
Department of Mathematics
University College London
African Institute of Financial Markets and Risk Management
University of Cape Town

Current projects / working papers (arXiv & ssrn author pages)
C. Kenyon, M. Berrahoui, A. Macrina (2022) Transparency principle for carbon emissions drives sustainable finance. MUFG Securities, Lloyds Banking Group, UCL working paper.
A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2021) 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.
H. Brannelly, A. Macrina, G. W. Peters (2021) Stochastic Measure Distortions for Risk Quantification and Valuation. UCL & UCSB working paper.
H. Brannelly, A. Macrina, G. W. Peters (2021) Quantile Diffusions for Risk Analysis. UCL & Heriot-Watt University working paper.
C. Kenyon, M. Berrahoui, A. Macrina (2021) Sustainability Manifesto for Financial Products: Carbon Equivalence Principle. MUFG Securities, Lloyds Banking Group, UCL working paper.
A. Macrina, O. Mahomed (2021) Term Risk in Interest Rate Markets. UCL & UCT working paper.
A. Macrina, L. A. Mengütürk, M. C. Mengütürk, M. C. (2021) Captive Jump Processes. UCL & Özyeğin University working paper.
White 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
Stochastic interpolation
Quantile processes
Captive processes
Probability and risk measure distortions
Climate mathematical finance
Climate risk modelling and insurance securitisation
LIBOR transition: alternative interest rate benchmarks
Term risk and multi-curve discounting systems
Inflation-linked pricing and hedging
Real-time risk management
Emerging markets
Dynamic valuation adjustments
Electronic financial markets