Maciej Augustyniak
- Professeur agrégé
-
Faculté des arts et des sciences - Département de mathématiques et de statistique
André-Aisenstadt, room 4143
Profile
Research expertise
I am a researcher in actuarial science and quantitative risk management with interests in computational statistics, econometrics and quantitative finance. My research aims to develop new models and methods for quantifying and managing long-term risks in actuarial and financial applications. I am particularly interested in hidden Markov models and statistical inference for regime-switching GARCH and stochastic volatility models. Moreover, I study risk management and hedging problems that arise in the context of equity-linked insurance (a.k.a. variable annuities).
Biography
I am an Associate Professor in the Department of Mathematics and Statistics at the Université de Montréal and a member of the Quantact research group, which is the Centre de recherches mathématiques (CRM) Laboratory of Actuarial and Financial Mathematics. I am also a Fellow of the Society of Actuaries (FSA) and a former Hickman Scholar.
Affiliations and responsabilities
Research affiliations
Teaching and supervision
Teaching
Courses taught (current session only)
- ACT-2241 – Produits dérivés et gestion de risque
- ACT-3230 – Finance mathématique
- ACT-6230 – Finance mathématique
Programs
- 119010 – Baccalauréat en mathématiques
- 119020 – Majeure en mathématiques
- 119110 – Baccalauréat en mathématiques et informatique
- 119110 – Baccalauréat en mathématiques et informatique
- 119310 – Baccalauréat en mathématiques et économie
- 119310 – Baccalauréat en mathématiques et économie
- 219010 – Actuariat
- 223910 – DESS en finance mathématique et computationnelle
- 223910 – DESS en finance mathématique et computationnelle
- 223911 – Maîtrise en finance mathématique et computationnelle
- 319010 – Doctorat en mathématiques
Student supervision
Theses and dissertation supervision (Papyrus Institutional Repository)
Modélisation des données financières par les modèles à chaîne de Markov cachée de haute dimension
Cycle : Doctoral
Grade : Ph. D.
Modèles de Markov à variables latentes : matrice de transition non-homogène et reformulation hiérarchique
Cycle : Master's
Grade : M. Sc.
Estimation des modèles à volatilité stochastique par l’entremise du modèle à chaîne de Markov cachée
Cycle : Master's
Grade : M. Sc.
Projects
Research projects
Improving hedging effectiveness in actuarial and financial applications
Centre de recherches mathématiques (CRM)
CENTRE DE RECHERCHES MATHEMATIQUES (CRM)
ECONOMETRICS, MODEL UNCERTAINTY AND RISK MANAGEMENT IN ACTUARIAL APPLICATIONS
Quantitative Trading in North American Power Markets
Modeling regime changes to improve portfolio diversification and performance
SOA Educational Institution Grant
Automated Transaction Classification Using Machine Learning Algorithm.
Automated Transaction Classification Using Machine Learning Algorithm.
Modeling and segmentation of the customer lifetime value in the banking industry
Outreach
Publications and presentations
Publications
- Augustyniak, M., Bauwens, L. et Dufays, A.,
A new approach to volatility modeling: the factorial hidden Markov volatility model, sous presse (2018) DOI: 10.1080/07350015.2017.1415910, Journal of Business & Economic Statistics - -Augustyniak, M. et Boudreault, M.,
Hedging variable annuities: How often should the hedging portfolio be rebalanced?, 71, 1-7 (2018) Society of Actuaries Risk & Rewards - -Augustyniak, M. et Dufays, A.,
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space, 170, 122-126 (2018) Economics Letters - -Augustyniak, M., Boudreault, M. et Morales, M.,
Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure, 20(1), 165-188 (2018) Methodology and Computing in Applied Probability - -MacKay, A., Augustyniak, M., Bernard, C. et Hardy, M.,
Risk management of policyholder behavior in equity linked life insurance, 84(2), 661-690 (2017) Journal of Risk and Insurance - -Augustyniak, M. et Boudreault, M.,
Mitigating interest rate risk in variable annuities: An analysis of hedging effectiveness under model risk, 21(4), 502-525 (2017) North American Actuarial Journal - -Augustyniak, M., Godin, F., Simard, C.,
Assessing the effectiveness of local and global quadratic hedging under GARCH models, 17(9), 1305-1318 (2017) Quantitative Finance - -Augustyniak, M. et Boudreault, M.,
On the importance of hedging dynamic lapses in variable annuities, 66, 12-16 (2015) Society of Actuaries Risk & Rewards - -Augustyniak, M.,
Maximum likelihood estimation of the Markov-switching GARCH model, 76, 61-75 (2014) Computational Statistics & Data Analysis - -Augustyniak, M. et Boudreault, M.,
An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s, 16(2), 183-206 (2012) North American Actuarial Journal - -Augustyniak, M. et Doray, L. G.,
Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates, 82(11), 1621-1634 (2012) Journal of Statistical Computation and Simulation
Disciplines
- Applied Mathematics
- Actuarial Science (Mathematical Sciences)
- Finance
- Statistics
Areas of expertise
- Experimental Finance and Economy
- Econometrics
- Actuarial Studies
- Risk Management
- Model Building
- Computer Science and Statistics
- Theoretical Statistics