Department of Mathematics
University College London (UCL)
African Institute of Financial Markets and Risk Management (AIFMRM)
University of Cape Town
Current projects / working papers (arXiv & ssrn author pages)
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, data analytics:
Filtrations and information models
Stochastic interpolation
Martingale transport
Quantile processes
Captive processes
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
Emerging markets
Dynamic valuation adjustments
Electronic financial markets