Marie-Claude Vachon

Quantitative finance and risk management professional with over a decade of experience in consulting, audit support, and mathematical modeling. Skilled in researching complex issues and synthesizing information. Experienced in clear and effective communication of complex concepts to diverse audiences. Author and co-author of several academic papers. Technical proficiency includes advanced skills in Matlab, R, Excel (including VBA), FINCAD, Python, Bloomberg, and LaTeX. Currently working towards CERA designation.

• Perseverance – Doctoral Scholarship (9,000$)

Programme de bourses de la Faculté des sciences - Université du Québec à Montréal 

• Doctoral Scholarship (27,500$ over 5 years)

Université du Québec à Montréal

• Re-entering the Research Community - Doctoral Scholarship (77,000$ over 4 years)

Fonds de recherche du Québec, Nature et technologies

• Master Scholarship (30,000$ over 2 years)

Institut de Finance Mathématique de Montréal

• Vachon, M-C., Mackay, A. (2024). A Unifying Numerical Approach for the Pricing of Debt Securities (submitted).
• Mackay, A., Vachon, M. C. (2023). On an Optimal Stopping Problem with a Discontinuous Reward, arXiv preprint arXiv:2311.03538 (submitted).
• Mackay, A., Vachon, M. C., Cui, Z. (2023). Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation, Quantitative Finance, 23 (7-8), 1055-1078.
• Adès, M., Dufour, M., Provost, S. B., Vachon, M. C., Zang, Y. (2022). A Class of Copulas Associated with Brownian Motion Processes and Their Maxima, Journal of Applied Mathematics and Computation, 6(1), 96 - 120,

• Approximation par chaîne de Markov à temps continu avec applications à l'ingénierie financière, Graduate Student Conference of the Institut des Sciences Mathématiques, Université de Sherbrooke, Sherbrooke, June 2023
• Optimal stopping with discontinuous, unbounded, and time-dependent reward and applications to variable annuities, 2023 Annual Meeting of the Statistical Society of Canada, Carlton University, Ottawa, May 2023
• Problèmes de temps d'arrêt optimal avec applications aux fonds distincts, Séminaires de statistique, Université de Sherbrooke, Sherbrooke, November 2022
• Option Pricing via Continuous-Time Markov Chain Approximation, Séminaire d'été d'actuariat et de statistique de l'UQAM, Université du Québec à Montréal, June 2021 (virtual)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation, 2021 Annual Meeting of the Statistical Society of Canada, June 2021 (virtual)