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

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