16

Ago

2018
Seminários

Research In Financial Mathematics

Horário
16h00
Local
Sede FGV - Sala 317

Sobre o Evento

  • Quem: Andrea Macrina
  • Onde: Praia de Botafogo, 190 - sala 537
  • Quando: 16 de Agosto de 2018 às 16h

In this seminar, I shall take the opportunity to share results emerging from recent work on (a) heatwaves and barrier-crossing in multiple consecutive time periods, (b) stochastic pricing models for inflation-linked securitisation, (c) dynamic initial margining, and (d) consistent valuation across curves using pricing kernels. The focus of further work has been on the construction of randomised Markov bridges and on Markov-modulated information flows, which, time permitting, will be touched on.

*Texto informado pelo autor. 

 

OBSERVAÇÃO PARA VISITANTES: 

A presença é gratuita e não exige confirmação. A FGV não permite a entrada de pessoas vestindo bermuda e/ou chinelos.

Palestrantes

Andrea Macrina 

Adjunct Associate Professor in the Department of Actuarial Science, University of Cape Town

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 Reader 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 Senior Lectureship in the Department of Mathematics, University College London, 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. He is one of the principle developers of information-based asset pricing—a novel stochastic framework for the pricing of a variety of asset classes including credit, fixed-income, equity, and insurance-linked assets. His main current research areas are in applied probability and stochastic modelling, financial and insurance mathematics. Dr Macrina's research benefits from fruitful collaborations with international researchers, doctoral students, and practitioners of the financial service industry. He 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.

Local

Sede FGV - Sala 317

Praia de Botafogo, 190

Botafogo

Rio de Janeiro

Endereço

Praia de Botafogo, 190

Botafogo

Rio de Janeiro

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