- Alexander C., Kaeck, A. and Sumawong, A. (2018) ‘A Parsimonious Parametric Model for Generating Margin Requirements for Futures’ European Journal of Operational Research. (Forthcoming) download
- Leontsinis, S. and C. Alexander (2017) ‘Arithmetic Variance Swaps’ Quantitative Finance 17(4), 551-569 download
- Alexander, C., Korovilas D. and J. Kapraun (2016) ‘Diversification with Volatility Products’ Journal of International Money and Finance 65, 213-235 download
- Alexander, C., J. Kapruan and D. Korovilas (2015) ‘Trading and Investing in Volatility Products’ Financial Markets, Institutions and Instruments 24(4), 313-347 download
- Alexander, C. and D. Korovilas (2013) ‘Volatility exchange-traded notes: curse or cure?’ Journal of Alternative Investments 16(2), 52-70 download
- Kaeck, A. and C. Alexander (2013) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management 19(3), 470-496 download
- 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 download
- 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 download
- 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 download
- Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ Risk Analysis: An International Journal 32(8), 1293-1308 download
- Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79 download
- 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 download
- Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) ‘Generalized beta generated distributions’ Computational Statistics and Data Analysis 56(6), 1880–1897 download
- Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance 22(4), 667-689 download
- 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 download
- Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-dependent smile-adjusted delta hedging’ Journal of Futures Markets 32(3), 202-229 download
- Venkatramanan, A. and C. Alexander (2011) ‘Closed-form approximations for spread options’ Applied Mathematical Finance 18 (5), 447-472 download
- Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467 download
- Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 – 797 download
- Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045 download
- 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 download
- Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021. download
- Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337 download
- Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479. download
- Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59 download
- Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861 download
- 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 download
- Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336 download / Appendix
- Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61 download
- Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13. download
- Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25 download
- Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113 download
- Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63. download
- Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231. download
- Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12. download
- 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 download
- 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 download
- Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 C30 – C33 download
- Alexander, C. (2002) ‘Principal component models for generating large covariance matrices’ Review of Banking, Finance and Monetary Economics, Economic Notes, 31:2, 337-359 download
- Alexander, C., I. Giblin and W. Weddington (2002) ‘Cointegration and asset allocation: a new active hedge fund strategy’ Research in International Business and Finance, 16, 65-90. download
- Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196
- Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058 download
- Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62
- Alexander, C. and I. Giblin (1996) ‘Multivariate embedding methods: forecasting high-frequency data in the first INFFC’ Journal of Computational Intelligence in Finance 5:6 17-24 download
- Alexander, C. and W. Ledermann (1996) ‘Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm/union negotiations’ Oxford Economic Papers 48:2 1-11 download
- Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146 download
- Alexander, C. (1996) ‘Evaluating the use of RiskMetricsä as a risk measurement tool for your operation’ Derivatives: Use Trading and Regulation 2:3 277-285
- Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93
- Alexander, C. (1995) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10. download
- Alexander, C. and J. Wyeth (1994) ‘Cointegration and market integration: an application to the Indonesian rice market’ Journal of Development Studies 30:2 303-308 download
- Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689
- Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958 download
- Alexander, C. (1993) ‘The changing relationship between productivity, wages and unemployment in the U.K.’ Oxford Bulletin of Economics and Statistics 55:1 87-102
- Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453
- Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34
- Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786 download
- Alexander, C. (1988) ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293
- Alexander, C. (1987) ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284
- Alexander, C. and W. Ledermann (1985) ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371