Spectral Expansions for Asian (Average Price) Options von Linetsky, Vadim

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Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing von Qin, Likuan, Linetsky, Vadim

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PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH von Feng, Liming, Linetsky, Vadim

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Pricing and Hedging Path-Dependent Options Under the CEV Process von Davydov, Dmitry, Linetsky, Vadim

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LONG-TERM RISK: A MARTINGALE APPROACH von Qin, Likuan, Linetsky, Vadim

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TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING von Mendoza-Arriaga, Rafael, Carr, Peter, Linetsky, Vadim

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Partially egalitarian portfolio selection von Peng, Yiming, Linetsky, Vadim

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Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach von Davydov, Dmitry, Linetsky, Vadim

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Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates von Gorovoi, Viatcheslav, Linetsky, Vadim

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TIME-CHANGED ORNSTEIN-UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS von Li, Lingfei, Linetsky, Vadim

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Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound von Nie, Yutian, Linetsky, Vadim

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Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach von Li, Lingfei, Linetsky, Vadim

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INTENSITY-BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL von Gorovoy, Vyacheslav, Linetsky, Vadim

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Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach von Li, Lingfei, Linetsky, Vadim

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Long Forward Probabilities, Recovery, and the Term Structure of Bond Risk Premiums von Qin, Likuan, Linetsky, Vadim, Nie, Yutian

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TIME-CHANGED CIR DEFAULT INTENSITIES WITH TWO-SIDED MEAN-REVERTING JUMPS von Mendoza-Arriaga, Rafael, Linetsky, Vadim

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Long-term factorization in Heath–Jarrow–Morton models von Qin, Likuan, Linetsky, Vadim

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach von Feng, Liming, Linetsky, Vadim

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PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY von Linetsky, Vadim

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On the transition densities for reflected diffusions von Linetsky, Vadim

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