Falmer, Brighton BN1 9SL
United Kingdom
http://www.carolalexander.org
University of Sussex Business School
Peking University HSBC Business School
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cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy
VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance
Financial risk assessment, risk control, RAROC, economic capital, regulatory capital, optimal allocation of resources
Calibration, Correlation, Common Principal Component Analysis, LIBOR Model, Log Normal Forward rate Model, Forward Rates, Interest Rate Models
Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance
indexing, value strategies, optimisation models, principal component analysis, abnormal returns
Value-at-Risk models, stress testing, market risk, exchange rates, GARCH
index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices
Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures
Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dynamics
Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew
Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics
bitcoin, BitMEX, market efficiency, price discovery, spillover
Spread option, implied correlation, bivariate normal mixture density
iTraxx, Credit Default Swap Index, Markov Switching, Credit Spreads
Equity Hedge Funds, Markov Switching, Regimes
Exchange Traded Fund, Hedging, Minimum Variance, Utility
Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models
Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR
Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs
Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital
basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation
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basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation
Cryptocurrency, Derivatives, Futures, Implied Volatility, Options, Realised Volatility, Fear Gauge, VXBT
Exchange traded fund, hedging, futures, basis risk
Bitcoin Reference Rate (BRR); Coinbase; Kraken; BitStamp; Gemini
Scale-invariant volatility models, optimal hedging, pricing and hedging of options, minimum variance hedge ratios
Cryptocurrency, Market Beta, Markov Switching GARCH, Price Data, Volatility
Local Volatility, Stochastic Volatility, Smile Consistent Models, Term Structure of Option Prices, Normal Variance Mixtures
GARCH diffusion, stochastic volatility, time aggregation, continuous limit
volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models
Delta-hedging, smile-adjustment, Black-Scholes-Merton, stickymodels, FTSE 100 options, Markov switching, principal components
random orthogonal matrix, value-at-risk, stressed VaR, Basel II, market risk capital
Bitcoin ETF, Exchange-Traded Funds, Hedging, Information Shares, Impulse Response, Speculation, Manipulation
delta hedge, model risk
Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty
BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps
Hedging, Crack Spread, GARCH, Minimum-Variance Hedge
approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation
Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull
Model Risk, Variance Swap, Volatility Index, VIX, FTSE 100, VFTSE
Hedging, European Options, Stochastic Volatility Models, Heston, Smile Adjustments
Equity Indices, Jump-Diffusions, Generalized Autoregressive Conditional Heteroscedasticity
GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall
simulation, L-matrices, multivariate moments, value-at-risk
Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation
Cryptocurrency, Futures Hedging, Leverage, Perpetual Swap, Extreme Value Theorem
File name: obes.pdf Size: 940K
File name: FMII.pdf Size: 0K
VIX, VSTOXX, volatility futures, volatility ETPs, roll yield
File name: eufm613.pdf Size: 253K
equity indices, jump‐diffusions, generalised autoregressive conditional heteroscedasticity, GARCH, Markov chain Monte Carlo, MCMC
Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure
