Department of Mathematics
Phone: (646) 312-4183
Andrew Lesniewski joined the Financial Engineering MS Program in the Department of Mathematics at Baruch College in 2013 as a tenured Professor.
Current research interests
Interest rate derivatives modeling, portfolio construction, quantitative risk management
Interest Rate Models (MTH 9878), Spring 2015
Credit Risk Models (MTH 9876), Fall 2014
Google Scholar profile
Last updated: February 2015]]>
Jim Gatheral, Presidential Professor, Department of Mathematics
Abstract:In large-scale scientific computing, the computational costs are high in both spatial and temporal dimensions. There is an increasing demand of new mathematical algorithms scalable on modern supercomputing architectures. In this presentation, I will introduce a high-order, space-time parallel framework for computationally complex disciplines. I first discuss recent efforts to develop spectral methods on graphics processing units (GPU). Then I will present the parallel-in-time approach to break the sequential bottleneck of the time direction.
October 8, 2014
Tai-Ho Wang, Baruch College
Title: Most likely path approximations
Abstract:We derive an exact Brownian bridge representation for the transition density in a local volatility model, which then leads to an exact expression for the transition density in terms of a path integral. In the time homogeneous case, we recover the heat kernel expansion by Taylor-expanding around the most-likely-path. Repeating the same procedure in the time inhomogeneous case leads to a new and natural approximation to the transition density which differs from the conventional heat kernel expansion. We show that by suitably approximating the path integral representation, we recover the results obtained in our previous work. Applying the same methodology to higher dimension models we obtain a Bessel bridge representation for the heat kernel in the hyperbolic space. In particular, the closed form expression in the case of 3 dimensional hyperbolic space is recovered. Extensions to fractional models will be briefly discussed.
October 22, 2014
Anja Richter, Baruch College
Title: Discrete Time Term Structure Theory and Consistent Recalibration Models
Abstract:We present theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Krühner. More precisely we describe a rich, still tractable class of discrete time stochastic processes, whose marginal distributions are given at initial time and which are free of arbitrage. This means we can construct models with a pre-described (implied) volatility surface and quite general volatility surface dynamics. We finally describe the simulation and calibration of consistent recalibration models.
The Baruch College’s Master of Financial Engineering (MFE) program won 4th place (out of 52 teams from 48 universities) at 11th Rotman International Trading Competition held in February 2014 in Toronto.
This is the fourth year in a row a Baruch MFE team is in Top 5 at RITC (after winning the competition in 2012 and placing 3rd in 2011 and 2013)! This consistency unprecedented in the 11 years of RITC competition highlights the strength of our community – our students are prepared by dedicated alumni who participated in the competition in prior years, including Andrew Chang, Yike Lu, and Alexei Smirnov, and coordinated by Eugene Krel.
Congratulations to our students, John Han (team captain), Jun Hua, Dustin Moy, Fubo Shi, Bo Yuan, Peng Wu!
A record number of teams participated this year, including US-based MFE/Math Finance programs: UC Berkeley (3 and 15), Chicago (17 and 22), Rutgers (19), Stanford (26), Boston University (35 and 36), and undergraduate teams from Princeton (7), MIT (18), and Cornell (41), among others.]]>
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I am interested in probability, statistical mechanics, partial differential equations, combinatorics, and dynamical systems. Click here to get a more detailed description of my research.
Department of Mathematics
Box B6-230, Baruch College
One Bernard Baruch Way
New York, NY 10010, USA
We are very happy to announce that Dr. Andrew Lesniewski, a renowned expert on interest rate modeling and celebrated in particular as one of the originators of the SABR model, joined the Baruch MFE Program and the mathematics department at Baruch College in August 2013 as tenured full professor.
Since switching from an earlier successful academic career in mathematical physics, Dr. Lesniewski has had an very accomplished career in the financial industry, most recently as Head of Financial Engineering at DTCC, and prior to that as Managing Director and Head of Quantitative Research at Ellington Management Group.
Dr. Lesniewski has a PhD degree in mathematics from ETH Zurich and was Associate Professor of Mathematical Physics at Harvard University before joining the financial industry.]]>
April 11, 2013. It is with great pleasure that we are able to announce that Dr. Jim Gatheral of the Financial Engineering Masters Program at Baruch College was named Presidential Professor at Baruch College, City University of New York.
Dr. Gatheral joined Baruch College in August 2010, after a distinguished career in finance, most recently as a Managing Director at Merrill Lynch, where he led the quantitative research group for 17 years. Before making his way to New York, Dr. Gatheral’s work spanned the trading and banking worlds, working out of London and Tokyo.
Dr. Gatheral, one of the top quants in the world and author of the best selling book “The Volatility Surface: A Practitioner’s Guide“, has strengthened the Baruch MFE Program, propelling it to be included among the top five such programs by the end of 2011. Jim’s impact on the Baruch MFE program has been significant and multi-faceted, leading directly to not only increasing the program’s prestige and standing, but also attracting even stronger students who have since won international competitions, including the Rotman International Trading Competition and the Metaquotes Automated Trading Championship.]]>
The Baruch Financial Engineering Program won 3rd place (out of 48 teams) at the Rotman International Trading Competition held in February 2013 at University of Toronto.
This is the third year in a row a Baruch MFE team is in Top 3 at RITC (after winning the competition in 2012 and placing 3rd in 2011)! This consistency, unprecedented at RITC, coupled with the 2nd place for the Baruch MFE Program in the IAFE Case Competition, highlights the breadth of knowledge of our students at highly competitive levels.
1. Laval University
2. Chulalongkorn University (Thailand)
3. Baruch College
3. University of Toronto
5. BI Norwegian Business School (2012 winner of the European Rotman Competition)
The Baruch MFE team ranked in top five in four of the six parts of the competition:
Quant Outcry – 1st
Options Trading – 2nd
Sales & Trader – 2nd
Algo Trading – 3rd
A record number of US-based MFE/Math Finance programs participated this year: Baruch (3rd place), Berkeley (38), Boston University (29 and 37), Chicago (12 and 41), NYU (35), Rutgers (32).
Congratulations to our students, Andrew Chang, Juan Pablo Alonso, Kenneth Chan, Richard Postelnik, Kelvin Zhang, and Sean Zhang! (Kelvin and Sean were also members of the IAFE team.)]]>
The Baruch MFE Program won second place in the IAFE Academic Case Competition, which was announced at the IAFE Annual Gala in February 2013.
Having our students at the very top in both trading competitions (winning the Rotman International Trading Competition in 2012) and case competitions is unique. The breadth of their knowledge and interests are one of the keys to their remarkable success on the job market.
31 teams representing 17 financial engineering programs entered the five weeks competition concluded in December 2012; UC Berkeley won first place; no other winners past second place were announced.
The case was a capital adequacy problem – how to allocate funds to maximize returns while complying with the regulatory requirement of Basel III, as well as suggest regulatory improvements for Basel III.
The Baruch MFE program entered one team made of six (first semester) students; two of them were also on the 3rd place Baruch MFE team at the 2013 Rotman Trading Competition:
Yi Kelvin Zhang (team captain; RITC team) Srinivas Kanepalli Jin Kong Ran Sally Liu Yujia Helen Sun Shixiang Sean Zhang (RITC team)
Congratulations to our winners!]]>
Baruch MFE student Juan Pablo Alonso (Baruch MFE’13) won second place in the 2012 Metaquotes Automated Trading Championship held from October 1st to December 28th, 2012, and a $25,000 money prize.
Juan Pablo programmed a fully automated currency trading robot that ran without human interaction for the three months of the competition. The program was created using statistical analysis of historical EUR\USD data to find a trade algorithm that maximized the expected return.
451 traders from over 50 countries on all continents created trading robots that participated in the competition. In the top 20 were participants from United States, Spain, Russia, Belarus, China, Lithuania, Indonesia, France, and Italy. In true trading fashion, only the top three places received prize money.
Juan Pablo was the most followed trader of the competition; an interview with him is posted at http://championship.mql5.com/2012/en/news/189