Curriculum Vitae

Education and Professional Credentials

• 2021: Fellow of the Canadian Institute of Actuaries

• 2015: Fellow of the Society of Actuaries (Quantitative Finance and Investment track) 

• 2009 - 2013: PhD Statistics, Université de Montréal, Canada

• 2008: CFA Level I Exam

• 2006 - 2008: MSc Statistics, Université de Montréal, Canada

• 2003 - 2006: BSc Actuarial Mathematics, Concordia University, Canada

Working Experience

• June 2019 - Present: Associate Professor, Université de Montréal, Canada

• December 2013 - May 2019: Assistant Professor, Université de Montréal, Canada

• September 2008 - June 2009: Actuarial Analyst, AON Consulting, Montreal, Canada

• Summer 2005: Actuarial Intern, Towers Perrin, Montreal, Canada

• Summer 2004: Actuarial Intern, Meloche Monnex, Montreal, Canada

Publications & working papers

1. Ismael Assani, Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin & Lars Stentoft (2024). Quadratic hedging with basis risk under affine GARCH models, working paper.

2. Ismael Assani, Maciej Augustyniak & Frédéric Godin (2024). Optimal quadratic hedging in discrete-time under basis risk, working paper.

3. Maciej Augustyniak, Alexandru Badescu & Jean-François Bégin (2024). Affine GARCH option pricing models, stochastic interest rates, and diffusion limits, working paper.

4. Maciej Augustyniak, Arnaud Dufays & Abdoul Maoude (2024). A general framework for multifractal discrete stochastic volatility, working paper.

5. Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin & Sarath Kumar Jayaraman (2024). On the relation between discrete and continuous-time affine option pricing models, submitted.
   SSRN version

6. Anthony Forgetta, Frédéric Godin & Maciej Augustyniak (2023). Distributional forecasting of electricity DART spreads with a covariate-dependent mixture model, submitted.
   SSRN version

7. Wenchu Li, Thorsten Moenig & Maciej Augustyniak (2023). Improving fund mapping: an application to variable annuities, submitted.
   SSRN version

8. Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin & Sarath Kumar Jayaraman (2023). Long memory in option pricing: A fractional discrete-time approach, in revision.
   SSRN version

9. Zhiyu Guo, Maciej Augustyniak & Alexandru Badescu (2023). Efficient implementation of tree-based option pricing and hedging algorithms under GARCH models, The Journal of Derivatives, in press.
   published version

10. Maciej Augustyniak, Alexandru Badescu & Jean-François Bégin (2023). A discrete-time hedging framework with multiple factors and fat tails: On what matters, Journal of Econometrics, 232(2), 416-444.
    published version, SSRN version

11. Maciej Augustyniak, Alexandru Badescu & Mathieu Boudreault (2023). On the measurement of hedging effectiveness for long-term investment guarantees. Journal of Risk and Financial Management, 16(2), 112.
    published version (open access) 

12. Maciej Augustyniak, Alexandru Badescu & Zhiyu Guo (2021). Lattice-based hedging schemes under GARCH models, Quantitative Finance 21(5), 697-710
    published version, SSRN version

13. Maciej Augustyniak & Alexandru Badescu (2021). On the computation of hedging strategies in affine GARCH models, Journal of Futures Markets 41(5), 710-735
    published version, SSRN version

14. Maciej Augustyniak, Frédéric Godin & Emmanuel Hamel (2020). A mixed bond and equity fund model for the valuation of variable annuities, ASTIN Bulletin 51(1), 131-159
    published version, SSRN version

15. Maciej Augustyniak, Frédéric Godin & Clarence Simard (2019). A profitable modification to global quadratic hedging, Journal of Economic Dynamics and Control 104, 111-131
    published version, SSRN version

16. Maciej Augustyniak, Luc Bauwens & Arnaud Dufays (2019). A new approach to volatility modeling: the factorial hidden Markov volatility model, Journal of Business & Economic Statistics 37(4), 696-709
    published version, open access version (final version), proofs and supplementary appendix

17. Maciej Augustyniak & Arnaud Dufays (2018). Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space, Economics Letters 170, 122-126
    published version

18. Maciej Augustyniak, Mathieu Boudreault & Manuel Morales (2018). Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure, Methodology and Computing in Applied Probability 20(1), 165-188
    published version, published version (open access), SSRN version

19. Maciej Augustyniak & Mathieu Boudreault (2018). Hedging variable annuities: How often should the hedging portfolio be rebalanced?, Society of Actuaries—Risks & Rewards 71,  February 2018
    published version (open access), supplementary material detailing the derivation of Δt  

20. Maciej Augustyniak, Frédéric Godin & Clarence Simard (2017). Assessing the effectiveness of local and global quadratic hedging under GARCH models, Quantitative Finance 17(9), 1305-1318
    published version, SSRN version

21. Maciej Augustyniak & Mathieu Boudreault (2017). Mitigating interest rate risk in variable annuities: An analysis of hedging effectiveness under model risk, North American Actuarial Journal 21(4), 502-525
    published version, SSRN version

22. Anne MacKay, Maciej Augustyniak, Carole Bernard & Mary R. Hardy (2017). Risk management of policyholder behavior in equity-linked life insurance, Journal of Risk and Insurance 84(2),  661-690
    published version, SSRN version

23. Maciej Augustyniak & Mathieu Boudreault (2015). On the importance of hedging dynamic lapses in variable annuities, Society of Actuaries—Risks & Rewards 66, 12-16, August 2015
    published version (open access)

24. Maciej Augustyniak (2014). Maximum likelihood estimation of the Markov-switching GARCH model, Computational Statistics & Data Analysis 76, 61-75 (as part of The Annals of Computational and Financial Econometrics, 2nd issue)
    published version, SSRN version

25. Maciej Augustyniak & Mathieu Boudreault (2012). An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s, North American Actuarial Journal 16(2), 183-206
    published version, open access version, presentation

26. Maciej Augustyniak & Louis G. Doray (2012). Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates, Journal of Statistical Computation and Simulation 82(11), 1621-1634
    published version, open access version