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Prof Andrea Macrina
UCL Mathematics
25 Gordon Street
Prof Andrea Macrina profile picture
  • Professor of Mathematics
  • Dept of Mathematics
  • Faculty of Maths & Physical Sciences

Andrea Macrina is Professor of Mathematics and the Director of the Financial Mathematics MSc Programme in the Department of Mathematics, University College London. Dr Macrina is Adjunct Professor at the University of Cape Town in the African Institute of Financial Markets and Risk Management where in 2014 he co-founded the Financial Mathematics Team Challenge (FMTC). He is a recipient of the Fields Research Fellowship awarded by The Fields Institute for Research in Mathematical Sciences. Prof. Macrina held a Senior Lectureship followed by a Readership in the Department of Mathematics, University College London, an Adjunct Professorship at the Department of Actuarial Science of the University of Cape Town, a Lectureship in Financial Mathematics in the Department of Mathematics, King's College London, a one-year Visiting Research Associate Professorship in the Institute of Economic Research, Kyoto University, and a six-month Research Fellowship at ETH Zurich. Prof. Macrina is one of the principle developers of information-based asset pricing, a novel stochastic framework for, e.g., the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. He is co-editor of a book on Financial Informatics, published in 2022, containing 18 foundational articles on the information-based modelling framework. He 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, researchers at many international universities in Africa, Australia, East-Asia, Europe, North-America, and practitioners of the financial service industry in The City of London. Prof. Macrina is Associate Editor of the International Journal of Theoretical and Applied Finance and a member of the London Mathematical Society, the American Mathematical Society, the Society of Industrial and Applied Mathematics, the Bernoulli Society for Mathematical Statistics and Probability, and the Bachelier Finance Society. Prof. Macrina holds a PhD in Mathematics from King's College, University of London, and an MSc in Physics from the University of Bern, Switzerland. Languages: Italian, German, French, and English.

Research Summary

Prof. 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

  • MATHGF05/0085 Asset Pricing in Continuous Time


MSc Financial Mathematics, UCL

  • MATH0095 Topics in Financial and Insurance Mathematics: Mathematical Sustainable Finance.

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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