Andrea Macrina

University College London

Gower Street

London, WC1E 6BT

United Kingdom

University of Cape Town (UCT)

Private Bag X3

Rondebosch, Western Cape 7701

South Africa

  • University College London

  • University of Cape Town (UCT)

SCHOLARLY PAPERS

23

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20

Scholarly Papers (23)

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1.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
Columbia University, University College London and University College London
Downloads 972 (41,369)
Citation 1

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Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives

2.

AAD and Least-Square Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

Number of pages: 27 Posted: 26 Sep 2016 Last Revised: 23 Aug 2017
Luca Capriotti, Yupeng Jiang and Andrea Macrina
Columbia University, University College London and University College London
Downloads 849 (49,878)
Citation 15

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Adjoint Algorithmic Differentiation (AAD), Monte Carlo, Bermudan-style options, valuation adjustments (XVA)

3.

Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach

Frontiers of Mathematical Finance
Number of pages: 66 Posted: 27 Jun 2019 Last Revised: 28 Mar 2023
Alex Backwell, Andrea Macrina, Erik Schlögl and David Skovmand
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 696 (65,097)
Citation 6

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Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration

4.

Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework

Number of pages: 21 Posted: 30 Oct 2015 Last Revised: 03 Feb 2016
Camilo A. Garcia Trillos, Marc P. A. Henrard and Andrea Macrina
University College London - Department of Mathematics, muRisQ Advisory and University College London
Downloads 506 (96,884)
Citation 2

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Initial margin, margin valuation adjustment (MVA), multi-curve interest rate models, risk management

5.

Conditional Density Models for Asset Pricing

Swiss Finance Institute Research Paper No. 10-44
Number of pages: 23 Posted: 06 Nov 2010 Last Revised: 09 Nov 2011
Damir Filipović, L. P. Hughston and Andrea Macrina
École Polytechnique Fédérale de Lausanne, King’s College London - Department of Mathematics and University College London
Downloads 431 (117,262)
Citation 2

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Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing

6.

The Carbon Equivalence Principle: Methods and Applications

Number of pages: 23 Posted: 16 Feb 2022 Last Revised: 31 Dec 2022
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 360 (143,796)

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Sustainability, carbon pricing, disclosure, climate change, financial products, stranded assets, recovery, Green, ESG, carbon net-zero, financial net-zero

7.

The carbon equivalence principle: minimizing the cost to carbon net zero

Number of pages: 25 Posted: 14 Dec 2021 Last Revised: 17 Jul 2023
Chris Kenyon, Mourad Berrahoui and Andrea Macrina
MUFG Securities EMEA plc, Lloyds Banking Group and University College London
Downloads 270 (194,673)
Citation 1

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Sustainability, carbon pricing, disclosure, climate change, financial products, Green, ESG

8.

CO2eVA: Pricing the transition of carbon externalities

Number of pages: 20 Posted: 24 Jun 2022 Last Revised: 15 May 2023
Chris Kenyon, Andrea Macrina and Mourad Berrahoui
MUFG Securities EMEA plc, University College London and Lloyds Banking Group
Downloads 251 (210,109)

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CO2, Valuation Adjustment, GHG, Greenhouse Gasses, Derivative Pricing, Carbon Pricing, Financial Products, Carbon Equivalence Principle, Airlines, Shipping, Portfolio

9.

Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks

Macrina, A.; Skovmand, D. Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. Risks 2020, 8, 23.
Number of pages: 18 Posted: 14 Feb 2020 Last Revised: 22 Apr 2020
Andrea Macrina and David Skovmand
University College London and University of Copenhagen
Downloads 246 (213,507)
Citation 4

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LIBOR, SOFR, SONIA, Rational Term Structure Models, Swaptions, Caplets, Futures.

10.

Quantile Diffusions for Risk Analysis

Number of pages: 34 Posted: 13 Jan 2020 Last Revised: 13 Sep 2021
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 177 (290,556)

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Diffusions, order statistics and empirical distributions, quantile functions, stochastic differential equations, Tukey transforms, probability measure distortions, dynamic tilting, Wang transform, risk.

11.

Rational Models for Inflation-Linked Derivatives

SIAM Journal on Financial Mathematics
Number of pages: 32 Posted: 05 Feb 2018 Last Revised: 15 Jul 2020
Henrik Dam, Andrea Macrina, David Skovmand and David Sloth
University of Copenhagen, University College London, University of Copenhagen and Danske Bank - Danske Markets
Downloads 148 (338,238)
Citation 2

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Inflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price index

12.

Systemic Perspective of Term Risk in Bank Funding Markets

Number of pages: 41 Posted: 14 Nov 2021 Last Revised: 17 Mar 2023
Andrea Macrina and Obeid Mahomed
University College London and University of Cape Town (UCT)
Downloads 116 (404,964)

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Term rates, inter-bank market, money market, interest rate derivatives, pricing kernel approach, liquidity risk, OIS and LIBOR, multi-curve term structures, SONIA and SOFR, LIBOR transition, benchmark reform.

13.

Heat Kernel Framework for Asset Pricing in Finite Time

Number of pages: 34 Posted: 22 Apr 2013 Last Revised: 26 Sep 2013
Andrea Macrina
University College London
Downloads 116 (404,964)
Citation 3

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Asset pricing, pricing kernel, Markov processes, Levy random bridges, equity, interest rates, debt, spread dynamics, contagion

14.

Consistent Valuation Across Curves Using Pricing Kernels

Number of pages: 56 Posted: 23 Jan 2018 Last Revised: 18 Feb 2018
Andrea Macrina and Obeid Mahomed
University College London and University of Cape Town (UCT)
Downloads 112 (418,224)
Citation 2

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Pricing Kernel Approach; Rational Pricing Models; Multi-Curve Term Structures; OIS and LIBOR; Spread Models; HJM; Multi-Curve Potential Model; Linear-Rational Term Structure Models; Inflation-Linked and Foreign-Exchanged Securities

15.

Stochastic Measure Distortions Induced by Quantile Processes for Risk Quantification and Valuation

Number of pages: 32 Posted: 14 Dec 2021 Last Revised: 15 Dec 2021
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 103 (441,234)

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Quantile processes, stochastic ordering, distortion of probability measures, distortion-based pricing, stochastic valuation principle and premium calculation, dynamic risk-loading, Tukey gh-transform, Radon-Nikodym derivative, skewness, kurtosis, and further higher moments.

16.

Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods

Number of pages: 39 Posted: 06 Mar 2019 Last Revised: 16 Oct 2020
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and University of California Santa Barbara
Downloads 92 (475,565)

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Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency

17.

Inventory Management in Customised Liquidity Pools

Number of pages: 30 Posted: 01 Feb 2016 Last Revised: 11 Jan 2017
M. Alessandra Crisafi and Andrea Macrina
University College London and University College London
Downloads 87 (492,287)

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Market making, inventory risk, impulse-control problem, quasi variational inequality, viscosity solutions.

18.

Lost in the Libor Transition

Number of pages: 18 Posted: 13 Oct 2023
Alex Backwell, Andrea Macrina, Erik Schlögl and David Skovmand
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 78 (525,611)

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LIBOR benchmark reform, term rates, term risk and term premium, roll-over risk, term-based information differential, overnight interest rate benchmarks, SOFR, SONIA, OIS, interest rate swaps, basis risk.

19.

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Number of pages: 25 Posted: 10 Jan 2012 Last Revised: 22 Oct 2012
Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
Downloads 72 (550,069)

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Continuous-time equilibrium, exponential utility, CAPM, affine processes, information-based asset pricing, implied volatility

20.

Modulated Information Flows in Financial Markets

Number of pages: 27 Posted: 25 Aug 2017 Last Revised: 14 May 2020
Edward Hoyle, Andrea Macrina and Levent Mengütürk
Man AHL, University College London and University College London
Downloads 71 (554,229)

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Filtration models, jump-diffusion dynamics, point processes, stochastic volatility, information-based modelling, asymmetric information.

21.

Stable-½ Bridges and Insurance

To appear in: Advances in Mathematics of Finance (A. Palczewski and L. Stettner, editors.), Banach Center Publications, Polish Academy of Science, Institute of Mathematics.
Number of pages: 27 Posted: 11 Apr 2014
Edward Hoyle, Lane Hughston and Andrea Macrina
Man AHL, Goldsmiths University of London and University College London
Downloads 56 (624,908)

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non-life reserving, claims development, reinsurance, best estimate of ultimate loss, information-based asset pricing, Levy processes, stable processes

22.

The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios

Number of pages: 22 Posted: 02 Oct 2023
Florian Krach, Andrea Macrina, Ashley Kanter, Eba Hampwaye, Siphokazi Hlalukana and Nchakha Ratelee
ETH Zurich, University College London, Riskworx, University of Cape Town (UCT), University of Cape Town (UCT) and University of Cape Town (UCT)
Downloads 52 (646,662)

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Generation of electricity, power utility, fossil fuels, carbon emissions, climate change, emission reduction policies, carbon price scenarios, asset & liability, default probability, Eskom

23.

Information-Based Asset Pricing

International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 107-142, 2008
Posted: 01 Dec 2009
Dorje C. Brody, L. P. Hughston and Andrea Macrina
Brunel University London - School of Information Systems, Computing and Mathematics, King’s College London - Department of Mathematics and University College London

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Asset pricing, partial information, stochastic volatility, correlation, dividend growth, Brownian bridge, nonlinear filtering, market microstructure