Prof. Andrea Macrina

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

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G. Kassis, A. Macrina (2023) Arcade Processes for Informed 

Martingale Interpolation and Transport. UCL working paper.

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C. Kenyon, A. Macrina, M. Berrahoui (2022) CO2eVA: Pricing the Transition of Carbon Externalities. MUFG Securities, Lloyds Banking Group, UCL working paper.

C. Kenyon, A. Macrina, M. Berrahoui (2022) The Carbon Equivalence Principle: Methods and Applications. MUFG Securities, Lloyds Banking Group, UCL working paper.

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C. Kenyon, M. Berrahoui, A. Macrina (2021) The Carbon Equivalence Principle. MUFG Securities, Lloyds Banking Group, UCL working paper.

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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.

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H. Brannelly, A. Macrina, G. W. Peters (2021) Stochastic Measure Distortions for Risk Quantification and Valuation. UCL & UCSB working paper.

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H. Brannelly, A. Macrina, G. W. Peters (2021) Quantile Diffusions for Risk Analysis. UCL & Heriot-Watt University working paper.

A. Macrina, O. Mahomed (2021) Term Risk in Interest Rate Markets. UCL & UCT working paper.

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A. Macrina, L. A. Mengütürk, M. C. Mengütürk, M. C. (2021) Captive Jump Processes. UCL & Özyeğin University working paper.

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White paper

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C. Á. Garcia Trillos, M. Henrard, A. Macrina (2016) Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework. 

UCL & OpenGamma.

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