Department of Mathematics
University College London (UCL)
African Institute of Financial Markets and Risk Management (AIFMRM)
University of Cape Town
Current projects / working papers (arXiv & ssrn author pages)
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A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2023) Lost in the Libor Transition. UCT, UCL, UTS & University of Copenhagen working paper.
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F. Krach, A. Macrina, A. Kanter, E. Hampwaye, S. Hlalukana, N. T. Rateele (2023) The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios. ETH, UCL, Riskworx & UCT working paper.
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G. Kassis, A. Macrina (2023) Arcade Processes for Informed
Martingale Interpolation and Transport. UCL working paper.
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H. Brannelly, A. Macrina, G. W. Peters (2021) Stochastic Measure Distortions for Risk Quantification and Valuation. UCL & UCSB working paper.
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H. Brannelly, A. Macrina, G. W. Peters (2021) Quantile Diffusions for Risk Analysis. UCL & Heriot-Watt University working paper.
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White paper
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C. Á. Garcia Trillos, M. Henrard, A. Macrina (2016) Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework.
UCL & OpenGamma.
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Main research areas and interests
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Applied probability and stochastic modelling, financial and insurance mathematics, data analytics:
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Filtrations and information models
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Stochastic interpolation
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Martingale transport
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Quantile processes
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Captive processes
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Probability and risk measure distortions
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Mathematical climate finance
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Climate risk modelling and insurance securitisation
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LIBOR transition: alternative interest rate benchmarks
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Term risk and multi-curve discounting systems
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Inflation-linked pricing and hedging
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Real-time risk management
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Emerging markets
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Dynamic valuation adjustments
Electronic financial markets​