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

C. Kenyon, M. Berrahoui, A. Macrina (2022) Transparency principle for carbon emissions drives sustainable finance. 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.

C. Kenyon, M. Berrahoui, A. Macrina (2021) Sustainability Manifesto for Financial Products: Carbon Equivalence Principle. MUFG Securities, Lloyds Banking Group, UCL 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.

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:

Filtrations and information models 

Stochastic interpolation 

Quantile processes

Captive processes

Probability and risk measure distortions

Climate mathematical 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

Emerging markets

Dynamic valuation adjustments

 

Electronic financial markets

UCL Mathematics               UCL Financial Mathematics MSc               My UCL web page