H. Brannelly, A. Macrina, G. W. Peters (2019) Quantile Diffusions.
UCL & Heriot-Watt University working paper.
A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2019) Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach. University of Cape Town, UCL, University of Technology Sydney & University of Copenhagen working paper.
Y. Jiang, A. Macrina, G. W. Peters (2019) Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods. UCL & Heriot-Watt University working paper.
H. Dam, A. Macrina, D. Skovmand, D. Sloth (2018) Rational Models for Inflation-Linked Derivatives. University of Copenhagen, UCL & Danske Bank working paper.
E. Hoyle, A. Macrina, L. A. Mengütürk (2018) Modulated Information Flows on Random Point Fields. AHL Partners LLP, Man Group plc & UCL working paper.
C. Á. Garcia Trillos, M. Henrard, A. Macrina (2016) Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework.
UCL & OpenGamma.
Main research areas
Applied probability and stochastic modelling, Financial and Insurance Mathematics, data analytics:
Filtrations and information models
Randomised Markov bridges
LIBOR transition: alternative interest rate benchmarks
Term risk and multi-curve discounting systems
Inflation-linked pricing and hedging
Climate risk modelling and insurance securitisation
Real-time risk management
Dynamic initial margining and valuation adjustments
Electronic financial markets