Vadim Linetsky
Vadim Linetsky
Professor
E-mail: linetsky @ iems.northwestern.edu
Phone: (847)491-2084
Fax: (847) 491-8005
Office: Tech C251
Education
Ph.D., Theoretical Physics, Lebedev Physical Institute of the Russian Academy of Sciences
M.S., Electrical Engineering, Moscow State Institute of Radio Engineering, Electronics, and Automation
B.S., Electrical Engineering, Moscow State Institute of Radio Engineering, Electronics, and Automation
Field(s) of Expertise/Research Area(s)
Financial Engineering
Courses
373 Introduction to Financial Engineering (Winter)473-1 Financial Engineering I
473-2 Financial Engineering II
Biography
Area Editor, Operations Research Letters, 2002 - Present
Associate Editor, Finance Letters, 2003- Present
Associate Editor, Naval Research Logistics, 2003 - Present
Associate Editor, Mathematical Finance, 2004 - Present
Research
Vadim Linetsky, V.Gorovoi, 2004, Black’s Model of Interest Rates as Options, Eigenfunction Expansions, and Japanese Interest Rates, Mathematical Finance, 14,49-78
Vadim Linetsky, 2004, Lookback Options and Diffusion Hitting Times: A Spectral Expansion Approach, Finance and Stochastics, 8(3),373-398
Vadim Linetsky, D. Davydov, 2003, Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach, Operations Research, 51,185-209
Vadim Linetsky, D. Davydov, 2001, Pricing and Hedging Path-Dependent Options under the CEV Process, Management Science, 47,949-965
Vadim Linetsky, P. Carr, 2000, The Valuation of Executive Stock Options in an Intensity Based Framework, European Finance Review, 4,211-230
Vadim Linetsky, 1999, Step Options, Mathematical Finance, 9,55-96
Honors and Awards
D. Eugene and Bonnie L. Nugent Chair, Northwestern University
