King's College London
Financial Mathematics
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Dr Andrea Macrina

Department of Mathematics
King's College London
Strand, London WC2R 2LS
United Kingdom

Room 536
Tel: +44-(0)20-7848-2633
Fax: +44-(0)20-7848-2017
E-mail: andrea.macrina(AT)kcl.ac.uk

Member of the Financial Mathematics research group.


Dr Andrea Macrina is a Lecturer in Financial Mathematics in the Department of Mathematics.


Research

Information-based asset pricing

Credit risk and pricing of credit derivatives

Interest rate modelling

Models for inflation and of inflation-linked securities

Insurance reserving

Hybrid products

Price Formation

Resources and Emissions Limited Systems


Publications

Peer-reviewed articles

J. Akahori and A. Macrina (2012) Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes. To appear in: International Journal of Theoretical and Applied Finance. arXiv.org: 1012.1878 [Link]

L.P. Hughston and A. Macrina (2012) Pricing Fixed-Income Securities in an Information-Based Framework. To appear in: Applied Mathematical Finance. arXiv.org: 0911.1610 [Link]

D.C. Brody, L.P. Hughston, and A. Macrina (2011) Modelling Information Flows in Financial Markets. Advanced Mathematical Methods for Finance, G. Di Nunno and B. Oksendal, editors, Springer Verlag. arXiv.org: 1004.4822 [Link]

D.C. Brody, L.P. Hughston, and A. Macrina (2011) Credit Risk, Market Sentiment and Randomly-Timed Default. Stochastic Analysis 2010, D. Crisan, editor, Springer Verlag. arXiv.org: 1006.2909 [Link]

D. Filipovic, L.P. Hughston, and A. Macrina (2011) Conditional density models for asset pricing. To appear in: International Journal of Theoretical and Applied Finance. arXiv.org: 0911.1610 [Link]

E. Hoyle, L.P. Hughston, and A. Macrina (2011) Levy Random Bridges and the Modelling of Financial Information. Stochastic Processes and Their Applications 121, 856-884. arXiv.org: 0912.3652 [Link]

L.P. Hughston and A. Macrina (2010) Discrete-Time Interest-Rate Modelling. Proceedings of the 7th International ISAAC Congress (Ruzhansky, Wirth ed.), World Scientific Press. arXiv.org: 0911.0750 [Link]

A. Macrina and P.A. Parbhoo (2010) Security Pricing with Information-Sensitive Discounting. Recent Advances in Financial Engineering 2009, Proceedings of the KIER-TMU International Workshop on Financial Engineering 2009. World Scientific Publishing. arXiv.org: 1001.3570 [Link]

D.C. Brody, L.P. Hughston, and A. Macrina (2008) Information-Based Asset Pricing. International Journal of Theoretical and Applied Finance Vol. 11, 107-142. arXiv.org: 0704.1976v1 [Link]

D.C. Brody, L.P. Hughston, and A. Macrina (2008) Dam Rain and Cumulative Gain. Proceedings of the Royal Society London A, Vol. 464, No. 2095, 1801-1822. arXiv.org: 0710.2775v1 [Link]

L.P. Hughston and A. Macrina (2008) Information, Inflation, and Interest. Advances in Mathematics of Finance. Banach Center Publications, Vol. 83. Institute of Mathematics, Polish Academy of Science, Warsaw. arXiv.org: 0710.2876v1 [Link]

D.C. Brody, L.P. Hughston, and A. Macrina (2007) Beyond Hazard Rates: a New Framework for Credit-Risk Modelling. Advances in Mathematical Finance, Festschrift volume in honour of Dilip Madan, edited by R. Elliott, M. Fu, R. Jarrow & J. Y. Yen. Birkhauser and Springer. [Link]

Articles submitted for peer-review

U. Horst, M. Kupper, A. Macrina, and C. Mainberger (2012) Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models. arXiv.org: 1201.1840 [Link]

A. Macrina and P.A. Parbhoo (2011) Randomised Mixture Models for Pricing Kernels. arXiv.org: 1112.2059 [Link]

E. Hoyle, L.P. Hughston, and A. Macrina (2010) Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving. arXiv.org: 1005.0496 [Link]

Articles in preparation

A. Macrina and J. Sekine (2012) Filtering Models for Asset Pricing. King's College London, Osaka University.

Carbon Crucible report

Resources and Emissions Limited Systems (RELS)

PhD thesis

A. Macrina (2006) An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications. PhD thesis, King's College London. [Link]


MSc Courses in Financial Mathematics

Academic year 2011-2012: Exotic Derivatives [Link].

Academic year 2010-2011: Risk-Neutral Valuation, Exotic Derivatives.

Academic years 2005-2010: Risk-Neutral Valuation, Credit Risk Management.


PhD Students

P.A. Parbhoo, King's College London & University of the Witwatersrand

C. Mainberger, Humboldt University zu Berlin & King's College London (Co-supervision with M. Kupper)

A.E.V. Hoyle, PhD in Mathematics (2010) Information-Based Models for Finance and Insurance, Imperial College London. (Co-supervision with L.P. Hughston)


Academic Visits

Research visit (February 2012), African Institute for Mathematical Sciences, and Department of Actuarial Science, University of Cape Town, RSA.

Research visit (July/August 2011), Department of Statistics, University of Toronto, Toronto, Canada.

Research visit (May/June 2010), Fields Institute, Toronto, Canada.

Visiting Research Associate Professor (May 2009 - April 2010)
Institute of Economic Research, Kyoto University, Japan.

Research Visit (August/September 2008)
School of Computational and Applied Mathematics, The University of the Witwatersrand, Johannesburg, RSA.


Presentations

Uncertainty, randomised mixture models, and interest rates. Department of Actuarial Science, Faculty of Commerce, University of Cape Town, RSA (February 2012)

Asset pricing: utility theory and pricing kernel models. African Institute for Mathematical Sciences, Cape Town, RSA (February 2012)

Resources-limited systems. University of Cape Town, RSA (February 2012)

Interest rate models with stochastic mixtures. Department of Mathematics, Ritsumeikan University, Kusatsu, Japan (November 2011)

Climate Science. Ritsumeikan University, Kusatsu, Japan (November 2011)

Heat kernel interest rate models with time-inhomogeneous Markov processes. School of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, RSA (August 2011)

Equilibrium pricing in continuous time with base preferences and endowments. Fourth International Conference of Mathematics in Finance, Kruger National Park, RSA (August 2011)

Randomised mixture models for pricing kernels. Actuarial Science and Mathematical Finance Seminar, Fields Institute, Toronto, Canada (July 2011)

Levy random bridges and their applications to finance and insurance. Actuarial and Financial Mathematics Seminar, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK (March 2011)

Levy random bridges. The Fifth Bachelier Colloquium (keynote speaker), Metabief, France (January 2011)

Filtering Models for Asset Pricing. Financial and Insurance Mathematics Seminar, Department of Mathematics, ETH, Zurich, Switzerland (November 2010)

Credit Risk, Market Sentiment and Randomly-Timed Default. Bachelier Finance Society, 6th World Congress, Toronto, Canada (June 2010)

Heat Kernels for Information-Sensitive Pricing Kernels. Workshop on Financial Derivatives and Risk Management, Fields Institute, Toronto, Canada (May 2010)

Information-Based Asset Pricing: Cash Flows, Market Filtrations, and Pricing Kernels. Bank of Japan (March 2010)

Pricing Kernels Driven by Non-Stationary Markov Processes. International Workshop on Stochastic Processes and Applications to Mathematical Finance, Ritsumeikan University, Kusatsu, Japan (March 2010)

Market Sentiment and the Probability of Default. Department of Mathematics, Graduate School of Science, Hiroshima University, Japan (February 2010)

An Alternative to Stochastic Volatility Models. Graduate School of Engineering Science, Osaka University, Japan (February 2010)

Perceived Probability of Randomly-Timed Defaults. Graduate School of International Corporate Strategy, Hitotsubashi University, Tokyo, Japan (February 2010)

Information-Based Trading and Price Formation. Institute of Economic Research, Kyoto University, Kyoto, Japan (January 2010)

Conditional Density Modelling for Security Prices. Department of Mathematics, The University of Tokyo, Tokyo, Japan (November 2009)

Bond Pricing with Time-Inhomogeneous Markov Processes. Graduate School of International Corporate Strategy, Hitotsubashi University, Tokyo, Japan (November 2009)

Price Formation in Markets with Inhomogeneous Information.Graduate School of Management, Kyoto University, Kyoto, Japan (October 2009)

Heat Kernel Models for Information-Sensitive Interest Rates. Vienna Institute of Finance, Vienna, Austria (September 2009)

Information-Sensitive Pricing Kernels. KIER-TMU International Workshop on Financial Engineering 2009, Tokyo Metropolitan University (August 2009)

Pricing Kernels with Information. Department of Mathematics, Ritsumeikan University, Kusatsu, Japan (July 2009)

Price Formation in Markets with Continuous Information Flows. Workshop on Incomplete Information in Mathematical Finance, Chemnitz Technical University, Germany (June 2009)

Financial Mathematics and Carbon Emissions.Carbon Crucible 2008/2009, Oxford, UK (April 2009)

Inflation Derivatives: Modelling and Trading Challenges. World Business Strategies Workshop, London, UK (April 2009)

From Perception to Price: Dynamic Dependence Modelling in an Information-Based Framework. Mathematics in Finance Conference, Kruger Park, South Africa (September 2008)

From Filtrations Models to Price Dynamics. Research Seminars at the School of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, South Africa (August 2008)

Implied Density Models for Asset Pricing. Symposium on Infinite Dimensional SDEs in Finance, Fifth Bachelier Finance Society World Congress, London, UK (July 2008)

Dynamic Forward State Price Surfaces. Seminar on Mathematical Finance, Vienna Institute of Finance, Vienna, Austria (May 2008)

From Perception to Price. Graduate School Lecture, Tokyo Metropolitan University, Tokyo, Japan (March 2008)

Information Processes for the Pricing of Financial Assets and Insurance Products. Nomura Securities, Tokyo, Japan (March 2008)

Dam Rain and Cumulative Gain. Daiwa Young Researchers International Workshop on Finance, Kyoto University, Kyoto, Japan (March 2008)

Aspects and Applications of Information-Based Pricing. Bachelier Colloquium 2008, Metabief, France (January 2008)

Information, Inflation, and Interest. Actuarial and Financial Mathematics Seminar, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK (November 2007)

Information-Based Asset Pricing and X-Factor Theory. Credit Risk Summit Europe, London, United Kingdom (October 2007)

Information-Based Asset Pricing, with Applications to Equity, Credit, Interest Rate, and Inflation-Linked Products. Rand Merchant Bank, Johannesburg, South Africa (August 2007)

Pricing Models for Inflation-Linked Assets. School of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, South Africa (August 2007)

Monetary Models for Interest Rates and Inflation. Daiwa Lecture Series and International Workshop on Financial Engineering, Tokyo Metropolitan University, Tokyo, Japan (August 2007)

Continuous-Time Models for Inflation and the Pricing of Inflation-Linked Assets. Oberseminar Finanz- und Versicherungsmathematik, Department of Mathematics, Ludwig-Maximilian University, Munich, Germany (June 2007)

Inflation: The Economy's Biggest Risk Mathematical Finance Seminar, Oxford Centre for Industrial and Applied Mathematics, Oxford University, United Kingdom (June 2007)

The World of Credit Risk. Finance Seminar, Graduate School of Finance, Korea Advanced Institute for Science and Technology, Seoul, Korea (March 2007)

Information-Based Asset Pricing. Korea Advanced Institute for Science and Technology, Daejeon, Korea (March 2007)

Beyond Hazard Rates: a New Framework for Credit-Risk Modelling (with Stochastic Interest Rates). Quantitative Methods in Finance 2006, Sydney, Australia (December 2006)

Interest Rate and Foreign Exchange Modelling. Incisive Media Workshop, London and Singapore (December 2006)

Information Processes and their Applications to Equity and Credit Products. Finance Seminar, Stockholm School of Economics, Stockholm, Sweden (November 2006)

Inflation-Linked Securities in a Stochastic Monetary Economy. Risk Day 2006, RiskLab and Center of Competence Finance in Zurich, Zurich, Switzerland (October 2006)

Information-Based Asset Pricing: Applications to Equity, Credit, Interest Rate, and Inflation Products. Nomura, Tokyo, Japan (August 2006)

Beyond Hazard Rates: A New Framework for Credit-Risk Modelling. Fourth World Congress, Bachelier Finance Society, Tokyo, Japan (August 2006)

The Information-Based Approach to Asset Price Dynamics with Applications to Equity and Credit-Linked Structures. Banca IMI, San Paolo-IMI Group, Milano, Italy (June 2006)

Information-Based Asset Pricing. Financial and Insurance Mathematics Seminar, Department of Mathematics , ETH Zurich, Switzerland (June 2006)

Information-Based Credit Risk Modelling. Bloomberg, New York, USA (May 2006)

Information-Based Asset Pricing. 16th Annual Derivatives Securities and Risk Management Conference. Center for Financial Research, Federal Deposit Insurance Corporation, Arlington, Virginia, USA (April 2006)

Beyond Hazard Rates: A New Framework for Credit-Risk Modelling. First Conference of Advanced Mathematical Methods for Finance, Antalya, Turkey (April 2006)

Information-Based Asset Pricing and the Origin of Unhedgeable Stochastic Volatility in the Equity Markets. Actuarial and Financial Mathematics Seminar, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK (December 2005)

Beyond Hazard Rates: A New Framework for Credit-Risk Modelling. CEMFI (Centro de Estudios Monetarios y Financieros), Madrid, Spain (October 2005)

Information-Based Pricing of Dividend-Paying Assets. Financial Mathematics Seminar, School of Computational and Applied Mathematics, University of the Witwatersrand, Johannesburg, South Africa (August 2005)

European-Style Call Options on Credit-Risky Bonds: Information-Based Pricing and Hedging. Mathematics in Finance Conference, Kruger Park, South Africa (August 2005)


Professional Societies

Member of the London Mathematical Society

Member of the American Mathematical Society

Member of the Bachelier International Finance Society

Member of the Bernoulli Society for Mathematical Statistics and Probability


Education

PhD in Mathematics (2007)
An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications [PDF]
Department of Mathematics, King's College London, UK

MSc in Physics (2002)
Towards a Gauge Invariant Scattering Theory of Cylindrical Gravitational Waves [PDF]
Faculty of Natural Science, University of Bern, Switzerland


Languages

Italian, German, French, English


Links

London Mathematical Society

Bachelier International Finance Society

Institute of Economic Research, Kyoto University

ETH, D-Math, Financial and Insurance Mathematics

CEMFI

Financial Mathematics, University of the Witwatersrand

Institute for Theoretical Physics, University of Bern

Defaultrisk.com



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Department of Mathematics - King's College London