Andrew Thomas Lesniewski
Professor
Weissman School of Arts and Sciences
Department: Mathematics
Areas of expertise:
Email Address: andrew.lesniewski@baruch.cuny.edu
> View CV- Biography
- Teaching
- Research and Creative Activity
- Grants
- Honors and Awards
- Service
Semester | Course Prefix | Course Number | Course Name |
---|---|---|---|
Fall 2023 | MTH | 9842 | Optimization Technq in Finance |
Fall 2023 | MTH | 9903 | Capstone Project/Pre |
Fall 2023 | MTH | 9893 | Time Series Analysis |
Fall 2023 | MTH | 9900 | Special Topics in Mathematics |
Spring 2023 | MTH | 9903 | Capstone Project/Pre |
Spring 2023 | MTH | 9877 | Interest Rate and Credit Model |
Fall 2022 | MTH | 9903 | Capstone Project/Pre |
Fall 2022 | MTH | 9893 | Time Series Analysis |
Fall 2022 | MTH | 9887 | Blockchain Tech in Finance |
Fall 2022 | MTH | 9842 | Optimization Technq in Finance |
Spring 2022 | MTH | 9903 | Capstone Project/Pre |
Spring 2022 | MTH | 9877 | Interest Rate and Credit Model |
Fall 2021 | MTH | 9893 | Time Series Analysis |
Fall 2021 | MTH | 9842 | Optimization Technq in Finance |
Fall 2021 | MTH | 9903 | Capstone Project/Pre |
Spring 2021 | MTH | 9877 | Interest Rate and Credit Model |
Fall 2020 | MTH | 9893 | Time Series Analysis |
Fall 2020 | MTH | 9842 | Optimization Technq in Finance |
Fall 2020 | MTH | 9903 | Capstone Project/Pre |
Spring 2020 | MTH | 9877 | Interest Rate and Credit Model |
Spring 2020 | MTH | 9900 | Special Topics in Mathematics |
Fall 2019 | MTH | 9842 | Optimization Technq in Finance |
Fall 2019 | MTH | 9893 | Time Series Analysis |
Fall 2019 | MTH | 9900 | Special Topics in Mathematics |
Fall 2019 | MTH | 9903 | Capstone Project/Pre |
Spring 2019 | MTH | 9903 | Capstone Project/Pre |
Spring 2019 | MTH | 9877 | Interest Rate and Credit Model |
Fall 2018 | MTH | 9893 | Time Series Analysis |
Fall 2018 | MTH | 9887 | Blockchain Tech in Finance |
Fall 2018 | MTH | 9842 | Optimization Technq in Finance |
Fall 2018 | MTH | 9903 | Capstone Project/Pre |
Spring 2018 | MTH | 9901 | Spec Topics Internsh |
Spring 2018 | MTH | 9878 | Interest Rate Models |
Spring 2018 | MTH | 9901 | Spec Topics Internsh |
Fall 2017 | MTH | 9903 | Capstone Project/Pre |
Summer 2017 | MTH | 9901 | Spec Topics Internsh |
Summer 2017 | MTH | 9901 | Spec Topics Internsh |
Summer 2017 | MTH | 9901 | Spec Topics Internsh |
Summer 2017 | MTH | 9901 | Spec Topics Internsh |
Summer 2017 | MTH | 9901 | Spec Topics Internsh |
Spring 2017 | MTH | 9878 | Interest Rate Models |
Spring 2017 | MTH | 9893 | Time Series Analysis |
Fall 2016 | MTH | 9903 | Capstone Project/Pre |
Fall 2016 | MTH | 9876 | Credit Risk Models |
Spring 2016 | MTH | 5001 | Independent Study Math II |
Spring 2016 | MTH | 9903 | Capstone Project/Pre |
Fall 2015 | MTH | 5001H | Hon Independent Study MTH II |
Fall 2015 | MTH | 9903 | Capstone Project/Pre |
Fall 2015 | MTH | 9876 | Credit Risk Models |
Summer 2015 | MTH | 9901 | Spec Topics Internsh |
Summer 2015 | MTH | 9901 | Spec Topics Internsh |
Summer 2015 | MTH | 9901 | Spec Topics Internsh |
Summer 2015 | MTH | 9900 | Special Topics in Mathematics |
Spring 2015 | MTH | 9878 | Interest Rate Models |
Spring 2015 | MTH | 9903 | Capstone Project/Pre |
Fall 2014 | MTH | 9900 | Special Topics in Mathematics |
Fall 2014 | MTH | 9903 | Capstone Project/Pre |
Fall 2014 | MTH | 9876 | Credit Risk Models |
Fall 2014 | MTH | 9815 | Software Engineering in Fin |
Summer 2014 | MTH | 9901 | Spec Topics Internsh |
Spring 2014 | MTH | 9903 | Capstone Project/Pre |
Spring 2014 | MTH | 9852 | Num Meth Pde/Finance |
Spring 2014 | MTH | 9901 | Spec Topics Internsh |
Fall 2013 | MTH | 4500 | Intro Financial Math |
Fall 2013 | MTH | 9903 | Capstone Project/Pre |
Fall 2013 | MTH | 9901 | Spec Topics Internsh |
Fall 2013 | MTH | 9881 | Topics Math Finance |
Fall 2013 | MTH | 9901 | Spec Topics Internsh |
Fall 2012 | MTH | 9882 | Fixed Income Risk Management |
Journal Articles
Hagan, P., Lesniewski, A., Skoufis, G. E., & Woodward, D. (2019). Convexity without Replication. Wilmott,
Hagan, P., & Lesniewski, A. (2019). Bartlett's Delta in the SABR Model. Wilmott, May(101). 54 - 61.
Hagan, P., Lesniewski, A., Woodward, D., & Skoufis, G. E. (2019). Explicit Pricing of Quadratic Derivatives under SABR. Wilmott,
Lesniewski, A., & Richter, A. (2018). Portfolio Optimization Under Uncertain Parameters. In Progress.
Hagan, P., Lesniewski, A., & Woodward, D. (2018). Implied Volatility for Heston Models. Wilmott, November(98). 44 - 57.
Lesniewski, A., Hagan, P., & Richter, A. (2018). FKK filtering for observations with state dependent diffusion coefficients. In Progress.
Hagan, P., Lesniewski, A., & Woodward, D. (2018). Effective Media Analysis for Stochastic Volatility Models. Wilmott, January(93). 46 - 55.
Hagan, P., Lesniewski, A., & Woodward, D. (2018). Managing Vol Surfaces. Wilmott, January(93). 24 - 43.
Hagan, P., Lesniewski, A., & Woodward, D. (2017). Implied Volatilities for mean reverting SABR Models. In Progress.
N/A, P., Lesniewski, A., Kumar, D., & Woodward, D. (2016). Universal Smiles. Wilmott, January(84). 40 - 55.
Lesniewski, A., & Richter, A. (2016). Managing Counterparty Credit Risk Via BSDEs.
Hagan, P., Lesniewski, A., Kumar, D., & Woodward, D. (2014). Arbitrage-Free SABR. Wilmott, January(69). 60 - 75.
Book Chapters
Hagan, P., Lesniewski, A., & Woodward, D. (2015). Probability Distribution in the SABR Model of Stochastic Volatility. In Friz, P. K., Gatheral, J., Gulisashvili, A., Jacquier, A., & Teichmann, J. (Eds.), Large Deviations and Asymptotic Methods in Finance (pp. 1-36). Germany. Springer.
Presentations
Lesniewski, A. (2014, March 24). Option Smile and the SABR Model of Stochastic Volatility. Traders @ MIT Seminar. Cambridge, MA: Massachussetts Institute of Technology.
Research Currently in Progess
Richter, A., & Lesniewski, A.(n.d.). Approximate stochastic maximum principle via a low noise expansion. In Progress.
We develop a method for approximate stochastic optimal control using a low noise approximation of the stochastic maximum principle.
Richter, A., & Lesniewski, A.(n.d.). FKK filtering for observations with state dependent diffusion coefficients. In Progress.
Stochastic filtering is an approach that aims to estimate the "true" state or signal of a system based on incomplete and noisy observations. One typically assumes a system of stochastic differential equations of which only parts can be observed. From the observable part of the system one obtains an estimate of the "true" state. The general equations of stochastic filtering have been established under the assumption that the diffusion coefficient of the observed process is independent of the state, hence excluding many financial models. Based on directed acyclic graphs, we believe we can find a stochastic filtering equation with a state dependent diffusion coefficient.
Richter, A., & Lesniewski, A.(n.d.). Portfolio optimization under incomplete information. In Progress.
We study multiple optimal investment problem under incomplete information which can be solved explicitly. We use Backward Differential Equations (BSDE) to characterize the value function and then solve the BSDEs in terms of a system of ordinary differential equations.
Richter, A., Lesniewski, A., & Lewis, H.(n.d.). Wrong Way Risk and the XVAs. In Progress.
In "Managing counterparty credit risk via backward stochastic differential equation (BSDEs)", Andrew Lesniewski and I developed a general approach to counterparty credit risk modeling. Particularly, the paper provides an efficient numerical method for solving a BSDE fundamental to the study of counterparty credit risk. Here, we extend this method to study wrong way risk which occurs whenever the exposure to a counterparty depends unfavorably on the default of that counterparty.