SHORT Vitae – Professor Carol Alexander

 

A             Personal

 

Education and Qualifications

1976                     B.Sc. (Sussex) in Mathematics with Experimental Psychology (First Class)

1980                     Ph.D. (Sussex) in Algebraic Number Theory (Supervisor – Prof. Walter Ledermann)

1985                     M.Sc. (LSE) in Mathematical Economics and Econometrics

 

Previous Appointments

1977 – 1978      Editor, John Wiley (one-year, interim PhD research)

1981 – 1982      Postdoctoral Research Fellow, University of Amsterdam

1982 – 1983      Bond Analyst, UBS Phillips and Drew, London

1983 – 1985      Part-Time Teaching and Research Assistant, London School of Economics

1985 – 1996      Lecturer in Mathematics and Economics, University of Sussex

1996 – 1998      Lecturer in Mathematics, University of Sussex (Part-Time)

1996 – 1998      Academic Director, Algorithmics Inc., London (Part-Time)

1998                     Director, Head of Market Risk Modelling, Nikko Securities, London

2000 – 2008      Director of Research, ICMA Centre

1999 –  now       Chair of Financial Risk Management, ICMA Centre

 

b             prmia

Voluntary activities with the Professional Risk Managers’ International Association

 

2002 – 2009      Chair of the Academic Advisory Council

2009                     Elected to Board Member

2009 – 2011      Chair of Publications Subcommittee

2009 – now       Member of Education Committee

2010 – now       Chair of Board

 

C             Consultancy

1990 - 1991       First generation GARCH models, Hill Samuel Bank, London

1992                     Volatility trading models, Equitable House Investments, London

1994 - 2003       Hedge-fund software design, Pennoyer Capital Management, New York

1996 - 1997       Spot-futures arbitrage models, EDF Man, London

1996                     Internal VaR model implementation, Shell Pension Fund, Den Haag, Holland

1997 - 1998       Orthogonal GARCH models, Robert Fleming, London

1998 - 1999       Academic Director, Algorithmics Inc., Toronto

2003 - 2006       Expert witness, Richards Butler, London

2009                     VaR model design, Credit Agricole Asset Management, London

 

D            Research GRANTS

1981                     Leverhulme post-doctoral research grant, University of Amsterdam

1986                     Nuffield award for new lecturers in science, University of Sussex

1994                     ESRC grant for time series analysis in financial markets

2003                     FDMR grant for research into hedge funds

2003                     British Academy grant with Simon Burke, Henley Business School

2003                     International Financial Risk Institute Award

2005                     Australian Prudential Regulatory Authority grant with Elizabeth Sheedy, Macquarie

2008                     Europlace Institute of Finance grant with Steve Ohana, ESCP-EAP

 

RECENT Publications (See full CV for complete list and here for pdfs)

 

1.       Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia. Generalized beta generated distributions. Computational Statistics and Data Analysis (DOI: 10.1016/j.csda.2011.11.015)

2.       Alexander, C. and A. Kaeck (2011) ‘Does model fit matter for hedging? Evidence from FTSE 100 options’ Journal of Futures Markets (DOI: 10.1002/fut.20537)

3.       Kaeck, A. and C. Alexander (2011) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management (DOI: 10.1111/j.1468-036X.2011.00613.x)

4.       Venkatramanan, A. and C. Alexander (2011) ‘Closed-Form Approximations for Spread Options’ Applied Mathematical Finance (DOI: 10.1080/1350486X.2011.567120)

5.       Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2011) ‘Regime-Dependent Smile-Adjusted Delta Hedging’ Journal of Futures Markets (DOI: 10.1002/fut.20517)

6.       Alexander, C. and A. Venkatramanan (2011) ‘Analytic Approximations for Multi-Asset Option Pricing’ Mathematical Finance (DOI: 10.1111/j.1467-9965.2011.00481.x)

7.          Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random Orthogonal Matrix Simulation’ Linear Algebra and its Applications 434, 1444-1467

8.          Alexander, C. and E. Lazar (2009)  ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 - 797

9.          Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045

10.      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

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

12.      Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.

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

14.      Alexander, C. (2008) ‘Moving average models for volatility and correlation.’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley

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

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

17.      Alexander, C. (2008) Market Risk Analysis, Volume I: Quantitative Methods in Finance. Wiley

18.      Alexander, C. (2008) Market Risk Analysis, Volume II: Practical Financial Econometrics. Wiley

19.      Alexander, C. (2008) Market Risk Analysis, Volume III: Pricing, Hedging and Trading Financial Instruments. Wiley

20.      Alexander, C. (2008) Market Risk Analysis, Volume IV: Value at Risk Models. Wiley

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

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

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

24.      Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.

25.      Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 - 59

26.      Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’  Journal of Banking and Finance, 31:6, 1839-1861

27.       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

28.      Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336

29.      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

30.       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

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

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

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

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

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

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

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

38.      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

39.      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

40.      Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’  Quantitative Finance, 4:3 30 - 33

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

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

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

44.      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, Risk Publications

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

46.      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

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

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