See sub-menu on left for downloadable versions, and my CV for complete list.

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)

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

Venkatramanan, A. and C. Alexander ‘Closed-form approximations for spread options’ Applied Mathematical Finance (DOI: 10.1080/1350486X.2011.567120)

Alexander, C. and A. Venkatramanan ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance (DOI: 10.1111/j.1467-9965.2011.00481.x)

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

Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2011) ‘Regime-dependent smile-adjusted delta hedging’ Journal of Futures Markets 32(2) 202-229

Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467

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

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

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   

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

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

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

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

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

Yigitsbasioglu, A. 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  

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

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

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

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

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

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

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

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

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   

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   

Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’  Quantitative Finance, 4:3 C30 - C33   

Alexander, C. (2002) ‘Principal component models for generating large covariance matrices’ Review of Banking, Finance and Monetary Economics, Economic Notes, 31:2, 337-359   

Alexander, C., I. Giblin and W. Weddington (2002) ‘Cointegration and asset allocation: a new active hedge fund strategy’ Research in International Business and Finance, 16, 65-90.   

Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196

Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058   

Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62

Alexander, C. and I. Giblin (1996) ‘Multivariate embedding methods: forecasting high-frequency data in the first INFFC’ Journal of Computational Intelligence in Finance 5:6 17-24   

Alexander, C. and W. Ledermann (1996) ‘Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm/union negotiations’ Oxford Economic Papers 48:2 1-11   

Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146   

Alexander, C. (1996) ‘Evaluating the use of RiskMetricsä as a risk measurement tool for your operation’ Derivatives: Use Trading and Regulation 2:3 277-285

Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93

Alexander, C. (1995) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10.    

Alexander, C. and J. Wyeth (1994) ‘Cointegration and market integration: an application to the Indonesian rice market’ Journal of Development Studies 30:2 303-308    

Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689

Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958    

Alexander, C. (1993) ‘The changing relationship between productivity, wages and unemployment in the U.K.’ Oxford Bulletin of Economics and Statistics 55:1 87-102

Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453

Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34

Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786   

Alexander, C. (1988) ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293

Alexander, C. (1987) ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284

Alexander, C. and W. Ledermann (1985) ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371

 

BOOKS

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

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

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

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

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

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

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

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

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

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

Alexander, C. (2003) Operational Risk: Regulation, Analysis and Management  sole editor (FT-Prentice Hall)

Alexander, C. (2001) Market Models: A Guide to Financial Data Analysis. Wiley

Alexander, C. (2001) Mastering Risk Volume II sole editor (FT-Prentice Hall)

Alexander, C. (2000) Visions of Risk sole editor (FT-Prentice Hall)

Alexander, C. (1998) Risk Management and Analysis Volume I: Measuring and Modelling Financial Risk sole editor (Wiley)

Alexander, C. (1998) Risk Management and Analysis Volume II: New Markets and Products  sole editor (Wiley)

Alexander, C. (1996) The Handbook of Risk Management and Analysis  sole editor (Wiley)

Alexander, C. (1980-1990) The Handbook of Applicable Mathematics assistant editor Vols I – V and co-editor Vol VI (Wiley)