Carol Alexander

MaRDI QIDQ434969zbMATH OpenDBLPORCIDWikidataFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Crypto quanto and inverse options Mathematical Finance	2024-01-31	Paper
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios Quantitative Finance	2023-06-20	Paper
Delta hedging bitcoin options with a smile Quantitative Finance	2023-06-20	Paper
The Role of Binance in Bitcoin Volatility Transmission Applied Mathematical Finance	2023-02-28	Paper
Hedging with automatic liquidation and leverage selection on bitcoin futures European Journal of Operational Research	2022-12-19	Paper
The continuous limit of weak GARCH Econometric Reviews	2022-03-04	Paper
The continuous limit of weak GARCH Econometric Reviews	2022-03-04	Paper
Targeting Kollo skewness with random orthogonal matrix simulation European Journal of Operational Research	2022-02-23	Paper
Model risk in real option valuation Annals of Operations Research	2021-11-08	Paper
A general property for time aggregation European Journal of Operational Research	2021-06-07	Paper
Bivariate normal mixture spread option valuation Quantitative Finance	2019-01-15	Paper
Arithmetic variance swaps Quantitative Finance	2018-11-19	Paper
A parsimonious parametric model for generating margin requirements for futures European Journal of Operational Research	2018-10-30	Paper
Analytic approximations for multi-asset option pricing Mathematical Finance	2013-05-14	Paper
Further properties of random orthogonal matrix simulation Mathematics and Computers in Simulation	2013-03-13	Paper
Generalized beta-generated distributions Computational Statistics and Data Analysis	2012-07-16	Paper
Closed form approximations for spread options Applied Mathematical Finance	2012-06-08	Paper
Random orthogonal matrix simulation Linear Algebra and its Applications	2011-03-04	Paper
Model-free price hedge ratios for homogeneous claims on tradable assets Quantitative Finance	2007-12-19	Paper
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY International Journal of Theoretical and Applied Finance	2006-08-14	Paper
The Kalai-Smorodinsky Bargaining Solution in Wage Negotiations The Journal of the Operational Research Society	1993-01-16	Paper

Research outcomes over time

This page was built for person: Carol Alexander