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Carol Alexander

University of Sussex - School of Business, Management and Economics

Falmer, Brighton BN1 9SL

United Kingdom

http://www.sussex.ac.uk/bam

  • University of Sussex - School of Business, Management and Economics

SCHOLARLY PAPERS

48

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109

Scholarly Papers (48)

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1.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 7,916 (415)
Citation 5

Abstract:

cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy

2.

The Present and Future of Financial Risk Management

ISMA Centre Discussion Paper No. DP2003-12
Number of pages: 25 Posted: 26 Feb 2004
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 3,259 (2,372)
Citation 1

Abstract:

Financial risk assessment, risk control, RAROC, economic capital, regulatory capital, optimal allocation of resources

3.

Bayesian Methods for Measuring Operational Risk

Discussion Papers in Finance 2000-02
Number of pages: 22 Posted: 06 Dec 2000
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 2,698 (3,340)
Citation 5

Abstract:

4.

Understanding ETNs on VIX Futures

Number of pages: 41 Posted: 22 Apr 2012 Last Revised: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 2,492 (2,489)
Citation 2

Abstract:

VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance

5.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 2,437 (3,569)
Citation 5

Abstract:

6.

Common Correlation Structures for Calibrating the LIBOR Model

ISMA Centre Finance Discussion Paper No. 2002-18
Number of pages: 18 Posted: 24 Jun 2002
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 2,163 (4,536)
Citation 3

Abstract:

Calibration, Correlation, Common Principal Component Analysis, LIBOR Model, Log Normal Forward rate Model, Forward Rates, Interest Rate Models

7.

The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

EFMA 2004 Basel Meetings Paper
Number of pages: 38 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 1,857 (5,651)
Citation 7

Abstract:

8.

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

Downloads 1,477 ( 9,300)
Citation 1

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

EFMA 2004 Basel Meetings Paper
Number of pages: 30 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 838 (21,980)
Citation 1

Abstract:

Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

ISMA Centre Working Paper No. DP2003-08
Number of pages: 31 Posted: 27 Jul 2003
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 639 (32,260)
Citation 1

Abstract:

indexing, value strategies, optimisation models, principal component analysis, abnormal returns

9.

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Number of pages: 30 Posted: 02 Apr 2003
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 1,398 (9,638)

Abstract:

index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices

10.

Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk

MAFC Research Paper No. 33
Number of pages: 49 Posted: 21 May 2007 Last Revised: 25 Jul 2008
Carol Alexander and Elizabeth A. Sheedy
University of Sussex - School of Business, Management and Economics and Macquarie University Department of Applied Finance and Actuarial Studies
Downloads 1,381 (9,472)
Citation 3

Abstract:

Value-at-Risk models, stress testing, market risk, exchange rates, GARCH

11.

Hedging with Stochastic Local Volatility

ISMA Centre Discussion Paper No. DP2004-11
Number of pages: 42 Posted: 27 Jul 2004
Carol Alexander and Leonardo M. Nogueira
University of Sussex - School of Business, Management and Economics and Banco Central do Brasil - Foreign Reserves Department
Downloads 1,284 (11,022)
Citation 3

Abstract:

Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dynamics

12.

The Hazards of Volatility Diversification

ICMA Centre Discussion Paper in Finance No. DP2011-04
Number of pages: 24 Posted: 01 Feb 2011 Last Revised: 08 Feb 2011
Carol Alexander and Dimitris Korovilas
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 1,211 (11,201)
Citation 1

Abstract:

Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures

13.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Carol Alexander and Aanand Venkatramanan
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 1,019 (16,174)
Citation 2

Abstract:

Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew

14.

Bivariate Normal Mixture Spread Option Valuation

ISMA Centre Discussion Papers in Finance No. DP2003-15
Number of pages: 28 Posted: 01 Mar 2004
Carol Alexander and Andrew Scourse
University of Sussex - School of Business, Management and Economics and ABN AMRO
Downloads 961 (18,046)
Citation 5

Abstract:

Spread option, implied correlation, bivariate normal mixture density

15.

Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices

ICMA Centre Discussion Paper No. DP2006-08
Number of pages: 27 Posted: 05 Sep 2006
Carol Alexander and Andreas Kaeck
University of Sussex - School of Business, Management and Economics and ICMA Centre, Henley Business School, University of Reading, UK
Downloads 869 (19,956)
Citation 1

Abstract:

iTraxx, Credit Default Swap Index, Markov Switching, Credit Spreads

16.

Detecting Switching Strategies in Equity Hedge Funds

ISMA Centre Finance Discussion Paper No. DP2005-07
Number of pages: 11 Posted: 24 Apr 2005
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 813 (21,961)
Citation 3

Abstract:

Equity Hedge Funds, Markov Switching, Regimes

17.

Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling

ISMA Centre Finance Discussion Paper No. 2004-06
Number of pages: 83 Posted: 23 Jun 2004
Carol Alexander and Emese Lazar
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 786 (23,606)
Citation 11

Abstract:

Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models

18.

Is Minimum Variance Hedging Necessary for Equity Indices? A Study of Hedging and Cross-Hedging Exchange Traded Funds

ICMA Centre Finance Discussion Paper No. 2005-16
Number of pages: 31 Posted: 18 Dec 2005
Carol Alexander and Andreza Barbosa
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 772 (23,306)
Citation 1

Abstract:

Exchange Traded Fund, Hedging, Minimum Variance, Utility

19.

Stochastic Local Volatility

Number of pages: 25 Posted: 25 Mar 2008
Carol Alexander and Leonardo M. Nogueira
University of Sussex - School of Business, Management and Economics and Banco Central do Brasil - Foreign Reserves Department
Downloads 770 (21,804)
Citation 3

Abstract:

Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics

20.

On the Aggregation of Firm-Wide Market and Credit Risks

ISMA Centre Discussion Paper No. DP2003-13
Number of pages: 28 Posted: 26 Feb 2004
Carol Alexander and Jacques Pezier
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 646 (29,504)
Citation 6

Abstract:

Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital

21.

Diversification of Equity with VIX Futures: Personal Views and Skewness Preference

Number of pages: 34 Posted: 24 Mar 2012 Last Revised: 19 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 642 (32,548)
Citation 3

Abstract:

Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs

22.

Value-at-Risk Model Risk

Number of pages: 24 Posted: 09 Feb 2011
Carol Alexander and José María Sarabia
University of Sussex - School of Business, Management and Economics and University of Cantabria - Department of Economics
Downloads 612 (30,043)
Citation 16

Abstract:

Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR

23.

Analytic Approximations for Multi-Asset Option Pricing

Downloads 585 ( 36,867)
Citation 1

Analytic Approximations for Multi-Asset Option Pricing

ICMA Centre Discussion Papers in Finance DP2009-05
Number of pages: 44 Posted: 25 Jun 2009 Last Revised: 16 Aug 2010
Carol Alexander and Aanand Venkatramanan
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 585 (36,308)
Citation 1

Abstract:

basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation

Analytic Approximations for Multi‐Asset Option Pricing

Mathematical Finance, Vol. 22, Issue 4, pp. 667-689, 2012
Number of pages: 23 Posted: 23 Aug 2012
Carol Alexander and Aanand Venkatramanan
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 0
Citation 1
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Abstract:

basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation

24.

The Spider in the Hedge

ISMA Centre Finance Discussion Paper No. DP2005-05
Number of pages: 34 Posted: 24 Apr 2005
Carol Alexander and Andreza Barbosa
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 583 (35,767)
Citation 2

Abstract:

Exchange traded fund, hedging, futures, basis risk

25.

Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model

ISMA Centre Finance Discussion Paper No. 2003-06
Number of pages: 23 Posted: 08 Jun 2003
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 462 (48,627)
Citation 1

Abstract:

Local Volatility, Stochastic Volatility, Smile Consistent Models, Term Structure of Option Prices, Normal Variance Mixtures

26.

Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models

Number of pages: 38 Posted: 01 Aug 2005
Carol Alexander and Leonardo M. Nogueira
University of Sussex - School of Business, Management and Economics and Banco Central do Brasil - Foreign Reserves Department
Downloads 461 (46,851)
Citation 3

Abstract:

Scale-invariant volatility models, optimal hedging, pricing and hedging of options, minimum variance hedge ratios

27.

Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices

University of Reading Working Paper No. 2000-06
Number of pages: 23 Posted: 27 Nov 2000
Carol Alexander
University of Sussex - School of Business, Management and Economics
Downloads 426 (50,095)
Citation 3

Abstract:

28.

On the Continuous Limit of GARCH

ICMA Centre Discussion Paper No. DP2005-13
Number of pages: 20 Posted: 27 Jul 2004
Carol Alexander and Emese Lazar
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 385 (56,828)
Citation 1

Abstract:

GARCH diffusion, stochastic volatility, time aggregation, continuous limit

29.

Symmetric Normal Mixture GARCH

EFMA 2004 Basel Meetings Paper
Number of pages: 47 Posted: 10 May 2004
Emese Lazar and Carol Alexander
University of Reading - ICMA Centre and University of Sussex - School of Business, Management and Economics
Downloads 366 (63,008)
Citation 3

Abstract:

volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models

30.

ROM Simulation: Applications to Stress Testing and VaR

Number of pages: 24 Posted: 01 May 2012 Last Revised: 28 May 2012
Carol Alexander and Dan Ledermann
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 305 (71,520)

Abstract:

random orthogonal matrix, value-at-risk, stressed VaR, Basel II, market risk capital

31.

A General Approach to Real Option Valuation with Application to Real Estate Investments

University of Reading, ICMA Centre Discussion Paper No. DP2012-04
Number of pages: 43 Posted: 25 Jan 2012 Last Revised: 28 Feb 2013
Carol Alexander and Xi Chen
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 247 (86,810)

Abstract:

CARA, CRRA, certain equivalent, development, divestment, displaced log utility, exponential utility, HARA, investment, mean-reversion, property boom, real option, risk aversion, risk tolerance

32.

An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

ISMA Centre Discussion Papers in Finance Paper No. 2004-08
Number of pages: 42 Posted: 22 Jun 2004
Ali Bora Yigitbasioglu and Carol Alexander
University of Reading - ICMA Centre and University of Sussex - School of Business, Management and Economics
Downloads 244 (100,251)

Abstract:

Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty

33.

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Energy Economics, Vol. 36, No. 1, 2013
Number of pages: 26 Posted: 16 Jan 2012 Last Revised: 29 Dec 2013
Carol Alexander, Marcel Prokopczuk and Anannit Sumawong
University of Sussex - School of Business, Management and Economics, Leibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 203 (112,567)

Abstract:

Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

34.

Model Risk Adjusted Hedge Ratios

Number of pages: 27 Posted: 09 May 2010
Carol Alexander, Andreas Kaeck and Leonardo M. Nogueira
University of Sussex - School of Business, Management and Economics, affiliation not provided to SSRN and Banco Central do Brasil - Foreign Reserves Department
Downloads 199 (114,079)
Citation 1

Abstract:

delta hedge, model risk

35.

Regime-Dependent Smile-Adjusted Delta Hedging

ICMA Centre Discussion Paper in Finance No. DP2010-10
Number of pages: 24 Posted: 19 Sep 2010 Last Revised: 30 Apr 2011
Carol Alexander, Alexander Rubinov, Markus Kalepky and Stamatis Leontsinis
University of Sussex - School of Business, Management and Economics, Technical University Munich, Technical University Munich and RWC Asset Management
Downloads 194 (106,366)

Abstract:

Delta-hedging, smile-adjustment, Black-Scholes-Merton, stickymodels, FTSE 100 options, Markov switching, principal components

36.

Model Risk in Variance Swap Rates

ICMA Centre Discussion Papers in Finance No. DP2011-10
Number of pages: 25 Posted: 01 Jun 2011 Last Revised: 17 Jun 2011
Carol Alexander and Stamatis Leontsinis
University of Sussex - School of Business, Management and Economics and RWC Asset Management
Downloads 171 (135,782)

Abstract:

Model Risk, Variance Swap, Volatility Index, VIX, FTSE 100, VFTSE

37.

Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options

Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Number of pages: 26 Posted: 04 Jun 2010
Carol Alexander and Andreas Kaeck
University of Sussex - School of Business, Management and Economics and ICMA Centre, Henley Business School, University of Reading, UK
Downloads 166 (139,238)

Abstract:

Hedging, European Options, Stochastic Volatility Models, Heston, Smile Adjustments

38.

Generalized Beta-Generated Distributions

University of Reading ICMA Centre Finance Discussion Paper No. DP2010-09
Number of pages: 30 Posted: 29 Jul 2010 Last Revised: 11 Feb 2011
Carol Alexander, Gauss Cordeiro, Edwin Ortega and José María Sarabia
University of Sussex - School of Business, Management and Economics, Universidade Federal de Pernambuco - Departmento de Estatistica, University of Sao Paulo (USP) and University of Cantabria - Department of Economics
Downloads 162 (130,448)
Citation 1

Abstract:

Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull

39.

Analytic Moments for GARCH Processes

ICMA Centre Discussion Papers in Finance DP 2011-07
Number of pages: 59 Posted: 04 Nov 2010 Last Revised: 14 Apr 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex - School of Business, Management and Economics, University of Reading - ICMA Centre and University of Kent, Canterbury - Kent Business School
Downloads 157 (134,379)
Citation 2

Abstract:

approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation

40.

Stochastic Volatility Jump-Diffusions for Equity Index Dynamics

University of Reading Henley Business School ICMA Centre Discussion Paper in Finance No. DP2010-06
Number of pages: 29 Posted: 04 Jun 2010
Andreas Kaeck and Carol Alexander
ICMA Centre, Henley Business School, University of Reading, UK and University of Sussex - School of Business, Management and Economics
Downloads 109 (180,086)
Citation 1

Abstract:

Equity Indices, Jump-Diffusions, Generalized Autoregressive Conditional Heteroscedasticity

41.

Exact Moment Simulation Using Random Orthogonal Matrices

ICMA Centre Discussion Papers in Finance DP 2009-09
Number of pages: 30 Posted: 03 Sep 2009 Last Revised: 06 May 2010
Carol Alexander, Walter Ledermann and Dan Ledermann
University of Sussex - School of Business, Management and Economics, affiliation not provided to SSRN and University of Reading - ICMA Centre
Downloads 103 (204,057)

Abstract:

simulation, L-matrices, multivariate moments, value-at-risk

42.

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

ICMA Centre Discussion Papers in Finance DP 2011-08
Number of pages: 28 Posted: 13 May 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex - School of Business, Management and Economics, University of Reading - ICMA Centre and University of Kent, Canterbury - Kent Business School
Downloads 98 (201,450)

Abstract:

GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall

43.

Risk-Adjusted Valuation of the Real Option to Invest

Number of pages: 30 Posted: 01 Mar 2013 Last Revised: 10 Mar 2015
Carol Alexander, Xi Chen and Charles W.R. Ward
University of Sussex - School of Business, Management and Economics, University of Reading - ICMA Centre and University of Reading
Downloads 72 (245,706)

Abstract:

Cost of capital, discount rate, hedging, idiosyncratic risk, implied return, required return

44.

ROM Simulation with Random Rotation Matrices

ICMA Centre Discussion Papers in Finance No. DP2011-06
Number of pages: 21 Posted: 12 Apr 2011 Last Revised: 30 Apr 2011
Dan Ledermann and Carol Alexander
University of Reading - ICMA Centre and University of Sussex - School of Business, Management and Economics
Downloads 50 (314,054)

Abstract:

Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation

45.

Modelling Regime-Specific Stock Price Volatility

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 6, pp. 761-797, December 2009
Number of pages: 37 Posted: 20 Oct 2009
Carol Alexander and Emese Lazar
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre
Downloads 2 (536,982)
Citation 2
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Abstract:

46.

Trading and Investing in Volatility Products

Financial Markets, Institutions & Instruments, Vol. 24, Issue 4, pp. 313-347, 2015
Number of pages: 35 Posted: 13 Oct 2015
Carol Alexander, Julia Kapraun and Dimitris Korovilas
University of Sussex - School of Business, Management and Economics, WHU - Otto Beisheim School of Management and University of Reading - ICMA Centre
Downloads 0 (560,519)
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Abstract:

VIX, VSTOXX, volatility futures, volatility ETPs, roll yield

47.

Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics

European Financial Management, Vol. 19, Issue 3, pp. 470-496, 2013
Number of pages: 27 Posted: 05 Jun 2013
Andreas Kaeck and Carol Alexander
ICMA Centre, Henley Business School, University of Reading, UK and University of Sussex - School of Business, Management and Economics
Downloads 0 (560,519)
Citation 1
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Abstract:

equity indices, jump‐diffusions, generalised autoregressive conditional heteroscedasticity, GARCH, Markov chain Monte Carlo, MCMC

48.

Volatility Exchange-Traded Notes: Curse or Cure?

Posted: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex - School of Business, Management and Economics and University of Reading - ICMA Centre

Abstract:

Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure

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