Andrea Macrina

Andrea Macrina is Professor of Mathematics at the Department of Mathematics, University College London (UCL), and Honorary Professor at the African Institute of Financial Markets and Risk Management, University of Cape Town (UCT). He founded the Financial Mathematics MSc programme at UCL in 2012 and served as its director until 2024. He co-founded the annual Financial Mathematics Team Challenge (FMTC) at UCT and holds adjunct and visiting positions across multiple international institutions, including King's College London, Kyoto University, and ETH Zurich.

His research focuses on information-based asset pricing and the emerging field of Mathematical Climate Finance. He has pioneered stochastic frameworks for pricing credit, equity, fixed-income, and insurance-linked assets using information filtrations. Recent work extends to climate risk modelling, climate-contingent bonds (e.g., S-CloCo), and ensemble stress testing frameworks. His research integrates applied probability, martingale transport, quantile processes, and risk measure distortions.

His recent publications reflect a strong trend toward integrating climate risk into financial mathematics, with a focus on innovative instruments, systemic risk quantification, and sustainable finance. These works span stochastic modelling, real-time risk management, and regulatory frameworks in post-LIBOR financial systems.

• Fields Research Fellowship
• Elliott-Yui Distinguished Visitor, The Fields Institute

Prof. Macrina has supervised and collaborated with doctoral students and researchers across Africa, Europe, North America, and East Asia. His research programme is supported by international collaborations and academic-industry partnerships in The City of London. He is Associate Editor of the International Journal of Theoretical and Applied Finance and a member of several professional societies, including the London Mathematical Society and the Bachelier Finance Society.

He leads research initiatives such as the ISM-UCL-UCSB-MQ Workshop on Climate Finance and Risk and contributes to special issues on climate and nature risk in mathematical finance. He is actively involved in shaping the future of financial mathematics through education, editorial work, and interdisciplinary research in climate finance.