Andrea Macrina - Concepedia

Author

Andrea Macrina

University of Cape Town ORCID

Also Known As

ANDREA MACRINA, Andrea Macrina, Macrina, A, Macrina, Andrea, Mourad Berrahoui

102

Publications

566

Citations

H-Index

Concepts

All Affiliations

University of Cape Town University College London Imperial College London King's College London University of Copenhagen

About

Andrea Macrina is an author at University of Cape Town specializing in financial economics, finance, and business.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	6	6	257
2	Engineering	3	3	57
3	Economics	3	3	133
4	Management	1	1	17
5	Accounting	1	1	90

Andrea Macrina

Publications

392

Citations

H-Index

Page 1

	Year	Citations
INFORMATION-BASED ASSET PRICING Dorje C. Brody, Lane P. Hughston, Andrea Macrina International Journal of Theoretical and Applied Finance Information ProcessEconomicsComputational FinanceFinancial EconomicsAsset Pricing	2008	97
Lévy random bridges and the modelling of financial information Edward Hoyle, Lane P. Hughston, Andrea Macrina Stochastic Processes and their Applications Computational FinanceFinancial EconomicsAsset PricingAccountingBusiness	2010	90
Dam rain and cumulative gain Dorje C. Brody, Lane P. Hughston, Andrea Macrina Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences	2008	58
Rational multi-curve models with counterparty-risk valuation adjustments Stéphane Crépey, Andrea Macrina, Mai Nguyen, Quantitative Finance Rational Multi-curve ModelsEngineeringTerm Structure ModelModelling IngredientsFinancial Mathematics	2015	19
HEAT KERNEL MODELS FOR ASSET PRICING Andrea Macrina International Journal of Theoretical and Applied Finance Option PricingMultivariate Stochastic VolatilityFinancial EconomicsAsset PricingBlack-scholes Model	2014	19
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks Luca Capriotti, Yupeng Jiang, Andrea Macrina Algorithmic Finance Mathematical ProgrammingEngineeringMarkov Chain Monte CarloLeast-square Monte CarloAad Version	2017	19
Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach Alex Backwell, Andrea Macrina, Erik Schlögl, Frontiers of Mathematical Finance Term Structure ModelFinancial Risk ManagementRisk AnalysisCurrent Libor TransitionNew Benchmarks	2023	17
Consistent Valuation Across Curves Using Pricing Kernels Andrea Macrina, Obeid Mahomed Risks Mathematical ProgrammingComputational FinanceFinancial EconomicsAsset PricingPricing Kernel Framework	2018	15
Information, inflation, and interest Lane P. Hughston, Andrea Macrina Banach Center Publications	2008	13
Pricing Fixed-Income Securities in an Information-Based Framework Lane P. Hughston, Andrea Macrina Applied Mathematical Finance	2012	13

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