Published Papers

Working Papers

Lectures and Presentations


Working Papers

-Classical Randomness and Quantum Determinism
Sidney Coleman and Andrzej Lesniewski

-Probability Distribution in the SABR Model of Stochastic Volatility
Patrick Hagan, Andrew Lesniewski, and Diana Woodward

-LIBOR Market Model with SABR Style Stochastic Volatility
Patrick Hagan and Andrew Lesniewski

-Notes on the CEV model
Andrew Lesniewski

-Semiclassical approximation in stochastic optimal control I. Portfolio construction problem
Sakda Chaiworawitkul, Patrick Hagan, and Andrew Lesniewski