Research

My research spans mathematical, quantitative and statistical finance and financial econometrics. I like to work with junior colleagues, often PhD students, in a research leader role. Profiles of my PhD students can be found here http://www.carolalexander.org/phd_students.php. My papers tend to focus on new theoretical developments, usually but not always accompanied by some empirical work.

I have worked on volatility for most of my career as a finance academic, from the discrete and continuous time perspectives. Here the main financial applications that I consider are to risk management, especially to hedging options or hedging with futures and to market risk assessment.

Another on-going theme of my research is to exchange-traded products with derivative-type characteristics. I have developed high-frequency pricing and hedging models that are patented and now used by market makers on the New York Stock Exchange. More recent work in this area focusses on volatility exchange-traded products.

Trading strategies for hedge funds has been another long-standing interest. I consult quite often in this area and some of the models that I have designed have formed the basis of popular strategies in the long-short equity category, for instance:

Alexander, Carol (1999) Optimal hedging using co-integration. Philosophical Transactions of the Royal Society  A, 357 (1758). pp. 2039-2058.

Recently I have been working on developing new simulation models. Here the only work published to date introduces Random Orthogonal Matrix (ROM) simulation. The first of these papers is co-authored with my PhD supervisor Walter Ledermann and his grandson Daniel, who was my PhD student at the time. It was published on the centenary of Walter’s birth:

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

Another fairly recent interest is in the area of real options and game options and I hope to publish several methodological papers here in the near future. Some of my work (such as recent developments in data-snooping) remains unpublished because it is used as the basis for proprietary trading.

SSRN author page: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=249448

Google Scholar profile: http://scholar.google.co.uk/citations?user=OTfbBkAAAAAJ&hl=en&oi=ao

Personal research pages: http://www.carolalexander.org/research.php