Maciej Augustyniak

University of Montreal - Department of Mathematics and Statistics

C.P. 6128, succursale Centre-ville

Montreal, Quebec H3C 3J7

Canada

http://dms.umontreal.ca/

  • University of Montreal - Department of Mathematics and Statistics

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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24

CROSSREF CITATIONS

3

Scholarly Papers (14)

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1.

Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness Under Model Risk

North American Actuarial Journal
Number of pages: 46 Posted: 26 Apr 2016 Last Revised: 31 Aug 2017
Maciej Augustyniak and Mathieu Boudreault
University of Montreal - Department of Mathematics and Statistics and University of Quebec at Montreal (UQAM)
Downloads 920 (47,589)
Citation 3

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segregated funds, equity-linked life insurance, stochastic interest rates, risk management, model uncertainty

2.

Risk Management of Policyholder Behavior in Equity Linked Life Insurance

Number of pages: 34 Posted: 08 Feb 2015
Anne MacKay, Maciej Augustyniak, Carole Bernard and Mary R. Hardy
University of Waterloo, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Downloads 315 (177,006)
Citation 5

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Variable annuities, pricing, GMMB, dynamic hedging, surrender behavior

3.

Improving Fund Mapping: an Application to Variable Annuities

Number of pages: 62 Posted: 02 Mar 2020 Last Revised: 26 Dec 2023
Wenchu Li, Thorsten Moenig and Maciej Augustyniak
St. John's University - Peter J. Tobin College of Business, Temple University, Department of Risk, Insurance & Healthcare Management and University of Montreal - Department of Mathematics and Statistics
Downloads 275 (203,919)
Citation 1

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Variable Annuities, Basis Risk, Fund Mapping Techniques, LASSO Regression, Hedging

4.

Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure

The final publication is available at Springer - Methodology and Computing in Applied Probability (DOI: 10.1007/s11009-016-9541-4)
Number of pages: 33 Posted: 11 Dec 2013 Last Revised: 03 Jan 2017
Maciej Augustyniak, Mathieu Boudreault and Manuel Morales
University of Montreal - Department of Mathematics and Statistics, University of Quebec at Montreal (UQAM) and University of Montreal
Downloads 263 (213,181)
Citation 6

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Markov-switching, regime-switching, GARCH, particle filtering, path dependence, collapsing

5.

Maximum Likelihood Estimation of the Markov-Switching GARCH Model

Computational Statistics & Data Analysis (DOI: 10.1016/j.csda.2013.01.026)
Number of pages: 32 Posted: 29 Dec 2016
Maciej Augustyniak
University of Montreal - Department of Mathematics and Statistics
Downloads 187 (294,293)

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Markov-switching, GARCH, EM algorithm, importance sampling

6.

A Mixed Bond and Equity Fund Model for the Valuation of Variable Annuities

Number of pages: 49 Posted: 12 Nov 2019 Last Revised: 02 Dec 2020
Maciej Augustyniak, Frédéric Godin and Emmanuel Hamel
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and Université Laval
Downloads 180 (304,411)
Citation 1

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mutual fund model, bond fund, yield curve, investment guarantee, variable annuities, basis risk

7.

On the computation of hedging strategies in affine GARCH models

Number of pages: 40 Posted: 05 Nov 2019 Last Revised: 22 Dec 2020
Maciej Augustyniak and Alexandru Badescu
University of Montreal - Department of Mathematics and Statistics and University of Calgary
Downloads 179 (305,913)
Citation 2

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affine GARCH models, mean-variance hedging, local risk-minimization, minimum variance hedge

8.

Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models

Number of pages: 34 Posted: 16 Jun 2016 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 152 (351,918)
Citation 4

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risk-minimization, quadratic hedging, variance-optimal hedging, mean-variance hedging, GARCH, model risk, LEAPS, dynamic programming

9.

A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

Number of pages: 46 Posted: 21 Jan 2021 Last Revised: 11 Aug 2021
Maciej Augustyniak, Alexandru Badescu and Jean-François Bégin
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Simon Fraser University
Downloads 146 (363,568)

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option hedging, risk-minimization, affine models, multi-component volatility, exponential-affine pricing kernels

10.

Lattice-Based Hedging Schemes Under GARCH Models

Number of pages: 27 Posted: 06 May 2020 Last Revised: 10 Feb 2021
Maciej Augustyniak, Alexandru Badescu and Zhiyu Guo
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Nankai University
Downloads 116 (433,798)

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Option Pricing and Hedging, Local Risk-Minimization, Non-Affine GARCH, Lattice Approximation, Mean-Tracking Tree

11.

A Profitable Modification to Global Quadratic Hedging

Journal of Economic Dynamics and Control, Vol. 104, 2019
Number of pages: 43 Posted: 22 Jun 2018 Last Revised: 26 Oct 2019
Maciej Augustyniak, Frédéric Godin and Clarence Simard
University of Montreal - Department of Mathematics and Statistics, Concordia University, Quebec - Department of Mathematics & Statistics and UQAM
Downloads 111 (448,285)
Citation 1

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Risk Management, Variance-Optimal Hedging, Mean-Variance Hedging, Global Risk-Minimization, LEAPS

12.

Long memory in option pricing: A fractional discrete-time approach

Number of pages: 51 Posted: 18 May 2022
Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin and Sarath Kumar Jayaraman
University of Montreal - Department of Mathematics and Statistics, University of Calgary, Simon Fraser University and University of Calgary - Department of Mathematics and Statistics
Downloads 98 (489,408)

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Fractional affine models, ARCH(∞) representations, Volatility components, Variance-dependent pricing kernels, Joint estimation

13.

A New Approach to Volatility Modeling: The High-Dimensional Markov Model

CRREP working serie 2016-09
Number of pages: 50 Posted: 30 Mar 2018 Last Revised: 25 Apr 2018
Maciej Augustyniak, Arnaud Dufays and Luc Bauwens
University of Montreal - Department of Mathematics and Statistics, EDHEC Business school and Université catholique de Louvain
Downloads 89 (520,494)

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Volatility, Markov-switching, Persistence, Leverage effect

14.

Distributional forecasting of electricity DART spreads with a covariate-dependent mixture model

Number of pages: 17 Posted: 17 Jan 2024
Anthony Forgetta, Frédéric Godin and Maciej Augustyniak
Concordia University, Concordia University, Quebec - Department of Mathematics & Statistics and University of Montreal - Department of Mathematics and Statistics
Downloads 84 (539,333)

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Electricity markets, Mixture models, Risk management, Distributional forecasts