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)
C. Cormack, A. Macrina (2024) Sovereign Climate-Contingent Convertible Bond (S-CloCo) Quant Foundry & UCL working paper.
C. Cormack, A. Macrina (2024) Climate Transition Mitigation: Introducing the CLoCo Bond. Quant Foundry & UCL working paper.
G. Kassis, A. Macrina (2024) Information-Based Martingale Optimal Transport. UCL working paper.
G. Kassis, A. Macrina (2023) Arcade Processes for Informed
Martingale Interpolation. UCL working paper.
A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2023) Lost in the Libor Transition. UCT, UCL, UTS & 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.
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 and interests
Applied probability and stochastic modelling, financial and insurance mathematics, data analytics:
Filtrations and information models
Stochastic interpolation
Martingale transport
Quantile processes
Captive processes
Probability and risk measure distortions
Mathematical climate 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