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Andrea Macrina
Reader in Mathematics at University College London

Profile

Andrea Macrina holds a PhD in Mathematics from King's College, University of London, and an MSc in Physics from the University of Bern, Switzerland. He is a Reader in Mathematics and the Director of the Financial Mathematics MSc Programme in theDepartment of Mathematics, University College London. He also holds an Adjunct Professorship at the University of Cape Town in the African Institute of Financial Markets and Risk Management (AIFMRM). Andrea is one of the principle developers of information-based asset pricing. More recently, he worked on real-time risk management, inflation-linked pricing and hedging, and has advanced a keen interest in climate risk modelling and securitisation. He regularly speaks at seminars and conferences where he presents research findings to academics and industry professionals. He is the co-founder of the Financial Mathematics Team Challenge (FMTC), an annual research student workshop held in Cape Town and Rio de Janeiro. Andrea’s research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. Aside from research in applied probability and stochastic modelling, a major part of Andrea’s current research focuses on the transition from interbank offered rates (IBOR) to so-called risk-free rate (RFR) benchmarks. 

Personal web site: https://amacrina.wixsite.com/macrina

Agenda Sessions

  • Overnight risk-free rates are risky

    09:00

Speakers at this event