Professor Andrea Macrina

​

Peer-reviewed publications

​

A. Macrina, L. A. Mengütürk, M. C. Mengütürk (2024) Captive jump processes for bounded random systems with discontinuous dynamics. Communications in Nonlinear Science and Numerical Simulation 128, 107646. https://doi.org/10.1016/j.cnsns.2023.107646 

​

A. Macrina, O. Mahomed (2024) Systemic Perspective of Term Risk in Bank Funding Markets. Forthcoming in the International Journal of Theoretical and Applied Finance (open access). 

​

C. Kenyon, M. Berrahoui, A. Macrina (2024) The Carbon Equivalence Principle: Minimising the Cost to Carbon Net Zero. Risk, Cutting Edge: Climate Finance, Risk.net Feb. 2024. (Full version)

​

C. Kenyon, A. Macrina, M. Berrahoui (2023) CO2eVA: Pricing the Transition of Scope 3 Emissions. Risk, Cutting Edge: Climate Finance, Risk.net Oct. 2023. (Full version)

​

C. Kenyon, A. Macrina, M. Berrahoui (2023) The Carbon Equivalence Principle: Methods for Project Finance. Risk, Cutting Edge: Climate Finance, Risk.net May 2023. (Full version)

​

A. Backwell, A. Macrina, E. Schlögl, D. Skovmand (2023) Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach. Frontiers of Mathematical Finance 2(3), pp 340-384. DOI: 10.3934/fmf.2023009 (open access).

​

A. Macrina, J. Sekine (2021) Stochastic Modelling with Randomised Markov Bridges. Stochastics, 93(1), pp 29-55.

​

Y. Jiang, A. Macrina, G. W. Peters (2021) Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods. Stochastic Analysis and Applications 39(4), 569-609.

​

H. Dam, A. Macrina, D. Skovmand, D. Sloth (2020) Rational Models for Inflation-Linked Derivatives. SIAM Journal on Financial Mathematics, 11(4), pp. 974-1006.

​

E. Hoyle, A. Macrina, L. A. Mengütürk (2020) Modulated Information Flows in Financial Markets. International Journal of Theoretical and Applied Finance 23(4), pp. 2050026-2050061. 

​

A. Macrina & D. Skovmand (2020) Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. Risks, 8(1), 23.

​

A. Macrina, O. Mahomed (2018) Consistent Valuation Across Curves Using Pricing Kernels. Risks, 6(18), pp. 1-32.

​

L. Capriotti, Y. Jiang, A. Macrina (2017) AAD and Regression Monte Carlo: Fast Bermudan-Style Options and Valuation Adjustment Greeks. Algorithmic Finance 6(1-2), pp. 35-49.

​

Crisafi, M. A., Macrina, A. (2017) Inventory Management in Customised Liquidity Pools. Cogent Mathematics, 4: 1281594. 

​

Crépey, S., Macrina, A., Nguyen, T. M., Skovmand, D. (2016). Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments. Quantitative Finance, 16 (6), pp. 847-866. DOI:10.1080/14697688.2015.1095348

 

Crisafi, M. A., Macrina, A. (2016). Simultaneous Trading in 'Lit' and Dark Pools. International Journal of Theoretical and Applied Finance 19, 1650055.

 

Capriotti, L., Jiang, Y., Macrina, A. (2015). Real-Time Risk Management: An AAD-PDE Approach. International Journal of Financial Engineering, 2(4), pp. 1550039-1550070. DOI:10.1142/S2424786315500395

 

Hoyle, E., Hughston, L. P., Macrina, A. (2015). Stable-1/2 Bridges and Insurance. Advances in Mathematics of Finance, Banach Center Publications, 104, pp. 95-120. doi:10.4064/bc104-0-5

 

Macrina, A. (2014). Heat Kernel Models for Asset Pricing. International Journal of Theoretical and Applied Finance, 17 (7), pp. 1-34. doi:10.1142/S0219024914500484

 

Macrina, A., Parbhoo, P. A. (2014). Randomised Mixture Models for Pricing Kernels. Asia-Pacific Financial Markets, 21 (4), pp. 281-315. DOI:10.1007/s10690-014-9186-7

 

Horst, U., Kupper, M., Macrina, A., Mainberger, C. (2013). Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models. Annals of Finance, 9 (4), pp. 725-755. DOI:10.1007/s10436-012-0216-z

 

Filipović, D., Hughston, L. P., Macrina, A. (2012). Conditional Density Models for Asset Pricing. International Journal of Theoretical and Applied Finance, 15 (1), pp. 1-24. DOI:10.1142/S0219024912500021

 

Akahori, J., Macrina, A. (2012). Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes. International Journal of Theoretical and Applied Finance, 15 (1), pp. 1-15. DOI:10.1142/S0219024911006553

 

Hughston, L. P., Macrina, A. (2012). Pricing Fixed-Income Securities in an Information-Based Framework. Applied Mathematical Finance, 19 (4), pp. 361-379. DOI:10.1080/1350486X.2011.631757

 

Brody, D. C., Hughston, L. P., Macrina, A. (2011). Modelling Information Flows in Financial Markets. In Di Nunno, G., Øksendal, B. (Eds.), Advanced Mathematical Methods for Finance. (pp. 133-153). Springer Verlag.

​

Hoyle, E., Hughston, L. P., Macrina, A. (2011). Lévy Random Bridges and the Modelling of Financial Information. Stochastic Processes and their Applications, 121, pp. 858-884. DOI:10.1016/j.spa.2010.12.003

​

Brody, D. C., Hughston, L. P., Macrina, A. (2010). Credit Risk, Market Sentiment and Randomly-Timed Default. In Crisan, D. (Ed.), Stochastic Analysis in 2010. pp. 267-280. Springer Verlag.

​

Hughston, L. P., Macrina, A. (2010). Discrete-Time Interest-Rate Modelling. In Ruzhansky, W., Wirth, J. (Eds.), Progress in Analysis and its Applications: Proceedings of the 7th International ISAAC Congress, pp. 417-423. World Scientific Publishing Company.

 

Macrina, A., Parbhoo, P. A. (2010). Security Pricing with Information-Sensitive Discounting. In Kijima, M., Hara, C., Tanaka, K., Muromachi, Y. (Eds.), Recent Advances in Financial Engineering 2009, pp. 157-180. World Scientific Publishing Company.

 

Brody, D. C., Hughston, L. P., Macrina, A. (2008). Dam Rain and Cumulative Gain. Proceedings of the Royal Society of London A, 464 (2095), pp. 1801-1822. DOI:10.1098/rspa.2007.0273

 

Hughston, L. P., Macrina, A. (2008). Information, Inflation, and Interest. Advances in Mathematics of Finance, Banach Center Publications, 83, pp. 117-138. DOI:10.4064/bc83-0-8

 

Brody, D. C., Hughston, L. P., Macrina, A. (2008). Information-Based Asset Pricing. International Journal of Theoretical and Applied Finance, 11 (1), pp. 107-142. DOI:10.1142/S0219024908004749

 

Brody, D. C., Hughston, L. P., Macrina, A. (2007). Beyond Hazard Rates: a New Approach to Credit Risk Modelling. In Elliott, R., Fu, M., Jarrow, R., Yen, J.Y. (Eds.), Advances in Mathematical Finance: Festschrift Volume in Honour of Dilip Madan, pp. 231-257. Birkhäuser.

​