Andrea Macrina

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 3

Top Topics

Monte Carlo Methods

Markovian Decision

Accurate Models

Point Processes

Top Venues

Commun. Nonlinear Sci. Numer. Simul.

SIAM J. Financial Math.

Algorithmic Finance

Publications

Andrea Macrina, Levent Ali Mengütürk, Murat C. Mengütürk
Captive jump processes for bounded random systems with discontinuous dynamics. Commun. Nonlinear Sci. Numer. Simul. 128 (2024)
Henrik T. Dam, Andrea Macrina, David Skovmand, David Sloth
Rational Models for Inflation-Linked Derivatives. SIAM J. Financial Math. 11 (4) (2020)
Luca Capriotti, Yupeng Jiang, Andrea Macrina
AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks. Algorithmic Finance 6 (1-2) (2017)