Alexander, Carol

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Carol Alexander is a Professor of Risk Management at the ICMA Centre, Henley Business School at Reading, and Chair of Board of the Professional Risk Manager’s International Association (PRMIA). She is the author of a new four-volume text on Market Risk Analysis and of the best-selling textbook Market Models, both published by Wiley. She has also been editor of and contributor to a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager’s Handbook (McGraw-Hill, 2008 and PRMIA Publications). Carol has published over 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance.


Recent Publications (see [1] for full list):

Venkatramanan, A. and C. Alexander (2011) ‘Closed-Form Approximations for Spread Options’ Applied Mathematical Finance (forthcoming)

Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2011) ‘Regime-Dependent Smile-Adjusted Delta Hedging’ Journal of Futures Markets (forthcoming)

Alexander, C. and A. Venkatramanan (2011) ‘Analytic Approximations for Multi-Asset Option Pricing’ Mathematical Finance (forthcoming)

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. (2008) In Risk- Management in Commodity Markets: From Shipping to Agriculturals and Energy, H. Geman (ed.), Wiley

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

Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 31:6, 1008 – 1021. Alexander, C. (2008) ‘Moving average models for volatility and correlation.’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley

Alexander, C. (2008) ‘Statistical models of operational loss.’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley

Alexander, C. and A. Venkatramanan (2008) ‘Commodity options.’ In Handbook of Commodity Investing, F.J. Fabozzi, R. Füss and D.G. Kaiser (ed.), Wiley

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. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Finance Theory and Application. (McGraw-Hill)

Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Markets. (McGraw-Hill)

Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Instruments. (McGraw-Hill)

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

A. Yigitsbasioglu 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

Alexander, C. and A. Dimitriu (2006) ‘Rank alpha funds of hedge funds’, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Edited by Greg N. Gregoriou, Elsevier Press

Alexander, C. and A. Dimitriu (2005) ‘Hedge Fund Index Tracking’. In G.N. Gregoriou, G. Hübner, N. Papageorgiou, and F. Rouah (ed.), Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation. John Wiley & Sons, Inc., 165–179

Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61

Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13.

Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25

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

Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63.

Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.

Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12.

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

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

Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 C30 - C33

Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 1, Finance Theory, Instruments and Markets (PRMIA Publications, Illinois)

Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 2, Financial Mathematics (PRMIA Publications, Illinois)

Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 3, Financial Risk Management (PRMIA Publications, Illinois)

Alexander C. and A. Dimitriu (2004), 'The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations', in Intelligent Hedge Fund Investing, Ed. Barry Schachter / Published by RiskBooks.

Alexander, C. and L. Nogueira (2004) ‘Stochastic local volatility’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 136-141

Alexander, C. and E. Lazar (2004) ‘Time aggregation of normal mixture GARCH’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 210-215

Alexander, C. (2004) ‘Principles of the skew’ in Alexander Lipton (ed.) Exotic Options. Risk Publications, 57-64.

Alexander, C. (2004) ‘Correlation in crude oil and natural gas markets’ in Managing Energy Price Risk (3rd Edition) V. Kaminsky (ed.). Risk Publications 573-606

Alexander, C. (2003) ‘Statistical models for operational loss’ in Carol Alexander (ed.), Operational Risk: Regulation, Analysis and Management. Pearson, 129-170

Alexander, C. (2003) ‘Common correlation and calibrating the lognormal forward rate model’ Wilmott (March Issue) 68-78

Alexander, C. (2003) ‘Operational risk aggregation’ in Operational Risk, April

Alexander, C. (2003) Operational Risk: Regulation, Analysis and Management sole editor (FT-Prentice Hall)

Alexander, C. (2003) ‘Managing operational risks with Bayesian networks’ in Carol Alexander (ed.), Operational Risk: Regulation, Analysis and Management. Pearson, 285-295