Dr Juozas 0.0pt Vaicenavičiusjuozas.vaicenavicius.com/files/CV-Juozas_Vaicenavicius.pdf · Dr...
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Dr Juozas Vaicenavičius Sensmetry, UAB J. Jasinskio 16A, Vilnius, Lithuania B [email protected] ˝ www.juozas.vaicenavicius.com Education 2012–2017 PhD in Mathematics (Mathematical Statistics), Uppsala University, Sweden { PhD thesis Optimal Sequential Decisions in Hidden-State Models . Opponent: Prof. Huyên Pham, Paris Diderot University (Paris 7). { Research in Bayesian Statistics, Stochastic Optimisation, and Financial Mathematics, including - sequential statistical learning (hypothesis testing, estimation, change-point detection), - trading strategies and valuation of derivatives, - statistical signal processing (non-linear filtering). { Published in leading journals within Stochastic Processes & Financial Mathematics. Selected postgraduate schools { Zürich Spring School on Lévy processes, ETH Zürich & University of Zürich, 2015. { European Summer School in Financial Mathematics, University of Oxford, 2014. { Princeton Summer School in Financial Mathematics, Princeton University, 2013. 2008–2012 Master of Mathematics (MMath, including BA studies), University of Oxford, UK { Thesis Approximation of a large-basket index with an application to the pricing of variance options. { Specialised in Stochastic Processes, Financial Mathematics, PDEs, and Functional Analysis. 2004–2008 High school diploma, Vilnius Lyceum, Lithuania { Among the top scorers in the country. Experience Coorporate 2019– present Co-founder & CTO, Sensmetry, UAB, Vilnius, Lithuania R&D within AI and autonomous systems with a focus on Autonomous Driving safety. 2019– present Expert, ISO 21448 ‘SOTIF’ development, ISO Developing the International Safety Standard ISO 21448 ’SOTIF’ for Autonomous Driving. 2017–2019 Machine Learning Researcher, Veoneer Inc., Linköping, Sweden Developing uncertainty-aware perception algorithms for Autonomous Driving. Summers 2009-2010 Intern, Product Development, Eurex Exchange, London { Designed and implemented a VSTOXX volatility index scenario analysis tool; used by corporate clients. { Developed a ‘cheapest to deliver’ analysis tool for the Italian Government Bond futures. Academic 2017–2019 Researcher in Machine Learning, Department of Information Technology, Uppsala University { Researching Probabilistic Deep Learning and its evaluation, Bayesian Methods, Probabilistic Modelling. { Industrial master’s thesis (SAAB) supervisor, deep learning instructor & reading group organiser. 2015–2017 Lecturer, Master’s programme in Financial Mathematics, Uppsala University Full responsibility (course materials, lectures, exams) for Measure Theory and Stochastic Integration. Excellent (5 out of 5) in teaching evaluation by students. 2013–2017 Class tutor, Bachelor’s programme in Engineering, Uppsala University Taught courses: Probability & Statistics, Linear Algebra II, Calculus I-II. Summer 2011 Research Intern, Mathematical Institute, University of Oxford Explored a new method for the pricing of volatility derivatives on a large-basket index. 1/2
Transcript of Dr Juozas 0.0pt Vaicenavičiusjuozas.vaicenavicius.com/files/CV-Juozas_Vaicenavicius.pdf · Dr...
Dr JuozasVaicenavičius
Sensmetry, UABJ. Jasinskio 16A, Vilnius, Lithuania
B [email protected]Í www.juozas.vaicenavicius.com
Education2012–2017 PhD in Mathematics (Mathematical Statistics), Uppsala University, Sweden
{ PhD thesis Optimal Sequential Decisions in Hidden-State Models.Opponent: Prof. Huyên Pham, Paris Diderot University (Paris 7).
{ Research in Bayesian Statistics, Stochastic Optimisation, and Financial Mathematics, including- sequential statistical learning (hypothesis testing, estimation, change-point detection),- trading strategies and valuation of derivatives,- statistical signal processing (non-linear filtering).
{ Published in leading journals within Stochastic Processes & Financial Mathematics.Selected postgraduate schools{ Zürich Spring School on Lévy processes, ETH Zürich & University of Zürich, 2015.{ European Summer School in Financial Mathematics, University of Oxford, 2014.{ Princeton Summer School in Financial Mathematics, Princeton University, 2013.
2008–2012 Master of Mathematics (MMath, including BA studies), University of Oxford, UK{ Thesis Approximation of a large-basket index with an application to the pricing of variance options.{ Specialised in Stochastic Processes, Financial Mathematics, PDEs, and Functional Analysis.
2004–2008 High school diploma, Vilnius Lyceum, Lithuania{ Among the top scorers in the country.
ExperienceCoorporate
2019–present
Co-founder & CTO, Sensmetry, UAB, Vilnius, LithuaniaR&D within AI and autonomous systems with a focus on Autonomous Driving safety.
2019–present
Expert, ISO 21448 ‘SOTIF’ development, ISODeveloping the International Safety Standard ISO 21448 ’SOTIF’ for Autonomous Driving.
2017–2019 Machine Learning Researcher, Veoneer Inc., Linköping, SwedenDeveloping uncertainty-aware perception algorithms for Autonomous Driving.
Summers2009-2010
Intern, Product Development, Eurex Exchange, London{ Designed and implemented a VSTOXX volatility index scenario analysis tool; used by corporate clients.{ Developed a ‘cheapest to deliver’ analysis tool for the Italian Government Bond futures.
Academic2017–2019 Researcher in Machine Learning, Department of Information Technology, Uppsala University
{ Researching Probabilistic Deep Learning and its evaluation, Bayesian Methods, Probabilistic Modelling.{ Industrial master’s thesis (SAAB) supervisor, deep learning instructor & reading group organiser.
2015–2017 Lecturer, Master’s programme in Financial Mathematics, Uppsala UniversityFull responsibility (course materials, lectures, exams) for Measure Theory and Stochastic Integration.Excellent (5 out of 5) in teaching evaluation by students.
2013–2017 Class tutor, Bachelor’s programme in Engineering, Uppsala UniversityTaught courses: Probability & Statistics, Linear Algebra II, Calculus I-II.
Summer2011
Research Intern, Mathematical Institute, University of OxfordExplored a new method for the pricing of volatility derivatives on a large-basket index.
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Computer skillsLanguages: Python (full working proficiency): general programming, deep learning (‘tensorflow’, ‘keras’), data
science (‘scikit-learn’, ‘numpy’, ‘pandas’), scripting, web scraping.R (full working proficiency): visualisations (‘ggplot2’, ‘animate’), statistics, simulations, numericalsolutions to SDEs, PDEs.Spark & PySpark (working proficiency), Mathematica (full working proficiency), Unix shell(working proficiency), C , Scala (limited working proficiency).
Other: Git, LaTeX (full working proficiency).
ResearchPapers{ Evaluation of model calibration in classification∗ (with D. Widmann, C. Andersson, F. Lindsten,
J. Roll, T. Schön). International Conference on Artificial Intelligence and Statistics (AISTATS), 2019.{ Bayesian sequential least-squares estimation for the drift of a Wiener process (with I. Karatzas,
E. Ekström). Stochastic Processes and Their Applications, 2019.{ Optimal stopping of a Brownian bridge with an unknown pinning point (with E. Ekström). Stochas-
tic Processes and Their Applications, 2019.{ Monotonicity and robustness in Wiener disorder detection (with E. Ekström). Sequential Analysis,
2019.{ Asset liquidation under drift uncertainty and regime-switching volatility. Applied Mathematics &
Optimization, 2018.{ Optimal liquidation of an asset under drift uncertainty (with E. Ekström). SIAM Journal on Financial
Mathematics, 2016.{ Bayesian sequential testing of the drift of a Brownian motion (with E. Ekström). ESAIM: Probability
and Statistics, 2015.{ The 3/2-model as a stochastic volatility approximation for a large-basket price-weighted index
(with B. Hambly). International Journal of Theoretical and Applied Finance, 2015.∗ First author. In all the other co-authored papers, equal contribution.
Selected Conference Talks{ IMS Annual Meeting on Probability and Statistics, 2018.{ World Congress of the Bachelier Finance Society, 2016.{ Stochastic Processes and Their Applications, 2015.{ Bachelier Colloquium on Math Finance and Stochastic Calculus, 2015, 2014.
Grants & AwardsAwards: Winner of the Upptech (2018) research project contest at Uppsala University.Grants: Liljewalch Travel Scholarship (2015, 2016), European Summer School in Financial Mathematics (2014,
2013), Linda Peetre memorial fund (2013), Knut and Alice Wallenberg foundation (2013), Eurex/DeutscheBoerse Scholarship (2009).
ScienceOlympiads:
Top places (2005-2008): 1st place in Lithuanian Mathematics Competition, Lithuanian Team MathematicalOlympiad, Lithuanian Physics Competition; among top 20 in Lithuanian Computing Olympiad.
Positions of Responsibility2017-2018 Organising Committee Member, IMS Annual Meeting on Probability and Statistics 2018
{ Collaboratively arranged a leading annual international conference in Probability and Statistics.2012–2017 Organiser (Chief 2012-2015), Meeting of Early-Career Mathematicians, Lithuania
{ Organised five conferences presenting the work of early-career mathematicians (≈80 participants).Earlier
positions:Held within 2009-2012. President (Oxford University Lithuanian Society), Publicity Secretary (OxfordUniversity Mathematical Society ‘The Invariant’), Treasurer (Oxford University Socrates Society).
Referees available upon request
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