Andrea Macrina

Available identifiers

zbMath Open macrina.andreaMaRDI QIDQ470685

List of research outcomes

Publication	Date of Publication	Type
Captive jump processes for bounded random systems with discontinuous dynamics	2024-01-05	Paper
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach	2023-09-27	Paper
Stochastic modelling with randomized Markov bridges	2022-07-06	Paper
Lévy random bridges and the modelling of financial information	2022-04-29	Paper
Credit Risk, Market Sentiment and Randomly-Timed Default	2022-04-29	Paper
MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS	2022-04-29	Paper
INFORMATION-BASED ASSET PRICING	2022-04-29	Paper
Beyond Hazard Rates: A New Framework for Credit-Risk Modelling	2022-04-29	Paper
Dam rain and cumulative gain	2022-04-29	Paper
Modelling Information Flows in Financial Markets	2022-04-29	Paper
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2022-04-29	Paper
HEAT KERNEL MODELS FOR ASSET PRICING	2022-04-29	Paper
Randomised Mixture Models for Pricing Kernels	2022-04-29	Paper
Stochastic modelling with randomized Markov bridges	2022-04-29	Paper
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods	2021-10-06	Paper
Rational multi-curve models with counterparty-risk valuation adjustments	2021-07-16	Paper
Rational Models for Inflation-Linked Derivatives	2021-01-15	Paper
MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS	2020-08-05	Paper
Inventory management in customised liquidity pools	2019-09-10	Paper
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks	2018-09-13	Paper
Pricing Fixed-Income Securities in an Information-Based Framework	2017-10-05	Paper
Randomised mixture models for pricing kernels	2017-08-16	Paper
SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS	2017-01-04	Paper
Stable-1/2 bridges and insurance	2015-04-08	Paper
HEAT KERNEL MODELS FOR ASSET PRICING	2015-01-21	Paper
Continuous equilibrium in affine and information-based capital asset pricing models	2014-11-12	Paper
Discrete-time interest rate modelling	2013-05-14	Paper
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES	2012-04-24	Paper
CONDITIONAL DENSITY MODELS FOR ASSET PRICING	2012-04-24	Paper
Modelling Information Flows in Financial Markets	2011-08-08	Paper
Credit Risk, Market Sentiment and Randomly-Timed Default	2011-07-13	Paper
Lévy random bridges and the modelling of financial information	2011-06-15	Paper
https://portal.mardi4nfdi.de/entity/Q5506192	2009-01-28	Paper
Dam rain and cumulative gain	2009-01-06	Paper
Information, Inflation, and Interest	2008-11-04	Paper
INFORMATION-BASED ASSET PRICING	2008-08-26	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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