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Alexander, Carol's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
38,117 |
Total
Citations
103 |
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1.
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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6,902
(295)
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5
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cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy
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2.
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Alexander, Carol
University of Reading - ICMA Centre
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2,924
(1,427)
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1
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Financial risk assessment, risk control, RAROC, economic capital, regulatory capital, optimal allocation of resources
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3.
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Alexander, Carol
University of Reading - ICMA Centre
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2,285
(2,252)
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5
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4.
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Alexander, Carol
University of Reading - ICMA Centre
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2,211
(2,385)
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5
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5.
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Alexander, Carol
University of Reading - ICMA Centre
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1,993
(2,844)
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3
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Calibration, Correlation, Common Principal Component Analysis, LIBOR Model, Log Normal Forward rate Model, Forward Rates, Interest Rate Models
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6.
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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1,705
(3,714)
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6
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7.
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Alexander, Carol
University of Reading - ICMA Centre Korovilas, Dimitris
University of Reading - ICMA Centre
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22 Apr 12
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Last Revised:
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20 May 12
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1,453
(4,948)
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1
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VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance
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8.
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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1,306
(5,944)
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index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices
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9.
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Alexander, Carol
University of Reading - ICMA Centre Sheedy, Elizabeth A.
Macquarie University Department of Applied Finance and Actuarial Studies
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21 May 07
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Last Revised:
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25 Jul 08
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1,268
(6,261)
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3
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Value-at-Risk models, stress testing, market risk, exchange rates, GARCH
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10.
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Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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Posted:
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27 Jul 03
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Last Revised:
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11 Jun 04
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1,264
(6,291)
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1
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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674
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1
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Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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590
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1
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indexing, value strategies, optimisation models, principal component analysis, abnormal returns
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11.
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Alexander, Carol
University of Reading - ICMA Centre Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
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1,234
(6,528)
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2
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Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dynamics
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12.
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Alexander, Carol
University of Reading - ICMA Centre Korovilas, Dimitris
University of Reading - ICMA Centre
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01 Feb 11
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Last Revised:
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08 Feb 11
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1,007
(9,192)
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1
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Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures
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13.
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Alexander, Carol
University of Reading - ICMA Centre Venkatramanan, Aanand
University of Reading - ICMA Centre
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| Posted: |
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06 Sep 07
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Last Revised:
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26 Jun 09
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959
(9,906)
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2
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Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew
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14.
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Alexander, Carol
University of Reading - ICMA Centre Scourse, Andrew
ABN AMRO
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939
(10,240)
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5
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Spread option, implied correlation, bivariate normal mixture density
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15.
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Alexander, Carol
University of Reading - ICMA Centre Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
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825
(12,552)
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2
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iTraxx, Credit Default Swap Index, Markov Switching, Credit Spreads
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16.
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Alexander, Carol
University of Reading - ICMA Centre Dimitriu, Anca
University of Reading - ISMA Centre
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757
(14,303)
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3
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Equity Hedge Funds, Markov Switching, Regimes
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17.
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Alexander, Carol
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre
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744
(14,627)
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12
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Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models
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18.
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Alexander, Carol
University of Reading - ICMA Centre Barbosa, Andreza
University of Reading - ICMA Centre
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718
(15,438)
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Exchange Traded Fund, Hedging, Minimum Variance, Utility
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19.
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Alexander, Carol
University of Reading - ICMA Centre Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
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665
(17,246)
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2
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Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics
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20.
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Alexander, Carol
University of Reading - ICMA Centre Pezier, Jacques
University of Reading - ICMA Centre
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595
(20,201)
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6
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Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital
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21.
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Alexander, Carol
University of Reading - ICMA Centre Barbosa, Andreza
University of Reading - ICMA Centre
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553
(22,300)
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2
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Exchange traded fund, hedging, futures, basis risk
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22.
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Analytic Approximations for Multi‐Asset Option Pricing
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Alexander, Carol
University of Reading - ICMA Centre Venkatramanan, Aanand
University of Reading - ICMA Centre
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Posted:
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25 Jun 09
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Last Revised:
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23 Aug 12
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517
(24,458)
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1
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Alexander, Carol
University of Reading - ICMA Centre Venkatramanan, Aanand
University of Reading - ICMA Centre
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0
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1
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basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation
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Alexander, Carol
University of Reading - ICMA Centre Venkatramanan, Aanand
University of Reading - ICMA Centre
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| Posted: |
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25 Jun 09
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Last Revised:
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16 Aug 10
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517
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1
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basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation
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23.
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Alexander, Carol
University of Reading - ICMA Centre Korovilas, Dimitris
University of Reading - ICMA Centre
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493
(25,959)
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Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure
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24.
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Alexander, Carol
University of Reading - ICMA Centre Sarabia, José María
University of Cantabria - Department of Economics
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487
(26,420)
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16
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Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR
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25.
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Alexander, Carol
University of Reading - ICMA Centre
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448
(29,488)
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1
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Local Volatility, Stochastic Volatility, Smile Consistent Models, Term Structure of Option Prices, Normal Variance Mixtures
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26.
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Alexander, Carol
University of Reading - ICMA Centre Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
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425
(31,562)
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2
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Scale-invariant volatility models, optimal hedging, pricing and hedging of options, minimum variance hedge ratios
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27.
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Alexander, Carol
University of Reading - ICMA Centre
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407
(33,375)
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3
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28.
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Alexander, Carol
University of Reading - ICMA Centre Korovilas, Dimitris
University of Reading - ICMA Centre
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| Posted: |
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24 Mar 12
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Last Revised:
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19 May 12
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375
(36,931)
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2
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Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs
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29.
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Alexander, Carol
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre
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363
(38,405)
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1
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GARCH diffusion, stochastic volatility, time aggregation, continuous limit
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30.
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Lazar, Emese
University of Reading - ICMA Centre Alexander, Carol
University of Reading - ICMA Centre
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351
(40,035)
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3
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volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models
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31.
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Alexander, Carol
University of Reading - ICMA Centre Ledermann, Dan
University of Reading - ICMA Centre
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| Posted: |
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01 May 12
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Last Revised:
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28 May 12
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245
(60,579)
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random orthogonal matrix, value-at-risk, stressed VaR, Basel II, market risk capital
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32.
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Yigitbasioglu, Ali Bora
University of Reading - ICMA Centre Alexander, Carol
University of Reading - ICMA Centre
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236
(63,081)
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Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty
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33.
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Alexander, Carol
University of Reading - ICMA Centre Chen, Xi
University of Reading - ICMA Centre
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| Posted: |
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25 Jan 12
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Last Revised:
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28 Feb 13
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155
(95,190)
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CARA, CRRA, certain equivalent, development, divestment, displaced log utility, exponential utility, HARA, investment, mean-reversion, property boom, real option, risk aversion, risk tolerance
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34.
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Alexander, Carol
University of Reading - ICMA Centre Prokopczuk, Marcel
Zeppelin University - Institute of Corporate Management & Economics Sumawong, Anannit
University of Sussex
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| Posted: |
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16 Jan 12
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Last Revised:
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19 Nov 12
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155
(95,190)
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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge
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35.
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Alexander, Carol
University of Reading - ICMA Centre Kaeck, Andreas
affiliation not provided to SSRN Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
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150
(98,010)
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1
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delta hedge, model risk
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36.
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Alexander, Carol
University of Reading - ICMA Centre Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
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149
(98,598)
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Hedging, European Options, Stochastic Volatility Models, Heston, Smile Adjustments
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37.
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Alexander, Carol
University of Reading - ICMA Centre Leontsinis, Stamatis
University of Reading - ICMA Centre
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| Posted: |
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01 Jun 11
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Last Revised:
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17 Jun 11
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143
(102,206)
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Model Risk, Variance Swap, Volatility Index, VIX, FTSE 100, VFTSE
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38.
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Alexander, Carol
University of Reading - ICMA Centre Rubinov, Alexander
Technical University Munich Kalepky, Markus
Technical University Munich Leontsinis, Stamatis
University of Reading - ICMA Centre
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| Posted: |
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19 Sep 10
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Last Revised:
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30 Apr 11
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135
(107,298)
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Delta-hedging, smile-adjustment, Black-Scholes-Merton, stickymodels, FTSE 100 options, Markov switching, principal components
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39.
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Alexander, Carol
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre Stanescu, Silvia
University of Kent, Canterbury - Kent Business School
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| Posted: |
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04 Nov 10
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Last Revised:
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14 Apr 11
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115
(122,167)
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2
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approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation
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40.
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Alexander, Carol
University of Reading - ICMA Centre Cordeiro, Gauss
Universidade Federal de Pernambuco - Departmento de Estatistica Ortega, Edwin
University of Sao Paulo (USP) Sarabia, José María
University of Cantabria - Department of Economics
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| Posted: |
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29 Jul 10
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Last Revised:
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11 Feb 11
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105
(130,739)
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1
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Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull
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41.
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Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK Alexander, Carol
University of Reading - ICMA Centre
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83
(152,934)
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1
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Equity Indices, Jump-Diffusions, Generalized Autoregressive Conditional Heteroscedasticity
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42.
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Alexander, Carol
University of Reading - ICMA Centre Ledermann, Walter
affiliation not provided to SSRN Ledermann, Dan
University of Reading - ICMA Centre
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| Posted: |
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03 Sep 09
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Last Revised:
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06 May 10
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83
(155,267)
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simulation, L-matrices, multivariate moments, value-at-risk
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43.
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Alexander, Carol
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre Stanescu, Silvia
University of Kent, Canterbury - Kent Business School
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70
(169,475)
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GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall
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44.
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Alexander, Carol
University of Reading - ICMA Centre Bell, Adrian R.
University of Reading - ICMA Centre Brooks, Chris
University of Reading - ICMA Centre Moore, Tony
University of Reading - ICMA Centre
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47
(206,167)
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Medieval trade, sovereign borrowing, Flemish merchants, evolutionary dynamics, expected utility
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45.
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Ledermann, Dan
University of Reading - ICMA Centre Alexander, Carol
University of Reading - ICMA Centre
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| Posted: |
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12 Apr 11
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Last Revised:
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30 Apr 11
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37
(226,428)
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Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation
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46.
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Alexander, Carol
University of Reading - ICMA Centre Chen, Xi
University of Reading - ICMA Centre Ward , Charles W.R.
University of Reading
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34
(233,387)
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real option, decision making, investment opportunity, geometric Brownian motion, abandonment option, discounted cash flow, marketed asset disclaimer, change of measure, lease, rental value, market utility, risk tolerance, risk aversion
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47.
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Alexander, Carol
University of Reading - ICMA Centre Lazar, Emese
University of Reading - ICMA Centre
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2
(336,111)
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2
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