions for Asian (Average Price) Options.pdf
大小:(175.35 KB)

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Step Options.pdf
大小:(1.07 MB)

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Steps to the Barrier.pdf
大小:(438.08 KB)

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Structuring, Pricing and Hedging Double Barrier Step Options.pdf
大小:(522.2 KB)

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The Path Integral Approach to Financial Modeling and Options Pricing.pdf
大小:(243.07 KB)

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The Spectral Decomposition of the Option Value.pdf
大小:(520.47 KB)

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The Spectral Representation of Bessel Processes with Drift_ Applications in Queu.pdf
大小:(165.94 KB)

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The Valuation and Hedging of Barrier and Lookback Options under the CEV Process.pdf
大小:(259.91 KB)

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The Valuation of Executive Stock Options in an Intensity-Based Framework.pdf
大小:(171.27 KB)

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