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Dr Andrea Macrina
UCL Mathematics
25 Gordon Street
  • Senior Lecturer
  • Dept of Mathematics
  • Faculty of Maths & Physical Sciences

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 Senior Lecturer in Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. In October 2013, he was appointed to Adjunct Associate Professor in the Department of Actuarial Science, University of Cape Town. Dr Macrina held a Lectureship in Financial Mathematics in the Department of Mathematics, King's College London until September 2012, a one-year Visiting Research Associate Professorship in the Institute of Economic Research, Kyoto University, and a six-month Research Fellowship at ETH Zurich. He is one of the principle developers of information-based asset pricing, which is a novel stochastic framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. Dr Macrina is a regular speaker at seminars and conferences worldwide where he presents his research findings to academics and industry professionals. His research programme includes collaborations with doctoral students, practitioners of the financial service industry in London, and university researchers in Denmark, France, Germany, Japan, South Africa, Switzerland, and the United Kingdom. Dr Macrina is a member of the London Mathematical Society, the American Mathematical Society, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Languages: Italian, German, French, and English.

Research Summary

Dr Macrina's research in Financial and Insurance Mathematics includes asset pricing and risk management, interest-rate modelling, algorithmic and high-frequency trading, and the development of a probabilistic approach to asymmetric information. His research interests extend to risk measures and the modelling of market information, insurance claims reserving and hedging, and to optimal transport theory.

Teaching Summary


MSc Financial Mathematics, UCL

  • MATHGF07 Interest Rates and Credit Modelling
  • COMPG004 Market Risk, Measures, and Portfolio Theory
London Graduate School in Mathematical Finance
  • PhD short course, MF7 Insurance

MSc Financial Mathematics, UCL
  • COMPG004 Market Risk, Measures, and Portfolio Theory
London Graduate School in Mathematical Finance
  • PhD long course, MF7 Risk and Insurance, www.londonmathfinance.org.uk/4.html

London Graduate School in Mathematical Finance
  • PhD long course, MF1 Information and finance: filtration modelling, stochastic filtering and asset pricing

MSc Financial Mathematics, UCL
  • MATHGF05 Asset Pricing in Continuous Time

MAY-2009 – APR-2010 Visiting Research Associate Professor Kyoto Institute of Economic Research Kyoto University, Japan
JAN-2006 – SEP-2012 Lecturer in Financial Mathematics Mathematics King's College London, United Kingdom
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