Article

Alexander, C. and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2021) The continuous limit of weak GARCH. Econometric Reviews, 40 (2). pp. 197-216. ISSN 1532-4168 doi: https://doi.org/10.1080/07474938.2020.1799592

Alexander, C., Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 and Stanescu, S. (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.05.006

Kaeck, A. and Alexander, C. (2013) Stochastic volatility jump-diffusions for European equity index dynamics. European Financial Management, 19 (3). pp. 470-496. ISSN 1468-036X doi: https://doi.org/10.1111/j.1468-036X.2010.00613.x

Alexander, C., Prokopczuk, M. and Sumawong, A. (2013) The (de)merits of minimum-variance hedging: application to the crack spread. Energy Economics, 36. pp. 698-707. ISSN 0140-9883 doi: https://doi.org/10.1016/j.eneco.2012.11.016

Alexander, C. and Venkatramanan, A. (2012) Analytic approximations for multi-asset option pricing. Mathematical Finance, 22 (4). pp. 667-689. ISSN 1467-9965 doi: https://doi.org/10.1111/j.1467-9965.2011.00481.x

Alexander, C. and Kaeck, A. (2012) Does model fit matter for hedging? Evidence from FTSE 100 options. Journal of Futures Markets, 32 (7). pp. 609-638. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20537

Alexander, C., Cordeiro, G. M., Ortega, E. M. M. and Sarabia, J. M. (2012) Generalized beta generated distributions. Computational Statistics and Data Analysis, 56 (6). pp. 1880-1897. ISSN 0167-9473 doi: https://doi.org/10.1016/j.csda.2011.11.015

Alexander, C., Rubinov, A., Kalepky, M. and Leontsinis, S. (2012) Regime-dependent smile-adjusted delta hedging. Journal of Futures Markets, 32 (3). pp. 203-229. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20517

Lederman, W., Alexander, C. and Ledermann, D. (2011) Random orthogonal matrix simulation. Linear Algebra and its Applications, 434 (6). pp. 1444-1467. ISSN 0024-3795 doi: https://doi.org/10.1016/j.laa.2010.10.023

Venkatramanan, A. and Alexander, C. (2011) Closed form approximations for spread options. Applied Mathematical Finance, 18 (5). pp. 447-472. ISSN 1466-4313 doi: https://doi.org/10.1080/1350486X.2011.567120

Alexander, C. and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 1468-0084 doi: https://doi.org/10.1111/j.1468-0084.2009.00563.x

Alexander, C., Kaeck, A. and Nogueira, L. (2009) Model risk adjusted hedge ratios. The Journal of Futures Markets, 29 (11). pp. 1021-1049. ISSN 1096-9934 doi: https://doi.org/10.1002/fut.20406

Alexander, C. and Sheedy, E. (2008) Developing a stress testing framework based on market risk models. Journal of Banking & Finance, 32 (10). pp. 2220-2236. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2007.12.041

Alexander, C. and Kaeck, A. (2008) Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32 (6). pp. 1008-1021. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2007.08.002

Alexander, C. and Barbosa, A. (2008) Hedging index exchange traded funds. Journal of Banking & Finance, 32 (2). pp. 326-337. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2007.03.012

Alexander, C. and Nogueira, L. M. (2007) Model-free hedge ratios and scale-invariant models. Journal of Banking & Finance, 31 (6). pp. 1839-1861. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2006.11.011

Alexander, C. and Barbosa, A. (2007) Effectiveness of minimum-variance hedging. Journal of Portfolio Management, 33 (2). pp. 46-59. ISSN 0095-4918 doi: https://doi.org/10.3905/jpm.2007.674793

Alexander, C. and Nogueira, L. M. (2007) Model-free price hedge ratios for homogeneous claims on tradable assets. Quantative Finance, 7 (5). pp. 473-479. ISSN 1469-7696 doi: https://doi.org/10.1080/14697680601101700

Yiğitsbaşioğlu, A. B. and Alexander, C. (2006) Pricing and hedging convertible bonds: delayed calls and uncertain volatility. International Journal of Theoretical and Applied Finance, 9 (3). pp. 415-453. ISSN 1793-6322 doi: https://doi.org/10.1142/S0219024906003573

Alexander, C. and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 1099-1255 doi: https://doi.org/10.1002/jae.849

Alexander, C. and Dimitriu, A. (2005) Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10 (3). pp. 213-231. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.261

Alexander, C. and Dimitriu, A. (2005) Detecting switching strategies in equity hedge funds returns. The Journal of Alternative Investments, 8 (1). pp. 7-13. ISSN 1520-3255 doi: https://doi.org/10.3905/jai.2005.523079

Alexander, C. and Dimitriu, A. (2005) Indexing and statistical arbitrage. Journal of Portfolio Management, 31 (2). pp. 50-63. ISSN 0095-4918 doi: https://doi.org/10.3905/jpm.2005.470578

Alexander, C. and Dimitriu, A. (2005) Rank alpha funds of hedge funds. The Journal of Alternative Investments, 8 (2). pp. 48-61. ISSN 1520-3255 doi: https://doi.org/10.3905/jai.2005.591577

Alexander, C. (2005) The present and future of financial risk management. Journal of Financial Econometrics, 3 (1). pp. 3-25. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbi003

Alexander, C. and Barbosa, A. (2005) The spider in the hedge. Review of Futures Markets, 11 (1). pp. 89-113.

Alexander, C. (2004) Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects. Journal of Banking & Finance, 28 (12). pp. 2957-2980. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2003.10.017

Alexander, C. and Scourse, A. (2004) Bivariate normal mixture spread option valuation. Quantitative Finance, 4 (6). pp. 637-648. ISSN 1469-7696 doi: https://doi.org/10.1080/14697680400016174

Alexander, C. and Dimitriu, A. (2004) Equity indexing: optimize your passive investments. Quantitative Finance, 4 (3). C30-C33. ISSN 1469-7696 doi: https://doi.org/10.1088/1469-7688/4/3/F01

Alexander, C. (2002) Principal component models for generating large GARCH covariance matrices. Economic Notes, 31 (2). pp. 337-359. ISSN 1468-0300 doi: https://doi.org/10.1111/1468-0300.00089

Alexander, C. (2002) Cointegration and asset allocation: a new active hedge fund strategy. Research in International Business and Finance, 16. pp. 65-90. ISSN 0275-5319

Book or Report Section

Alexander, C. (2008) Hedging the risk of energy futures portfolios. In: Geman, H. (ed.) Risk management in commodity markets: from shipping to agriculturals and energy. Wiley, pp. 117-127. ISBN 9780470694251

Alexander, C. and Venkatramanan, A. (2008) Commodity options. In: Fabozzi, F. J., Füss, R. and Kaiser, D. G. (eds.) Handbook of commodity investing. Wiley, pp. 570-595. ISBN 9780470117644

Alexander, C. (2008) Moving average models for volatility and correlation and covarience matrices. In: Fabozzi, F. J. (ed.) Handbook of finance: valuation, financial modeling, and quantitative tools. Wiley, pp. 711-724. ISBN 9780470078167

Alexander, C. (2008) Statistical models of operational loss. In: Fabozzi, F. J. (ed.) Handbook of finance: valuation, financial modeling, and quantitative tools. Wiley, pp. 109-128. ISBN 9780470078167

Alexander, C. and Dimitriou, A. (2006) Rank alpha funds of hedge funds. In: Gregoriou, G. N. (ed.) Fund of hedge funds: performance, assessment, diversification and statistical properties. Elsevier, pp. 3-25. ISBN 9780750679848

Alexander, C. and Dumitriu, A. (2005) Hedge fund index tracking. In: Gregoriou, G. N., Hübner, G., Papageorgiou, N. and Rouah, F. D. (eds.) Hedge funds: insights in performance measurement, risk analysis, and portfolio allocation. Wiley, pp. 165-181. ISBN 9780471737438

Alexander, C. and Dimitriu, A. (2004) The art of investing in hedge funds: fund selection and optimal allocations. In: Schachter, B. (ed.) Intelligent hedge fund investing. Risk Books. ISBN 9781904339229

Alexander, C. (2004) Correlation in crude oil and natural gas markets. In: Kaminsky, V. (ed.) Managing Energy Price Risk: The New Challenges and Solutions. Third Edition. Risk Books, pp. 573-606. ISBN 9781904339199

Alexander, C. (2003) Principles of the skew. In: Lipton, A. (ed.) Exotic options. Risk Books. ISBN 9781904339090

Report

Alexander, C. and Pezier, J., (2003) Assessment and aggregation of banking risks. Report. International Finanial Risk Institute (IFCI) pp83. (Unpublished)

Conference or Workshop Item

Alexander, C. and Nogueira, L. (2004) Stochastic local volatility. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

Alexander, C. and Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

Book

Alexander, C. (2009) Market risk analysis. Volume IV. Value at risk models. Wiley, pp492. ISBN 9780470997888

Alexander, C. (2008) Market risk analysis. Volume III. Pricing, hedging and trading financial instruments. Wiley. ISBN 9780470997895

Alexander, C. (2008) Market risk analysis. Volume I. Quantitative methods in finance. Wiley, pp318. ISBN 9780470998007

Alexander, C. (2008) Market risk analysis. Volume II. Practical financial econometrics. Wiley, pp426. ISBN 9780470998014

Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager's guide to finance theory and application. McGraw-Hill, pp400. ISBN 9780071546478

Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager's guide to financial instruments. McGraw-Hill, pp400. ISBN 9780071546492

Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager's guide to financial markets. McGraw-Hill. ISBN 9780071546485