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Andrew Lesniewski

Baruch College (from arXiv:2103.05453, 2021) · OpenAlex

14 papers in scope · 13 published · 1 on the econ.EM arXiv · 331 citations · h-index 6 (over the papers listed here)

Papers

(2 of 14)

Portfolio risk allocation through Shapley value
published2023 · International Journal of Financial Engineering · 5 citations · first circulated 2021
with Patrick S. Hagan, G. E. Skoufis, Diana E. Woodward
Paper profile International Journal of Financial Engineering arXiv:2103.05453
CMS spread options
published2021 · Quantitative Finance · 2 citations
with Patrick S. Hagan, G. E. Skoufis, Diana E. Woodward
Quantitative Finance
Implied Volatilities for Mean Reverting SABR Models
published2020 · Wilmott · 6 citations
with Patrick S. Hagan, Diana E. Woodeard
Wilmott
Digital Option Valuation With the SABR Model
published2020 · Wilmott
with Patrick S. Hagan, G. E. Skoufis, Diana E. Woodward
Wilmott
Epidemic control via stochastic optimal control
working paper2020 · arXiv · 4 citations
Paper profile arXiv arXiv:2004.06680
Convexity Without Replication
published2020 · Wilmott · 5 citations
with Patrick S. Hagan, G. E. Skoufis, Diana E. Woodward
Wilmott
Explicit Pricing of Quadratic Derivatives Under SABR
published2019 · Wilmott · 4 citations
with Patrick S. Hagan, G. E. Skoufis, Diana E. Woodward
Wilmott
Bartlett's Delta in the SABR Model
published2019 · Wilmott
with Patrick S. Hagan
Wilmott
Implied Volatility Formulas for Heston Models
published2018 · Wilmott · 7 citations
with Patrick S. Hagan, Diana E. Woodward
Wilmott
Managing Vol Surfaces
published2018 · Wilmott · 31 citations
with Patrick S. Hagan, Diana E. Woodward
Wilmott
Effective Media Analysis for Stochastic Volatility Models
published2018 · Wilmott · 4 citations
with Patrick S. Hagan, Diana E. Woodward
Wilmott
Universal Smiles
published2016 · Wilmott · 68 citations
with Patrick S. Hagan, Deep Kumar, Diana E. Woodward
Wilmott
Probability Distribution in the SABR Model of Stochastic Volatility
published2015 · Springer proceedings in mathematics & statistics · 116 citations
with Patrick S. Hagan, Diana E. Woodward
Springer proceedings in mathematics & statistics
Arbitrage-Free SABR
published2014 · Wilmott · 79 citations
with Patrick S. Hagan, Deep Kumar, Diana E. Woodward
Wilmott

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.