Grants per year
Personal profile
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Education/Academic qualification
Theoretical and Mathematical Physics, PhD, Specialization: Quantum field theory, P.N. Lebedev Physical Institute of the Russian Academy of Sciences (FIRAN)
… → 1992
Electrical Engineering, MS, Moscow State Institute of Radio Engineering, Electronics and Automation
… → 1991
Research interests keywords
- Financial engineering
- Mathematical finance
- Stochastic modeling
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Dive into the research topics where Vadim Linetsky is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
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Grants
- 10 Finished
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Asset Allocation: A Statistical Learning Approach
Linetsky, V. (PD/PI)
8/1/19 → 7/31/23
Project: Research project
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Interest Rate Modeling at the Zero Lower Bound: Applications of Diffusions with Sticky Boundaries
Linetsky, V. (PD/PI)
9/1/15 → 8/31/18
Project: Research project
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Market Expectations, Long Term Risk, and Stochastic Spectral Theory
Linetsky, V. (PD/PI)
8/1/15 → 7/31/19
Project: Research project
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First Passage and Optimal Stopping Problems for Subordinate Diffusions: Applications in Mathematical Finance
Linetsky, V. (PD/PI)
8/1/11 → 7/31/15
Project: Research project
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Multivariate Dynamic Stochastic Models of Credit Risk
Linetsky, V. (PD/PI)
9/1/10 → 8/31/14
Project: Research project
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Partially egalitarian portfolio selection
Peng, Y. & Linetsky, V., Jan 2024, In: Operations Research Letters. 52, 107055.Research output: Contribution to journal › Article › peer-review
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Portfolio Selection: A Statistical Learning Approach
Peng, Y. & Linetsky, V., Nov 2 2022, Proceedings of the 3rd ACM International Conference on AI in Finance, ICAIF 2022. Association for Computing Machinery, Inc, p. 257-263 7 p. (Proceedings of the 3rd ACM International Conference on AI in Finance, ICAIF 2022).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
Open Access3 Scopus citations -
High frequency automated market making algorithms with adverse selection risk control via reinforcement learning
Zhao, M. & Linetsky, V., Nov 3 2021, ICAIF 2021 - 2nd ACM International Conference on AI in Finance. Association for Computing Machinery, Inc, 33. (ICAIF 2021 - 2nd ACM International Conference on AI in Finance).Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
5 Scopus citations -
Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
Nie, Y. & Linetsky, V., Jan 2 2020, In: Stochastic Models. 36, 1, p. 1-19 19 p.Research output: Contribution to journal › Article › peer-review
14 Scopus citations -
Long forward probabilities, recovery, and the term structure of bond risk premiums
Qin, L., Linetsky, V. & Nie, Y., Dec 1 2018, In: Review of Financial Studies. 31, 12, p. 4863-4883 21 p.Research output: Contribution to journal › Article › peer-review
Open Access9 Scopus citations