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

SCHOLARLY PAPERS

16

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2,789

SSRN CITATIONS
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SSRN RANKINGS

Top 33,032

in Total Papers Citations

6

CROSSREF CITATIONS

16

Scholarly Papers (16)

1.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
University College London, University College London and University College London
Downloads 678 (41,231)

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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
University College London, University College London and University College London
Downloads 571 (51,676)
Citation 12

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

3.

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
University College London - Department of Mathematics, muRisQ Advisory and University College London
Downloads 419 (75,830)
Citation 2

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

4.

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
Ecole Polytechnique Fédérale de Lausanne, University of London - Department of Mathematics and University College London
Downloads 408 (78,226)
Citation 2

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

5.

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

Number of pages: 28 Posted: 27 Jun 2019 Last Revised: 13 Oct 2019
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 178 (184,388)
Citation 1

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

6.

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 85 (322,346)
Citation 1

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

7.

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 82 (327,118)
Citation 3

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

8.

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 61 (384,486)
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

9.

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 59 (390,844)

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

10.

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

Number of pages: 25 Posted: 10 Jan 2012 Last Revised: 22 Oct 2012
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
Downloads 53 (410,994)

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

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 50 (421,643)
Citation 1

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

12.

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 39 (465,290)

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

13.

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

Number of pages: 37 Posted: 06 Mar 2019 Last Revised: 18 May 2020
Yupeng Jiang, Andrea Macrina and Gareth Peters
University College London, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 37 (474,041)

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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

14.

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 College, University of London and University College London
Downloads 36 (478,522)

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

15.

Quantile Diffusions

Number of pages: 35 Posted: 13 Jan 2020
Holly Brannelly, Andrea Macrina and Gareth Peters
University College London, University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 33 (492,568)

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Continuous-time diffusion processes, quantiles, rank transmutation map, Tukey g-h transforms, skew, kurtosis, SDE, weak/strong solutions

16.

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, University of 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