Grants per year
Personal profile
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
- 9 Finished
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Interest Rate Modeling at the Zero Lower Bound: Applications of Diffusions with Sticky Boundaries
9/1/15 → 8/31/18
Project: Research project
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Market Expectations, Long Term Risk, and Stochastic Spectral Theory
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
8/1/11 → 7/31/15
Project: Research project
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Time Changes of Markov Processes: Applications in Financial Mathematics
7/1/08 → 6/30/12
Project: Research project
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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
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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
3 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
10 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
6 Scopus citations -
Long-term factorization in Heath–Jarrow–Morton models
Qin, L. & Linetsky, V., Jul 1 2018, In: Finance and Stochastics. 22, 3, p. 621-641 21 p.Research output: Contribution to journal › Article › peer-review