Division of financial mathematics
Since 12.2023 - Faculty Coordinator for the cooperation with employers
Department of Probability Theory
One-year post-doctoral position in the Polish National Science Centre grant Analysis of asymptotical and non convex stochastic control problems with applications, grant number 2020/37/B/ST1/00463
Division of financial mathematics
On leave in 2022-2023 for post-doc position
PhD thesis (2022) Selected risk-sensitive optimal stopping and impulse control problems written under the supervision of Łukasz Stettner (Institute of Mathematics Polish Academy of Sciences) and Marcin Pitera (Jagiellonian University)
MSc thesis (2018) Malliavin calculus and the Greek letters (in Polish) written under the supervision of Szymon Peszat
BSc thesis (2016) Random vectors and copulas (in Polish)
Specialisation: financial mathematics
Member of the Financial Mathematics Student Association of the Jagiellonian University (2015-2016 member of the board, 2016-2017 president)
Semester’s workshops: Risk theory and risk sensitive portfolio, Nonconvex problems in stochastic control and in mathematics of finance, Stochastic Games with Asymmetric Information, Modeling with non Markovian processes
3 days-long visit by the invitation of Sören Christensen. A seminar talk: Asymptotics of impulse control with exponential reward
Semester’s activities included: mini-courses on stochastic control, viscosity solutions, utility maximisation and incomplete markets; Workshop on Recent problems of stochastic control theory in Warsaw and Conference on Stochastic modelling (in finance and insurance) in Będlewo, Poland.
During the semester I took part in 144th European Study Group with Industry. Together with a team, we proposed a motivation scheme for employees based on Markov decision processes. The report summarising this idea could was published in Mathematics in Industry Reports.
Responsibilities: Building a VBA tool for automatic downloading and processing investment funds quarter reports; preparing analytical dashboards to visualize collected data using Power Pivot; ongoing queries, task automatization and improvement, user manual preparation.
Responsibilities: preparing reports, queries in internal and external databases. Internship extended as a remote cooperation aimed at preparing the report about the governmental de minimis guarantees scheme.
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