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)
H. Brannelly, A. Macrina, G. W. Peters (2021) Quantile Diffusions.
UCL & Heriot-Watt University 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.
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:
Quantile processes
Filtrations and information models
Stochastic interpolation
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
Emerging markets
Dynamic initial margining and valuation adjustments
Electronic financial markets