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 Some of my work (such as recent developments in data-snooping) remains unpublished because it is used as the basis for proprietary trading.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