Details about Carol Alexander

Access statistics for papers by Carol Alexander.

Last updated 2012-12-05. Update your information in the RePEc Author Service.

Short-id: pal264

Working Papers

2009

1. Analytic Approximations for Multi-Asset Option Pricing
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
2. Analytic Approximations for Spread Options
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2007)
3. Exact Moment Simulation using Random Orthogonal Matrices
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2008

4. Markov Switching GARCH Diffusion
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
5. Stochastic Local Volatility
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (2)

2007

6. Hedging and Cross-hedging ETFs
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
7. Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (2)

2006

8. Hedging Options with Scale-Invariant Models
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
9. Minimum Variance Hedging and Stock Index Market Efficiency
   ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
10. Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2005

11. Detecting Switching Strategies in Equity Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (4)
12. Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
13. The Spider in the Hedge
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (5)

2004

14. A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
15. Hedging with Stochastic and Local Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
16. The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)

2003

17. Bivariate Normal Mixture Spread Option Valuation
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
    See also Journal Article in Quantitative Finance (2004)
18. Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
19. Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
20. Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
21. Statistical Properties of Forward Libor Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)

2001

22. Cointegration and Asset Allocation: A New Fund Strategy
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (1)
23. Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
24. Understanding the Internal Measurement Approach to Assessing Operational Risk Capital
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2000

25. Bayesian Methods for Measuring Operational Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University
26. Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University View citations (3)
27. Principal Component Analysis of Volatility Smiles and Skews
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

1997

28. Seasonal unit roots in trade variables
    Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

1995

29. Seasonal price movements and unit roots in Indonesian rice market integration
    Discussion Papers in Economics, Department of Economics, University of Sussex View citations (2)

1994

30. Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations
    Discussion Papers in Economics, Department of Economics, University of Sussex
    See also Journal Article in Oxford Economic Papers (1996)
31. Cofeatures in international bond and equity markets
    Discussion Papers in Economics, Department of Economics, University of Sussex

1993

32. Common volatility in the foreign exchange market
    Discussion Papers in Economics, Department of Economics, University of Sussex View citations (2)

Journal Articles

2012

1. Does model fit matter for hedging? Evidence from FTSE 100 options
   Journal of Futures Markets, 2012, 32, (7), 609-638
2. Generalized beta-generated distributions
   Computational Statistics & Data Analysis, 2012, 56, (6), 1880-1897
3. Regime‐dependent smile‐adjusted delta hedging
   Journal of Futures Markets, 2012, 32, (3), 203-229
4. Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
   Journal of Banking & Finance, 2012, 36, (11), 3110-3121

2011

5. Closed Form Approximations for Spread Options
   Applied Mathematical Finance, 2011, 18, (5), 447-472 View citations (1)

2009

6. Modelling Regime-Specific Stock Price Volatility
   Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 761-797 View citations (3)

2008

7. Developing a stress testing framework based on market risk models
   Journal of Banking & Finance, 2008, 32, (10), 2220-2236 View citations (9)
8. Hedging index exchange traded funds
   Journal of Banking & Finance, 2008, 32, (2), 326-337 View citations (3)
9. Regime dependent determinants of credit default swap spreads
   Journal of Banking & Finance, 2008, 32, (6), 1008-1021 View citations (20)

2007

10. Model-free hedge ratios and scale-invariant models
    Journal of Banking & Finance, 2007, 31, (6), 1839-1861 View citations (3)
11. Model-free price hedge ratios for homogeneous claims on tradable assets
    Quantitative Finance, 2007, 7, (5), 473-479 View citations (1)

2006

12. Normal mixture GARCH(1,1): applications to exchange rate modelling
    Journal of Applied Econometrics, 2006, 21, (3), 307-336 View citations (24)
13. PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 415-453 View citations (1)

2005

14. Indexing, cointegration and equity market regimes
    International Journal of Finance & Economics, 2005, 10, (3), 213-231 View citations (11)
15. The Present and Future of Financial Risk Management
    Journal of Financial Econometrics, 2005, 3, (1), 3-25 View citations (7)

2004

16. Bivariate normal mixture spread option valuation
    Quantitative Finance, 2004, 4, (6), 637-648
    See also Working Paper (2003)
17. Equity indexing: Optimize your passive investments
    Quantitative Finance, 2004, 4, (3), 30-33
18. Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects
    Journal of Banking & Finance, 2004, 28, (12), 2957-2980 View citations (6)

1996

19. Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations
    Oxford Economic Papers, 1996, 48, (2), 242-53 View citations (2)
    See also Working Paper (1994)

1993

20. The Changing Relationship between Productivity, Wages and Unemployment in the UK
    Oxford Bulletin of Economics and Statistics, 1993, 55, (1), 87-102 View citations (5)

1992

21. Are foreign exchange markets really efficient?
    Economics Letters, 1992, 40, (4), 449-453 View citations (9)