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)
G. Kassis, A. Macrina (2023) Arcade Processes for Informed
Martingale Interpolation and Transport. UCL working paper.
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.
C. Kenyon, M. Berrahoui, A. Macrina (2021) The Carbon Equivalence Principle. MUFG Securities, Lloyds Banking Group, UCL 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.
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.
A. Macrina, O. Mahomed (2021) Term Risk in Interest Rate Markets. UCL & UCT working paper.
A. Macrina, L. A. Mengütürk, M. C. Mengütürk, M. C. (2021) Captive Jump Processes. UCL & Özyeğin University working 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
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
Dynamic valuation adjustments
Electronic financial markets