Curriculum Vitae

Personal

Education and Qualifications

1976                     B.Sc. (Sussex) in Mathematics with Experimental Psychology (First Class)

1980                     Ph.D. (Sussex) in Algebraic Number Theory (Supervisor – Prof. Walter Ledermann)

1985                     M.Sc. (LSE) in Mathematical Economics and Econometrics

 

Appointments

1977 – 1978      Editor, John Wiley (one-year, interim PhD research)

1981 – 1982      Postdoctoral Research Fellow, University of Amsterdam

1982 – 1983      Bond Analyst, UBS Phillips and Drew, London

1983 – 1985      Part-Time Teaching and Research Assistant, London School of Economics

1985 – 1996      Lecturer in Mathematics and Economics, University of Sussex

1996 – 1998      Lecturer in Mathematics, University of Sussex (Part-Time)

1996 – 1998      Academic Director, Algorithmics Inc., London (Part-Time)

1998                     Director, Head of Market Risk Modelling, Nikko Securities, London

2007 – 2008      Risk Research Advisor, SAS

1999 –  2012     Chair of Financial Risk Management, ICMA Centre, Henley Business School

2012 –                  Professor of Finance, University of Sussex

 

Consultancy

1990 – 1991     First generation GARCH models, Hill Samuel Bank, London

1992                     Volatility trading models, Equitable House Investments, London

1994 – 2003     Hedge-fund software design, Pennoyer Capital Management, New York

1996 – 1997      Spot-futures arbitrage models, EDF Man, London

1996                     Internal VaR model implementation, Shell Pension Fund, Den Haag, Holland

1997 – 1998     Orthogonal GARCH models, Robert Fleming, London

1998 – 1999      Academic Director, Algorithmics Inc., Toronto

2003 – 2006      Expert witness, Richards Butler, London

2009 – 2010      VaR model design, Credit Agricole Asset Management, London

2012                     Model Validation, ICE Clear, Europe

 

Research GRANTS

1981                     Leverhulme post-doctoral research grant, University of Amsterdam

1986                     Nuffield award for new lecturers in science, University of Sussex

1994                     ESRC grant for time series analysis in financial markets

2003                     FDMR grant for research into hedge funds

2003                     British Academy grant with Simon Burke, Henley Business School

2003                     International Financial Risk Institute Award

2005                     Australian Prudential Regulatory Authority grant with Elizabeth Sheedy, Macquarie

2008                     Europlace Institute of Finance grant with Steve Ohana, ESCP-EAP

 

HONOURS, PATENTS and AWARDS

1996                     Winner, First International Non-Linear Financial Forecasting Competition
(with Sussex MAPS postdoctoral research student, Ian Giblin)

2002                     Honorary Professorship, Academy of Economic Sciences, Bucharest

2003                     International Financial Risk Institute (IFRI), 9th roundtable award

2007                     Professional Risk Managers International Association (PRMIA)
Annual higher standard award (jointly held, with Prof. Robert Merton)

2009                     U.S. Patent Number 7,571,130: Hedging exchange traded mutual funds or other portfolio basket products www.google.com/patents/US20030233302

2011                     U.S. Patent Number 7,979,336: A system for pricing financial instruments
www.google.com/patents/US7979336

 

PRMIA

Voluntary activities with the Professional Risk Managers’ International Association

2002 – 2009      Chair of the Academic Advisory Council

2009 – 2012      Board Member

2009 – 2011      Chair of Publications Subcommittee

2009 – 2012      Member of Education Committee

2010 – 2012      Chair of Board

 

OTHER EXTERNAL ACADEMIC ACTIVITIES

1999 – 2000      Visiting Research Fellow, OCIAM, Oxford University

2003 – 2006      Expert Witness, Richards Butler, London

2007 – 2009      Editorial Board, Journal of Banking and Finance

2007 – now       Editorial Board, Journal of Portfolio Management

2011 – now       Editorial Board, Journal of Investment Strategies

2011 – now       External Assessor, PhD Programme in Economic and Finance, St. Gallen University

2011 – now       Member of CFA Advisory Council

2013 – now       Co-Editor in Chief, Journal of Banking and Finance

 

PhD SUPERVISION

Further details: www.carolalexander.org/phd students.php

Current PhD Students with Expected Year of Completion

2013                     Annanit Sumawong Energy Derivatives

2013                     Xi Chen Real Options and Decisions

2014                     Johannes Rauch Generalized Moment Swaps

Past PhD Students with Current Occupation

2004                     Ali Bora Yigitbasioglu
Defaultable Convertible Bonds with Volatility Uncertainty and Call Notice Periods
Senior Portfolio Manager and FX Macro Prop Trader, Cambridge Strategy, London

2004                     AncaDimitriu
Portfolio Optimization Models for Traditional and Alternative Investments
Proprietory Trader, Millenium Capital, London

2005                     Dmitri Lvov
Pricing Convertible Bonds and Bermudan Swaptions by Monte Carlo Simulation
VP Commodities Quant Research, JP Morgan-Chase Bank, London

2006                     Leonardo Nogueira
Pricing and Hedging Options with Local and Stochastic Volatility Models
Head of Quant Research, Brazilian Central Bank

2006                     Emese Lazar
Multi-State Volatility Models: Theory and Applications
Lecturer in Finance, ICMA Centre, Henley Business School at Reading

2007                     Andreza Barbosa
Pricing and Hedging Exchange Traded Funds
Director, EMEA Head of Risk, Futures and OTC Clearing, Citibank, London

2008                     Naoufel El Bachir
Stochastic Default Intensity Modeling with Dependent Jump Processes
Founding Partner, FinBoost Consultants, London

2008                     Aanand Venkatrammanan
Multi-Asset Option Pricing
Algorithmic Trader, Goldman Sachs, London

2010                     Joydeep Lahiri
Jump Diffusions for Modelling Default Intensity
Senior Analyst, London

2010                     Stamatis Leontsinis
Model-Free Moment Indices
Quantitative Analyst, Fulcrum Asset Management, London

2010                     Silvia Stanescu
Analytic Moments for GARCH Processes
Lecturer in Finance, Kent University

2010                     Andreas Kaeck
Equity Index and Index Derivative Dynamics
Associate Professor of Finance, St. Gallen University

2010                     Daniel Ledermann
Random Orthogonal Matrix Simulation
Quant Analyst, HSBC, London

2012                     Dimitris Korovilas
Trading Volatility

 

RECENT Publications

(See full CV for complete list and here for pdfs)

  1. Alexander, C., Propoczuk, M. and A. Sumawong (2012) ‘The (de)merits of minimum-variance hedging: Application to the crack spread’ Energy Economics doi: 10.1016/j.eneco.2012.11.016
  2. Kaeck, A. and C. Alexander (2012) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management doi: 10.1111/j.1468-036X.2011.00613.x
  3. Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79
  4. Kaeck, A. and C. Alexander (2012) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management http://dx.doi.org/10.1111/j.1468-036X.2011.00613.x
  5. Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ Risk Analysis: An International Journal 32(8), 1293-1308
  6. Kaeck, A. and C. Alexander (2012) ‘Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions’ Journal of Banking and Finance 36 (11), 3110-3121
  7. Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) ‘Generalized beta generated distributions’ Computational Statistics and Data Analysis 56(6), 1880–1897
  8. Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance 22(4), 667-689
  9. Alexander, C. and A. Kaeck (2012) ‘Does model fit matter for hedging? Evidence from FTSE 100 options’ Journal of Futures Markets 32(7), 609–638
  10. Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-dependent smile-adjusted delta hedging’ Journal of Futures Markets 32(3), 202-229
  11. Venkatramanan, A. and C. Alexander (2011) ‘Closed-Form Approximations for Spread Options’ Applied Mathematical Finance 18 (5), 447-472
  12. Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random Orthogonal Matrix Simulation’ Linear Algebra and its Applications 434, 1444-1467
  13. Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 – 797
  14. Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045
  15. Alexander, C. and E. Sheedy (2008) ‘Developing a stress testing framework based on market risk models’ Journal of Banking and Finance 32:10, 2220-2236
  16. Alexander, C. (2008) In Risk- Management in Commodity Markets: From Shipping to Agriculturals and Energy, H. Geman (ed.), Wiley
  17. Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.
  18. Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337
  19. Alexander, C. (2008) ‘Moving average models for volatility and correlation.’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley
  20. Alexander, C. (2008) ‘Statistical models of operational loss’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley
  21. Alexander, C. and A. Venkatramanan (2008) ‘Commodity options’ In Handbook of Commodity Investing, F.J. Fabozzi, R. Füss and D.G. Kaiser (ed.), Wiley
  22. Alexander, C. (2008) Market Risk Analysis, Volume I: Quantitative Methods in Finance. Wiley
  23. Alexander, C. (2008) Market Risk Analysis, Volume II: Practical Financial Econometrics. Wiley
  24. Alexander, C. (2008) Market Risk Analysis, Volume III: Pricing, Hedging and Trading Financial Instruments. Wiley
  25. Alexander, C. (2008) Market Risk Analysis, Volume IV: Value at Risk Models. Wiley
  26. Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Finance Theory and Application. (McGraw-Hill)
  27. Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Markets. (McGraw-Hill)
  28. Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Instruments. (McGraw-Hill)
  29. Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.
  30. Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59
  31. Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861
  32. Yigitsbasioglu and C. Alexander (2006) ‘Pricing and hedging convertible bonds: delayed calls and uncertain volatility’ International Journal of Theoretical and Applied Finance, 9:2, 415-437
  33. Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336
  34. Alexander, C. and A. Dimitriu (2006) ‘Rank alpha funds of hedge funds’, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Edited by Greg N. Gregoriou, Elsevier Press
  35. Alexander, C. and A. Dimitriu (2005). ‘Hedge Fund Index Tracking’. InN. Gregoriou, G. Hübner, N. Papageorgiou, and F. Rouah (ed.), Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation. John Wiley & Sons, Inc., 165–179
  36. Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61
  37. Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13.
  38. Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25
  39. Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113
  40. Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63.
  41. Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.
  42. Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12.
  43. Alexander, C. (2004) ‘Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects’ Journal of Banking and Finance, 28:12 2957-2980
  44. Alexander, C. and A. Dimitriu (2004) ‘Sources of out-performance in equity markets: common trends, mean reversion and herding’ Journal of Portfolio Management, 30:4, 170-185
  45. Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 30 – 33
  46. Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 1, Finance Theory, Instruments and Markets (PRMIA Publications, Illinois)
  47. Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 2, Financial Mathematics (PRMIA Publications, Illinois)
  48. Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 3, Financial Risk Management (PRMIA Publications, Illinois)
  49. Alexander C. and A. Dimitriu (2004), ‘The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations’, in Intelligent Hedge Fund Investing, Ed. Barry Schachter, Risk Publications
  50. Alexander, C. and L. Nogueira (2004) ‘Stochastic local volatility’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 136-141
  51. Alexander, C. and E. Lazar (2004) ‘Time aggregation of normal mixture GARCH’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 210-215
  52. Alexander, C. (2004) ‘Principles of the skew’ in Alexander Lipton (ed.) Exotic Options. Risk Publications, 57-64.
  53. Alexander, C. (2004) ‘Correlation in crude oil and natural gas markets’ in Managing Energy Price Risk (3rd Edition) V. Kaminsky (ed.). Risk Publications 573-606