Sylwia Wiśniewska

Sylwia Wiśniewska is a Research Fellow at the Institute for Advanced Dynamic Uncertainty, where her work focuses on the theory of stochastic processes and its application to problems in mathematical finance. She holds a PhD in Mathematics from the University of Warsaw (Faculty of Mathematics, Informatics and Mechanics), where her doctoral research examined martingale representation theorems and equivalent martingale measures in incomplete market models driven by Lévy processes with correlated jump components. Her thesis addressed the non-uniqueness of pricing measures in such settings and derived conditions under which arbitrage-free price bounds admit a sharp characterisation.

Following her doctorate, Wiśniewska extended her work to models in which the market regime — the qualitative character of the diffusion and jump structure — switches according to an unobservable Markov chain. This class of models, which has direct applications to interest rate modelling and sovereign credit risk, requires a combination of filtering theory and stochastic control, and her work during this period developed efficient calibration procedures and analytical approximations for term structure quantities in the regime-switching setting.

At IADU, her research is directed at stochastic models for sovereign fixed income markets — yield curve dynamics under policy uncertainty, the term structure of sovereign credit spreads, and the pricing of instruments whose payoff depends on the future path of a central bank's policy rate. Her work provides the Institute with rigorous pricing frameworks for the fixed income problems that arise in its sovereign institutional mandates.