57 citations · 96 across the 22 of their papers we have counts for
31 papers
Information-Based Martingale Optimal Transport
Georges Kassis, Andrea Macrina
Randomised arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between any given ordered set of random variabl…
Arcade Processes for Informed Martingale Interpolation
Georges Kassis, Andrea Macrina
Arcade processes are a class of continuous stochastic processes that interpolate in a strong sense, i.e., omega by omega, between zeros at fixed pre-specified times. Their additive…
Transparency principle for carbon emissions drives sustainable finance
Chris Kenyon, Mourad Berrahoui, Andrea Macrina
Alignment of financial market incentives and carbon emissions disincentives is key to limiting global warming. Regulators and standards bodies have made a start by requiring some c…
Stochastic measure distortions induced by quantile processes for risk quantification and valuation
Holly Brannelly, Andrea Macrina, Gareth W. Peters
We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necess…
Sustainability Manifesto for Financial Products: Carbon Equivalence Principle
Chris Kenyon, Mourad Berrahoui, Andrea Macrina
Sustainability is a key point for financial markets and the label "Green" is an attempt to address this. Acquisition of the label "Green" for financial products carries potential b…
Captive Jump Processes
Andrea Macrina, Levent A. Mengütürk, Murat C. Mengütürk
We explicitly construct so-called captive jump processes. These are stochastic processes in continuous time, whose dynamics are confined by a time-inhomogeneous bounded domain. The…