Current projects / working papers (arXiv & ssrn author pages)

A. Macrina & D. Skovmand (2020) Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. UCL & University of Copenhagen working paper.

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.

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

Mathematics of Data and Information
EPSRC Industrial CASE
Cross-Sectional and Temporal Dependence in Complex Data
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