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Augustyniak, Maciej

Augustyniak, Maciej

Professeur agrégé

I am a researcher in actuarial science and quantitative risk management. My research aims to develop new models and methods for quantifying and managing long-term risks in actuarial and financial applications. This research program requires a multidisciplinary expertise and I therefore have research interests in different areas.

  1. Econometrics and computational statistics: I propose methodological and modeling contributions in the class of hidden Markov models applied to financial time series.
    Keywords: hidden Markov modelsregime-switching modelsGARCH modelsstate space modelsfiltering techniquesparticle filtersKalman filterEM algorithm

  2. Quantitative finance: My objective is to study and develop techniques to more effectively manage long-term financial risks.
    Keywords: quadratic hedgingvariance-optimal hedgingmean-variance hedginglocal risk-minimization, dynamic programming

  3. Actuarial science: I aim to analyze and improve the effectiveness of hedging strategies used in the context of financial products sold with investment guarantees, known as segregated funds, variable annuities or equity-linked investments.
    Keywords: risk managementdynamic hedgingvariable annuitiesequity-linked life insurancesegregated fundsmodel risklapse riskstochastic volatilitystochastic interest rates

Moreover, I also want to establish research collaborations with the industry and professional actuarial associations. For example, I participated in collaborative research projects in partnership with AutoritÿFD des marchÿFDs financiers, National Bank of Canada, PwC Canada and the Society of Actuaries.

Dear students, you are welcome to contact me to undertake graduate studies under my supervision. I can supervise you for a master or doctoral research thesis. Alternatively, you can participate in one of my collaborative research projects with the industry.

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