Faculty Directory
Vadim Linetsky

Orrington Lunt Professor of Industrial Engineering and Management Sciences


2145 Sheridan Road
Tech C251
Evanston, IL 60208-3109

Email Vadim Linetsky


Industrial Engineering and Management Sciences


Ph.D. Theoretical and Mathematical Physics, P.N. Lebedev Physical Institute of the Russian Academy of Sciences (FIRAN), Moscow

M.S. Electrical Engineering, Moscow State Institute of Radio Engineering, Moscow, Russia

B.S. Electronics and Automation, University of Technology

Research Interests

Financial engineering, mathematical finance, stochastic modeling.

Selected Publications

  • Yutian Nie, Vadim Linetsky, “Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound”, Stochastic Models, (2019)
  • Likuan Qin, Vadim Linetsky, “Long-term factorization in Heath?Jarrow?Morton models”, Finance and Stochastics, (2018)
  • Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky, “Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk”, Advances in Applied Probability, (2017)
  • Likuan Qin, Vadim Linetsky, “Long-Term Risk”, Econometrica, (2017)
  • Likuan Qin, Vadim Linetsky, “Long-term factorization of affine pricing kernels”, Mathematics and Financial Economics, (2017)
  • Rafael Mendoza-Arriaga, Vadim Linetsky, “MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS”, Mathematical Finance, (2016)
  • Likuan Qin, Vadim Linetsky, “Positive eigenfunctions of markovian pricing operators”, Operations Research, (2016)
  • Lingfei Li, Vadim Linetsky, “Discretely monitored first passage problems and barrier options”, Finance and Stochastics, (2015)
  • Li, Lingfei; Linetsky, Vadim, “Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach”, Finance and Stochastics, (2015)
  • Linetsky, Vadim; Mendoza-Arriaga, Rafael, “Multivariate subordination of markov processes with financial applications”, Mathematical Finance, (2014)
  • Linetsky, Vadim; Li, Lingfei, “Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models”, Mathematical Finance, (2014)
  • Linetsky, Vadim; Li, Lingfei, “Optimal stopping in infinite horizon: An eigenfunction expansion approach”, Statistics and Probability Letters, (2014)
  • Li, L.; Linetsky, V.; Lim, D., “Evaluating callable and putable bonds: An eigenfunction expansion approach”, Journal of Economic Dynamics and Control, (2012)
  • R. Mendoza-Arriaga and V. Linetsky, “Pricing equity default swaps under the jump-to-default extended CEV model”, Finance and Stochastics, (2011)
  • L. Feng, V. Linetsky, J. L. Morales and J. Nocedal, “On the solution of complementarity problems arising in American options pricing”, Optimization Methods & Software, (2011)
  • R Mendoza-Arriaga;P Carr;V Linetsky, “TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING”, Mathematical Finance, (2010)
  • LM FENG;V LINETSKY;JL MORALES;J NOCEDAL;TE SIMOS;G PSIHOYIOS;C TSITOURAS, “An Algorithm for Linear Complementarity and its Application in American Options Pricing”, Numerical Analysis and Applied Mathematics, Vols 1 and 2, (2009)
  • LM FENG, V LINETSKY, “Computing exponential moments of the discrete maximum of a L,vy process and lookback options”, FINANCE AND STOCHASTICS, (2009)