Financial Engineering Publications at McCormick
Selected Recent Journal Articles
K. Akcoglu, P. Drineas, and M. Y. Kao. (2005) Fast universalization of investment strategies. SIAM Journal on Computing 34(1), pp. 1-22.
P. Carr and V. Linetsky. (2006) A jump-to-default extended constant elasticity of variance model: An application of Bessel processes. Finance and Stochastics, 10(3), pp. 303-330.
V. Gorovoi and V. Linetsky. (2007) Intensity-based mortgage valuation: An analytically tractable model. Mathematical Finance 17(4), pp. 541-573.
V. Lesnevski, B. L. Nelson, and J. Staum. (2007) Simulation of coherent risk measures based on generalized scenarios. Management Science 53(11), pp. 1756-1769.
V. Linetsky. (2006) Pricing equity derivatives subject to bankruptcy. Mathematical Finance 16(2), pp. 255-282.
J. Staum. (2004) Fundamental theorems of asset pricing for good deal bounds, Mathematical Finance 14(2), pp. 141-161.
X. Xu and J.R. Birge. (2006) Equity valuation, production, and financial planning: A stochastic programming approach. Naval Research Logistics 53, pp. 641-655.
Books
Birge, J. R., and V. Linetsky, eds. Financial Engineering.Handbooks in Operations Research and Management Science, vol. 15, North-Holland, 2007.
Olmstead, W. E. Options for the Beginner and Beyond. Prentice Hall - Financial Times, 2006.
