Andrew Thomas Lesniewski

Professor

Weissman School of Arts and Sciences

Department: Mathematics

Areas of expertise:

Email Address: andrew.lesniewski@baruch.cuny.edu

> View CV
SemesterCourse PrefixCourse NumberCourse Name
Fall 2023MTH9842Optimization Technq in Finance
Fall 2023MTH9903Capstone Project/Pre
Fall 2023MTH9893Time Series Analysis
Fall 2023MTH9900Special Topics in Mathematics
Spring 2023MTH9903Capstone Project/Pre
Spring 2023MTH9877Interest Rate and Credit Model
Fall 2022MTH9903Capstone Project/Pre
Fall 2022MTH9893Time Series Analysis
Fall 2022MTH9887Blockchain Tech in Finance
Fall 2022MTH9842Optimization Technq in Finance
Spring 2022MTH9903Capstone Project/Pre
Spring 2022MTH9877Interest Rate and Credit Model
Fall 2021MTH9893Time Series Analysis
Fall 2021MTH9842Optimization Technq in Finance
Fall 2021MTH9903Capstone Project/Pre
Spring 2021MTH9877Interest Rate and Credit Model
Fall 2020MTH9893Time Series Analysis
Fall 2020MTH9842Optimization Technq in Finance
Fall 2020MTH9903Capstone Project/Pre
Spring 2020MTH9877Interest Rate and Credit Model
Spring 2020MTH9900Special Topics in Mathematics
Fall 2019MTH9842Optimization Technq in Finance
Fall 2019MTH9893Time Series Analysis
Fall 2019MTH9900Special Topics in Mathematics
Fall 2019MTH9903Capstone Project/Pre
Spring 2019MTH9903Capstone Project/Pre
Spring 2019MTH9877Interest Rate and Credit Model
Fall 2018MTH9893Time Series Analysis
Fall 2018MTH9887Blockchain Tech in Finance
Fall 2018MTH9842Optimization Technq in Finance
Fall 2018MTH9903Capstone Project/Pre
Spring 2018MTH9901Spec Topics Internsh
Spring 2018MTH9878Interest Rate Models
Spring 2018MTH9901Spec Topics Internsh
Fall 2017MTH9903Capstone Project/Pre
Summer 2017MTH9901Spec Topics Internsh
Summer 2017MTH9901Spec Topics Internsh
Summer 2017MTH9901Spec Topics Internsh
Summer 2017MTH9901Spec Topics Internsh
Summer 2017MTH9901Spec Topics Internsh
Spring 2017MTH9878Interest Rate Models
Spring 2017MTH9893Time Series Analysis
Fall 2016MTH9903Capstone Project/Pre
Fall 2016MTH9876Credit Risk Models
Spring 2016MTH5001Independent Study Math II
Spring 2016MTH9903Capstone Project/Pre
Fall 2015MTH5001HHon Independent Study MTH II
Fall 2015MTH9903Capstone Project/Pre
Fall 2015MTH9876Credit Risk Models
Summer 2015MTH9901Spec Topics Internsh
Summer 2015MTH9901Spec Topics Internsh
Summer 2015MTH9901Spec Topics Internsh
Summer 2015MTH9900Special Topics in Mathematics
Spring 2015MTH9878Interest Rate Models
Spring 2015MTH9903Capstone Project/Pre
Fall 2014MTH9900Special Topics in Mathematics
Fall 2014MTH9903Capstone Project/Pre
Fall 2014MTH9876Credit Risk Models
Fall 2014MTH9815Software Engineering in Fin
Summer 2014MTH9901Spec Topics Internsh
Spring 2014MTH9903Capstone Project/Pre
Spring 2014MTH9852Num Meth Pde/Finance
Spring 2014MTH9901Spec Topics Internsh
Fall 2013MTH4500Intro Financial Math
Fall 2013MTH9903Capstone Project/Pre
Fall 2013MTH9901Spec Topics Internsh
Fall 2013MTH9881Topics Math Finance
Fall 2013MTH9901Spec Topics Internsh
Fall 2012MTH9882Fixed 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.