Andrea Macrina

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All published works

Action	Title	Year	Authors
+ PDF Chat	Information-Based Martingale Optimal Transport	2024	Georges Kassis Andrea Macrina
+	Captive jump processes for bounded random systems with discontinuous dynamics	2023	Andrea Macrina Levent Ali Mengütürk Murat Cahit Mengütürk
+	Arcade Processes for Informed Martingale Interpolation and Transport	2023	Georges Kassis Andrea Macrina
+ PDF Chat	Lévy random bridges and the modelling of financial information	2022	Edward Hoylea Lane P. Hughston Andrea Macrina
+ PDF Chat	HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2022	Jirô Akahori Andrea Macrina
+ PDF Chat	Credit Risk, Market Sentiment and Randomly-Timed Default	2022	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	Modelling Information Flows in Financial Markets	2022	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	Randomised Mixture Models for Pricing Kernels	2022	Andrea Macrina Priyanka A. Parbhoo
+ PDF Chat	MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS	2022	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+ PDF Chat	INFORMATION-BASED ASSET PRICING	2022	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	Dam rain and cumulative gain	2022	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	Transparency principle for carbon emissions drives sustainable finance	2022	Chris Kenyon Andrea Macrina Mourad Berrahoui
+	Stochastic measure distortions induced by quantile processes for risk quantification and valuation	2022	Holly Brannelly Andrea Macrina Gareth W. Peters
+	Transparency principle for carbon emissions drives sustainable finance	2022	Chris Kenyon Mourad Berrahoui Andrea Macrina
+ PDF Chat	Sustainability Manifesto for Financial Products: Carbon Equivalence Principle	2021	Chris Kenyon Mourad Berrahoui Andrea Macrina
+	Captive Jump Processes	2021	Andrea Macrina Levent Ali Mengütürk Murat Cahit Mengütürk
+ PDF Chat	Sustainability Manifesto for Financial Products: Carbon Equivalence Principle	2021	Chris Kenyon Mourad Berrahoui Andrea Macrina
+ PDF Chat	Stochastic measure distortions induced by quantile processes for risk quantification and valuation	2021	Holly Brannelly Andrea Macrina Gareth W. Peters
+	Sustainability Manifesto for Financial Products: Carbon Equivalence Principle	2021	Chris Kenyon Mourad Berrahoui Andrea Macrina
+	Captive Jump Processes	2021	Andrea Macrina Levent Ali Mengütürk Murat Cahit Mengütürk
+ PDF Chat	Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods	2020	Yupeng Jiang Andrea Macrina Gareth W. Peters
+ PDF Chat	MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS	2020	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+ PDF Chat	Rational Models for Inflation-Linked Derivatives	2020	Henrik Dam Andrea Macrina David Skovmand David Sloth
+	Quantile Diffusions	2019	Holly Brannelly Andrea Macrina Gareth W. Peters
+ PDF Chat	Stochastic modelling with randomized Markov bridges	2019	Andrea Macrina Jun Sekine
+	Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods	2019	Yupeng Jiang Andrea Macrina Gareth W. Peters
+ PDF Chat	Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in Consecutive Periods	2019	Yupeng Jiang Andrea Macrina Gareth W. Peters
+	Quantile Diffusions for Risk Analysis	2019	Holly Brannelly Andrea Macrina Gareth W. Peters
+	Quantile Diffusions	2019	Holly Brannelly Andrea Macrina Gareth W. Peters
+ PDF Chat	Consistent Valuation Across Curves Using Pricing Kernels	2018	Andrea Macrina Obeid Mahomed
+	Rational Models for Inflation-Linked Derivatives	2018	Henrik Dam Andrea Macrina David Skovmand David Sloth
+	Consistent Valuation Across Curves Using Pricing Kernels	2018	Andrea Macrina Obeid Mahomed
+	Rational Models for Inflation-Linked Derivatives	2018	Henrik Dam Andrea Macrina David Skovmand David Sloth
+ PDF Chat	Rational Models for Inflation-Linked Derivatives	2018	Henrik Dam Andrea Macrina David Skovmand David Sloth
+ PDF Chat	Consistent Valuation Across Curves Using Pricing Kernels	2018	Andrea Macrina Obeid Mahomed
+	Consistent Valuation Across Curves Using Pricing Kernels	2018	Andrea Macrina Obeid Mahomed
+	Markov-Modulated Information Flows	2017	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+	Modulated Information Flows in Financial Markets	2017	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+	Modulated Information Flows on Random Point Fields	2017	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+	Modulated Information Flows in Financial Markets	2017	Edward Hoyle Andrea Macrina Levent Ali Mengütürk
+ PDF Chat	SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS	2016	M. Alessandra Crisafi Andrea Macrina
+	An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications	2016	Andrea Macrina
+ PDF Chat	Rational multi-curve models with counterparty-risk valuation adjustments	2015	Stéphane Crépey Andrea Macrina Mai Nguyen David Skovmand
+	Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments	2015	Stéphane Crépey Andrea Macrina Mai Nguyen David Skovmand
+	Dark-Pool Perspective of Optimal Market Making	2015	M. Alessandra Crisafi Andrea Macrina
+ PDF Chat	Stable-1/2 bridges and insurance	2015	Edward Hoyle Lane P. Hughston Andrea Macrina
+	Dark-Pool Perspective of Optimal Market Making	2015	M. Alessandra Crisafi Andrea Macrina
+	Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments	2015	Stéphane Crépey Andrea Macrina Tuyet A. Nguyen David Skovmand
+	Filtering with Randomised Markov Bridges	2014	Andrea Macrina Jun Sekine
+ PDF Chat	Randomised Mixture Models for Pricing Kernels	2014	Andrea Macrina Priyanka A. Parbhoo
+	Optimal Execution in Lit and Dark Pools	2014	M. Alessandra Crisafi Andrea Macrina
+	Simultaneous Trading in 'Lit' and Dark Pools	2014	M. Alessandra Crisafi Andrea Macrina
+	Simultaneous Trading in 'Lit' and Dark Pools	2014	M. Alessandra Crisafi Andrea Macrina
+ PDF Chat	Heat Kernel Framework for Asset Pricing in Finite Time	2013	Andrea Macrina
+ PDF Chat	Continuous equilibrium in affine and information-based capital asset pricing models	2012	Ulrich Horst Michael Kupper Andrea Macrina Christoph Mainberger
+	Heat Kernel Framework for Asset Pricing in Finite Time	2012	Andrea Macrina
+ PDF Chat	HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2012	Jirô Akahori Andrea Macrina
+ PDF Chat	INFORMATION-BASED ASSET PRICING	2012	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	CONDITIONAL DENSITY MODELS FOR ASSET PRICING	2012	Damir Filipović Lane P. Hughston Andrea Macrina
+ PDF Chat	Pricing Fixed-Income Securities in an Information-Based Framework	2012	Lane P. Hughston Andrea Macrina
+ PDF Chat	CONDITIONAL DENSITY MODELS FOR ASSET PRICING	2012	Damir Filipović Lane P. Hughston Andrea Macrina
+	Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models	2012	Ulrich Horst Michael Kupper Andrea Macrina Christoph Mainberger
+ PDF Chat	Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models	2012	Ulrich Horst Michael Kupper Andrea Macrina Christoph Mainberger
+	Heat Kernel Framework for Asset Pricing in Finite Time	2012	Andrea Macrina
+	Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models	2012	Ulrich Horst Michael Kupper Andrea Macrina Christoph Mainberger
+	Randomised Mixture Models for Pricing Kernels	2011	Andrea Macrina Priyanka A. Parbhoo
+ PDF Chat	HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2011	Jirô Akahori Andrea Macrina
+	Modelling Information Flows in Financial Markets	2011	Dorje C. Brody Lane P. Hughston Andrea Macrina
+	Randomised Mixture Models for Pricing Kernels	2011	Andrea Macrina Priyanka A. Parbhoo
+ PDF Chat	Lévy random bridges and the modelling of financial information	2010	Edward Hoyle Lane P. Hughston Andrea Macrina
+	Credit Risk, Market Sentiment and Randomly-Timed Default	2010	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	Discrete-time interest rate modelling	2010	Lane P. Hughston Andrea Macrina
+ PDF Chat	Security Pricing with Information-Sensitive Discounting	2010	Andrea Macrina Priyanka A. Parbhoo
+	Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving	2010	Edward Hoyle Lane P. Hughston Andrea Macrina
+	Security Pricing with Information-Sensitive Discounting	2010	Andrea Macrina Priyanka A. Parbhoo
+ PDF Chat	Conditional Density Models for Asset Pricing	2010	Damir Filipović Lane P. Hughston Andrea Macrina
+	Conditional Density Models for Asset Pricing	2010	Damir Filipović Lane P. Hughston Andrea Macrina
+	Stable-1/2 Bridges and Insurance	2010	Edward Hoyle Lane P. Hughston Andrea Macrina
+	Security Pricing with Information-Sensitive Discounting	2010	Andrea Macrina Priyanka A. Parbhoo
+	Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes	2010	Jirô Akahori Andrea Macrina
+	Discrete-Time Interest Rate Modelling	2009	Lane P. Hughston Andrea Macrina
+	Discrete-Time Interest Rate Modelling	2009	Lane P. Hughston Andrea Macrina
+	Pricing Fixed-Income Securities in an Information-Based Framework	2009	Lane P. Hughston Andrea Macrina
+	Levy Random Bridges and the Modelling of Financial Information	2009	Edward Hoyle Lane P. Hughston Andrea Macrina
+ PDF Chat	Dam rain and cumulative gain	2008	Dorje C. Brody Lane P. Hughston Andrea Macrina
+ PDF Chat	INFORMATION-BASED ASSET PRICING	2008	Dorje C. Brody Lane P. Hughston Andrea Macrina
+	Information, inflation, and interest	2008	Lane P. Hughston Andrea Macrina
+	An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications	2008	Andrea Macrina
+	Information, Inflation, and Interest	2007	Lane P. Hughston Andrea Macrina
+	Information, Inflation, and Interest	2007	Lane P. Hughston Andrea Macrina
+	Information-Based Asset Pricing	2007	Dorje C. Brody Lane P. Hughston Andrea Macrina

Common Coauthors

Coauthor	Papers Together
Lane P. Hughston	28
Edward Hoyle	11
Dorje C. Brody	10
Levent Ali Mengütürk	9
Gareth W. Peters	8
Priyanka A. Parbhoo	7
David Skovmand	7
M. Alessandra Crisafi	6
Holly Brannelly	5
Mourad Berrahoui	5
Chris Kenyon	5
Christoph Mainberger	4
Michael Kupper	4
Henrik Dam	4
Ulrich Horst	4
David Sloth	4
Obeid Mahomed	4
Jirô Akahori	4
Damir Filipović	4
Yupeng Jiang	3
Murat Cahit Mengütürk	3
Stéphane Crépey	3
Georges Kassis	2
Jun Sekine	2
Mai Nguyen	2
Edward Hoylea	1
Tuyet A. Nguyen	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	INFORMATION-BASED ASSET PRICING	2008	Dorje C. Brody Lane P. Hughston Andrea Macrina	22
+ PDF Chat	Lévy random bridges and the modelling of financial information	2010	Edward Hoyle Lane P. Hughston Andrea Macrina	17
+ PDF Chat	Dam rain and cumulative gain	2008	Dorje C. Brody Lane P. Hughston Andrea Macrina	14
+	An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications	2008	Andrea Macrina	11
+ PDF Chat	A heat kernel approach to interest rate models	2014	Jirô Akahori Yuji Hishida Josef Teichmann Takahiro Tsuchiya	8
+	Information, inflation, and interest	2008	Lane P. Hughston Andrea Macrina	7
+	A chaotic approach to interest rate modelling	2004	Lane P. Hughston Avraam Rafailidis	7
+ PDF Chat	Rational multi-curve models with counterparty-risk valuation adjustments	2015	Stéphane Crépey Andrea Macrina Mai Nguyen David Skovmand	6
+ PDF Chat	Informed traders	2008	Dorje C. Brody Mark H. Davis Robyn L. Friedman Lane P. Hughston	6
+ PDF Chat	HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2011	Jirô Akahori Andrea Macrina	6
+ PDF Chat	Markovian term structure models in discrete time	2002	Damir Filipović Jerzy Zabczyk	5
+	Statistics of Random Processes	2021	Michael F. Insana	5
+	Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving	2010	Edward Hoyle Lane P. Hughston Andrea Macrina	5
+ PDF Chat	Parsimonious HJM modelling for multiple yield curve dynamics	2013	Nicola Moreni Andrea Pallavicini	4
+ PDF Chat	Pricing Fixed-Income Securities in an Information-Based Framework	2012	Lane P. Hughston Andrea Macrina	4
+ PDF Chat	Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration	2015	Zorana Grbac Antonis Papapantoleon John Schoenmakers David Skovmand	4
+	Markovian Bridges: Construction, Palm Interpretation, and Splicing	1993	Pat Fitzsimmons Jim Pitman Marc Yor	4
+ PDF Chat	Dealing with the inventory risk: a solution to the market making problem	2012	Olivier Guéant Charles‐Albert Lehalle Joaquin Fernandez-Tapia	4
+	A Heat Kernel Approach to Interest Rate Models	2009	Jirô Akahori Yuji Hishida Josef Teichmann Takahiro Tsuchiya	3
+ PDF Chat	A general HJM framework for multiple yield curve modelling	2016	Christa Cuchiero Claudio Fontana Alessandro Gnoatto	3
+ PDF Chat	Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes	2019	R. J. Martin M.J. Kearney Richard V. Craster	3
+ PDF Chat	A decomposition of Bessel Bridges	1982	Jim Pitman Marc Yor	3
+	Statistical Modelling with Quantile Functions	2000	Warren Gilchrist	3
+ PDF Chat	Some properties of viscosity solutions of Hamilton-Jacobi equations	1984	Michael G. Crandall L. C. Evans Pierre‐Louis Lions	3
+ PDF Chat	Optimal execution strategies in limit order books with general shape functions	2009	Aurélien Alfonsi Antje Fruth Alexander Schied	3
+ PDF Chat	Interest rates and information geometry	2001	Dorje C. Brody Lane P. Hughston	3
+	Conditional quantile processes based on series or many regressors	2019	Alexandre Belloni Victor Chernozhukov Denis Chetverikov Iván Fernández‐Val	3
+	On the evaluation of first-passage-time probability densities via non-singular integral equations	1989	Virginia Giorno A. G. Nobile Luigi M. Ricciardi Shunsuke Sato	3
+ PDF Chat	Optimal high-frequency trading with limit and market orders	2012	Fabien Guilbaud Huyên Pham	3
+ PDF Chat	Rational Models for Inflation-Linked Derivatives	2018	Henrik Dam Andrea Macrina David Skovmand David Sloth	3
+ PDF Chat	Affine multiple yield curve models	2018	Christa Cuchiero Claudio Fontana Alessandro Gnoatto	3
+ PDF Chat	INFORMATION-BASED ASSET PRICING	2012	Dorje C. Brody Lane P. Hughston Andrea Macrina	3
+	Entropy and information in the interest rate term structure	2002	Dorje C. Brody Lane P. Hughston	3
+ PDF Chat	General theory of geometric Lévy models for dynamic asset pricing	2012	Dorje C. Brody Lane P. Hughston Ewan Mackie	3
+	Processes of normal inverse Gaussian type	1997	Ole E. Barndorff‐Nielsen	3
+ PDF Chat	A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets	2016	Christa Cuchiero Irene Klein Josef Teichmann	3
+ PDF Chat	First-passage time of Markov processes to moving barriers	1984	Henry C. Tuckwell Frederic Y. M. Wan	3
+ PDF Chat	Conditional and dynamic convex risk measures	2005	Kai Detlefsen Giacomo Scandolo	3
+	Conditioned stochastic differential equations: theory, examples and application to finance	2002	Fabrice Baudoin	3
+ PDF Chat	Exponential moments of affine processes	2015	Martin Keller‐Ressel Eberhard Mayerhofer	3
+	The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map	2009	WT Shaw Irc Buckley	3
+ PDF Chat	HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES?	2007	Walter Schachermayer Josef Teichmann	3
+	On the first passage time distribution of an Ornstein–Uhlenbeck process	2010	Chuang Yi	3
+ PDF Chat	The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas	1989	Elja Arjas	3
+	Some Aspects of Brownian Motion	1997	Marc Yor	3
+ PDF Chat	A Fourier Transform Method for Spread Option Pricing	2010	T. R. Hurd Zhuowei Zhou	3
+ PDF Chat	A note on generalized inverses	2013	Paul Embrechts Marius Hofert	3
+	Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup>	2005	Larbi Alili Pierre Patie Jesper Lund Pedersen	3
+ PDF Chat	Prediction of Outstanding Liabilities II. Model Variations and Extensions	1999	Ragnar Norberg	3
+ PDF Chat	A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors	2017	Mesias Alfeus Martino Grasselli Erik Schlögl	3