Department of Mathematics, Faculty of Mathematical & Physical Sciences
University College London (UCL)
African Institute of Financial Markets and Risk Management (AIFMRM)
University of Cape Town (UCT)
Department of Mathematics & Statistics, Faculty of Science
and Telfer School of Management
University of Ottawa
Current projects / working papers (arXiv & ssrn author pages)
D. Feleppa, A. Macrina, I. Oliva (2026) Optimal Insurance for Index Risk. Sapienza University of Rome and University of Ottawa working paper.
C. Cormack, A. Macrina (2026) Sovereign Climate-Contingent Convertible Instrument for Energy Transition Finance in Emerging Markets. Quant Foundry & UCL discussion/working paper.
Berrahoui, M., Kenyon, C., Macrina, A., Nathanael, G. (2025)
Simple Climate Stress Testing: An Ensemble Framework. Lloyds Bank, MUFG, and UCL working paper.
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.
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, quantum information and computing, data analytics:
Filtrations and information models
Stochastic interpolation
Martingale transport
Quantile processes
Captive processes
Probability and risk measure distortions
Quantum circuit optimization
Mathematical climate finance
Climate risk modelling and insurance securitisation
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