Publications

RESEARCH ONLINE

These pages allow you to download my recent articles as well as listing details of all academic, practitioner and conference papers as well as my books. Use the dropdown menu to navigate to the relevant page.

My research spans mathematical, quantitative and statistical finance and financial econometrics. See the dropdown menu for lists of publications by category, including books. My latest book is edited with Douglas Cumming and is due to be published in May:

Corruption and Fraud in Financial Markets

https://www.amazon.co.uk/Corruption-Fraud-Financial-Markets-Manipulation/dp/1119421772

 My most recent research publications are in mathematical finance:

Alexander, C., Lazar, E. and S. Stanescu (2020) ‘Analytic Moments for GJR-GARCH(1,1) Processes’ International Journal of Forecasting. (Forthcoming)

Alexander, C. and J. Rauch (2020) ‘A General Property for Time Aggregation’   European Journal of Operational Research.  (Available online)

Alexander C. and X. Chen. (2019) ‘Model Risk in Real Option Valuation’ Annals of Operations Research. (Available online)

Another on-going theme of my research is to exchange-traded products with derivative-type characteristics. I have developed high-frequency pricing and hedging models that are patented and now used by market makers on the New York Stock Exchange. I am concerned by the volume now being traded on VXX —  and especially on leveraged volatility exchange-traded products — because the banks that have issued them are set to make huge losses from early redemptions, when the S&P 500 eventually reverts to the level that it should be, in the absence of all the quantitative easing since the banking crisis.

I have worked on statistical and implied volatility models for many years, with financial applications to risk management, hedging options or hedging with futures and distribution forecasting. More recently I’ve been working on higher moments, in GARCH models, new statistical distributions, and inferring long-term realised skewness and kurtosis from daily data. Trading strategies for hedge funds has been another long-standing interest. I consult quite often in this area and some of the models that I have designed have formed the basis of popular strategies in the long-short equity category.

I also develop new simulation models: Random Orthogonal Matrix (ROM) simulation and Factor Model Quantile Simulation (FMQS). The first of these papers is co-authored with my PhD supervisor Walter Ledermann and his grandson Daniel, who was my PhD student at the time. It was published on the centenary of Walter’s birth: Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467

Other recent research interests are about financial market manipulation and fraud. Look out for this book on Amazon soon and follow me on Medium under the CryptoMarketRisk publications.