### RESEARCH OVERVIEW

My research spans mathematical, quantitative and statistical finance and financial econometrics. I like to work with junior colleagues, often PhD students, in a research leader role. My papers tend to focus on new theoretical developments, usually but not always accompanied by some empirical work.

I have worked on volatility for most of my career as a finance academic, from the discrete and continuous time perspectives. Here the main financial applications that I consider are to risk management, especially to hedging options or hedging with futures and to market risk assessment.

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. More recent work in this area focusses on volatility exchange-traded products.

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, for instance:

Alexander, Carol (1999) Optimal hedging using co-integration. *Philosophical Transactions of the Royal Society* A, 357 (1758). pp. 2039-2058.

Recently I have been working on developing new simulation models. Here the only work published to date introduces Random Orthogonal Matrix (ROM) simulation. 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

Another fairly recent interest is in the area of real options and game options where I plan to publish several methodology papers in the near future. Some of my work (such as recent developments in data-snooping) remains unpublished because it is used as the basis for proprietary trading.

SSRN author page

Google Scholar profile

### Forthcoming Publications:

Alexander, C. and D. Korovilas (2013) ‘Volatility exchange-traded notes: curse or cure?’ *Journal of Alternative Investments* (Forthcoming)

Kaeck, A. and C. Alexander (2013) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ *European Financial Management* doi: 10.1111/j.1468-036X.2011.00613.x

### Selection of Published Research Papers:

[See Academic Journals to download papers and my CV for complete list.]

Alexander, C., Lazar, E. and S. Stanescu (2013) ‘Forecasting VaR using analytic higher moments for GARCH processes’ *International Review of Financial Analysis* 30, 36-45

Alexander, C., Propoczuk, M. and A. Sumawong (2013) ‘The (de)merits of minimum-variance hedging: Application to the crack spread’ Energy Economics 36, 698-707

Kaeck, A. and C. Alexander (2013) ‘Continuous-time VIX dynamics: on the role of stochastic volatility of volatility’* International Review of Financial Analysis *28, 45-56

Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79

Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ *Risk Analysis: An International Journal* 32(8), 1293-1308

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

Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) ‘Generalized beta generated distributions’ *Computational Statistics and Data Analysis* 56(6), 1880–1897

Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ *Mathematical Finance* 22(4), 667-689

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

Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-dependent smile-adjusted delta hedging’ *Journal of Futures Markets* 32(3), 202-229

Venkatramanan, A. and C. Alexander (2011) ‘Closed-form approximations for spread options’ *Applied Mathematical Finance* 18 (5), 447-472

Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ *Linear Algebra and its Applications* 434, 1444-1467

Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ *Oxford Bulletin of Economics and Statistics*, 71:6, 761 – 797

Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ *Journal of Futures Markets*, 29: 11, 1021-1045

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

Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.

Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337

Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.

Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59

Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861

Yigitsbasioglu, A. 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

Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336

### Selection of Books:

[See left hand link for complete list]

Alexander, C. (2008) *Market Risk Analysis*, Volume I: *Quantitative Methods in Finance*. Wiley

Alexander, C. (2008) *Market Risk Analysis*, Volume II: *Practical Financial Econometrics*. Wiley

Alexander, C. (2008) *Market Risk Analysis*, Volume III: *Pricing, Hedging and Trading Financial Instruments*. Wiley

Alexander, C. (2008) *Market Risk Analysis*, Volume IV: *Value at Risk Models*. Wiley

Alexander, C. (2001) Market Models: A Guide to Financial Data Analysis. Wiley