Andrea Macrina

570 total citations
33 papers, 210 citations indexed

About

Andrea Macrina is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Andrea Macrina has authored 33 papers receiving a total of 210 indexed citations (citations by other indexed papers that have themselves been cited), including 26 papers in Finance, 12 papers in Economics and Econometrics and 7 papers in Demography. Recurrent topics in Andrea Macrina's work include Stochastic processes and financial applications (23 papers), Financial Risk and Volatility Modeling (10 papers) and Credit Risk and Financial Regulations (9 papers). Andrea Macrina is often cited by papers focused on Stochastic processes and financial applications (23 papers), Financial Risk and Volatility Modeling (10 papers) and Credit Risk and Financial Regulations (9 papers). Andrea Macrina collaborates with scholars based in United Kingdom, South Africa and Denmark. Andrea Macrina's co-authors include Lane P. Hughston, Dorje C. Brody, Yupeng Jiang, Luca Capriotti, Mai Nguyen, Stéphane Crépey, Marc Henrard, Ulrich Horst, Michael Kupper and Chris Kenyon and has published in prestigious journals such as Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences, Communications in Nonlinear Science and Numerical Simulation and Stochastic Processes and their Applications.

In The Last Decade

Andrea Macrina

27 papers receiving 199 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Andrea Macrina United Kingdom	8	162	64	33	32	27	33	210
Joanne Kennedy United Kingdom	8	162 1.0×	51 0.8×	21 0.6×	17 0.5×	25 0.9×	22	223
Christian Fries Germany	11	195 1.2×	50 0.8×	25 0.8×	66 2.1×	21 0.8×	55	289
Oh Kang Kwon Australia	8	151 0.9×	61 1.0×	34 1.0×	35 1.1×	19 0.7×	31	208
Bruno Dupire United States	5	232 1.4×	71 1.1×	17 0.5×	36 1.1×	24 0.9×	5	271
Giacomo Bormetti Italy	10	270 1.7×	198 3.1×	48 1.5×	57 1.8×	17 0.6×	46	344
Minqiang Li United States	11	200 1.2×	53 0.8×	26 0.8×	21 0.7×	31 1.1×	32	274
Matheus R. Grasselli Canada	12	141 0.9×	181 2.8×	82 2.5×	34 1.1×	5 0.2×	28	325
Christa Cuchiero Austria	11	263 1.6×	75 1.2×	20 0.6×	52 1.6×	34 1.3×	25	315
Ann De Schepper Belgium	14	279 1.7×	116 1.8×	29 0.9×	121 3.8×	102 3.8×	44	397
Craig A. Friedman United States	7	217 1.3×	71 1.1×	24 0.7×	60 1.9×	21 0.8×	38	277

Countries citing papers authored by Andrea Macrina

Since Specialization

Citations

This map shows the geographic impact of Andrea Macrina's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Andrea Macrina with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Andrea Macrina more than expected).

Fields of papers citing papers by Andrea Macrina

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Andrea Macrina. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Andrea Macrina. The network helps show where Andrea Macrina may publish in the future.

Co-authorship network of co-authors of Andrea Macrina

This figure shows the co-authorship network connecting the top 25 collaborators of Andrea Macrina. A scholar is included among the top collaborators of Andrea Macrina based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Andrea Macrina. Andrea Macrina is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Macrina, Andrea, et al.. (2025). Lost in the LIBOR transition. Quantitative Finance. 25(1). 17–30.

Macrina, Andrea, et al.. (2024). THE FINANCIAL IMPACT OF CARBON EMISSIONS ON POWER UTILITIES UNDER CLIMATE SCENARIOS. International Journal of Theoretical and Applied Finance. 27(1). 1 indexed citations

Macrina, Andrea, et al.. (2023). Captive jump processes for bounded random systems with discontinuous dynamics. Communications in Nonlinear Science and Numerical Simulation. 128. 107646–107646. 1 indexed citations

Macrina, Andrea, et al.. (2023). Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach. Research at the University of Copenhagen (University of Copenhagen). 2(3). 340–384. 8 indexed citations

Macrina, Andrea, et al.. (2023). Lost in the Libor Transition. SSRN Electronic Journal. 1 indexed citations

Macrina, Andrea, et al.. (2023). The Financial Impact of Carbon Emissions on Power Utilities Under Climate Scenarios. SSRN Electronic Journal.

Brody, Dorje C., Lane P. Hughston, & Andrea Macrina. (2021). Financial Informatics. WORLD SCIENTIFIC eBooks. 3 indexed citations

Macrina, Andrea, et al.. (2020). Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. Risks. 8(1). 23–23. 5 indexed citations

Macrina, Andrea, et al.. (2020). Rational Savings Account Models for Backward-Looking Interest Rate Benchmarks. SSRN Electronic Journal.

10.

Macrina, Andrea, et al.. (2018). Consistent Valuation Across Curves Using Pricing Kernels. Risks. 6(1). 18–18. 9 indexed citations

11.

Macrina, Andrea, et al.. (2016). SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS. International Journal of Theoretical and Applied Finance. 19(8). 1650055–1650055. 1 indexed citations

12.

Hughston, Lane P., et al.. (2015). Stable-1/2 bridges and insurance. Banach Center Publications. 104. 95–120. 1 indexed citations

13.

Henrard, Marc, et al.. (2015). Estimation of Future Initial Margins in a Multi-Curve Interest Rate Framework. SSRN Electronic Journal. 4 indexed citations

14.

Capriotti, Luca, Yupeng Jiang, & Andrea Macrina. (2015). Real-Time Risk Management: An AAD-PDE Approach. SSRN Electronic Journal. 1 indexed citations

15.

Crépey, Stéphane, et al.. (2015). Rational multi-curve models with counterparty-risk valuation adjustments. Quantitative Finance. 16(6). 847–866. 10 indexed citations

16.

Capriotti, Luca, Yupeng Jiang, & Andrea Macrina. (2015). Real-time risk management: An AAD-PDE approach. International Journal of Financial Engineering. 2(4). 1550039–1550039. 5 indexed citations

17.

Hughston, Lane P., et al.. (2010). Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving. arXiv (Cornell University). 3 indexed citations

18.

Hughston, Lane P., et al.. (2010). Lévy random bridges and the modelling of financial information. Stochastic Processes and their Applications. 121(4). 856–884. 39 indexed citations

19.

Filipović, Damir, Lane P. Hughston, & Andrea Macrina. (2010). Conditional Density Models for Asset Pricing. SSRN Electronic Journal. 1 indexed citations

20.

Brody, Dorje C., Lane P. Hughston, & Andrea Macrina. (2008). INFORMATION-BASED ASSET PRICING. International Journal of Theoretical and Applied Finance. 11(1). 107–142. 52 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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