Carol Alexander

Publications

Journal Articles

Alexander, C., Deng, J., Feng, J. and H. Wan (2022) Net Buying Pressure and the Information in Bitcoin Option Trades. Journal of Financial Markets, Forthcoming.

​Alexander, Han, Y. and X. Meng (2022)  Static and Dynamic Models for Multivariate Distribution Forecasts. International Journal of Forecasting, Forthcoming.

Alexander, C., Meng, X. and W. Wei (2022) Targetting Kollo Skewness with Random Orthogonal Matrix Simulation. European Journal of Operational Research, 299, 362 - 376 

 Alexander, C., Coulon, M., Han, Y. and X. Meng (2022) Evaluating the Discrimination Ability of Proper Multi-Variate Scoring Rules.  Annals of Operations Research,  Open Access. 

Alexander, C. and M. Dakos (2022) Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios. SSRN.

Alexander, C. and I. Imeraj (2022) Delta Hedging Bitcoin Options with a Smile. SSRN.

Alexander, C., Deng, J. and B. Zou (2021) Hedging with Bitcoin Futures –The Effect of Liquidation Loss Aversion and Aggressive Trading. ArXiv.

Alexander, C., Heck, D. and A. Kaeck (2021) The Role of Binance in Bitcoin Volatility Transmission. ArXiv.

Alexander, C., Coulon, M., Han, Y. and X. Meng (2021) Evaluating the Discrimination Ability of Proper Multi-Variate Scoring Rules. Annals of Operations Research, In Press.

Alexander, C., Chen, X. and C. Ward (2021) Risk-Adjusted Valuation for Real Option Decisions. Journal of Economic Behaviour and Organisation, In Press.

Alexander C. and X. Chen (2021) Model Risk in Real Option Valuation Annals of Operations Research, 299(1), 1025-1056

Alexander, C. and A. Imeraj (2021) The Bitcoin VIX and its Variance Risk Premium. Journal of Alternative Investments, 23 (4) 84-109

Alexander, C. and J. Rauch (2021) A General Property for Time Aggregation. European Journal of Operational Research, 291(2), 536-548

Alexander, C. and E. Lazar (2021) The Continuous Limit of Weak GARCH. Econometric Reviews 40(2), 197-216

Alexander, C., Lazar, E. and S. Stanescu (2021) Analytic Moments for GARCH Processes. International Journal of Forecasting 37(1), 105-124

Alexander, C. and D. Heck (2020) Price Discovery in Bitcoin: The Impact of Unregulated Markets. Journal of Financial Stability 50, 1-18.

Alexander, C., Choi, J., Massie, H. and S. Sohn (2020) Price Discovery and Microstructure in Ether Spot and Derivatives Markets. International Review of Financial Analysis, 71

Alexander C., Choi, J., Park, H., and S. Sohn (2019) BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness. Journal of Futures Markets, 40(1) 23-43

Alexander C. and M. Dakos (2019) A Critical Investigation of Cryptocurrency Data and Analysis Quantitative Finance, 20(2), 173-188

Alexander C., Kaeck, A. and Sumawong, A. (2019) A Parsimonious Parametric Model for Generating Margin Requirements for Futures European Journal of Operational Research, 273(1), 31-43

Leontsinis, S., and C. Alexander (2017) Arithmetic Variance Swaps Quantitative Finance, 17(4), 551-569.

Alexander, C., Korovilas, D. and J. Kapraun (2016) Diversification with Volatility Products Journal of International Money and Finance, 65, 213-235

Alexander, C., J. Kapraun and Korovilas, D. (2015) Trading and Investing in Volatility Products Financial Markets, Institutions and Instruments, 24(4), 313-347

Alexander, C., Lazar, E. and S. Stanescu (2013) Forecasting VaR using Analytic Higher Moments for GARCH Processes International Review of Financial Analysis 30, 36-45

Kaeck, A. and C. Alexander (2013) Stochastic Volatility Jump-Diffusions for European Equity Index Dynamics. European Financial Management 19(3), 470-496

Alexander, C. and D. Korovilas (2013) Volatility Exchange-Traded Notes: Curse or Cure? Journal of Alternative Investments 15(2), 52-70

Kaeck, A. and C. Alexander (2013) Continuous-time VIX Dynamics: On the Role of Stochastic Volatility of Volatility. International Review of Financial Analysis 28, 45-46

Alexander, C., Propoczuk, M. and A. Sumawong (2013) The (De)merits of MinimumVariance Hedging: Application to the Crack Spread. Energy Economics 36, 698-707

Ledermann, D. and C. Alexander (2012) Further Properties of Random Orthogonal Matrix Simulation. Mathematics and Computers in Simulation 83, 56-79

Kaeck, A. and C. Alexander (2012) Volatility Dynamics for the S&P 500: Further Evidence from Non-affine, Multi-factor Jump Diffusions. Journal of Banking and Finance 36(11), 3110-3121

Alexander, C. and J-M. Sarabia (2012) Quantile Uncertainty and Value-at-Risk. Risk Analysis: An International Journal 32(8), 1293-1308

Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) Generalized BetaGenerated Distributions. Computational Statistics and Data Analysis 56(6), 1880-1897

Alexander, C. and A. Venkatramanan (2012) Analytic Approximations for Multi-Asset Option Pricing. Mathematical Finance 22(4), 667-689

Alexander, C. and A. Kaeck (2012) Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options. Journal of Futures Markets 32(7), 609-638

Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) Regime-Dependent Smile-Adjusted Delta Hedging. Journal of Futures Markets. 32(3), 202-229

Venkatramanan, A. and C. Alexander (2011) Closed-form Approximations for Spread Options. Applied Mathematical Finance. 18(5), 447-472

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: 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 Fund 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 Value-at-Risk Models. Journal of Derivatives, 4:3 50-62

Alexander, C. and I. Giblin (1996) Multivariate Embedding Methods: Forecasting HighFrequency Data in the First International Non-Linear Financial Forecasting Competition. 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 RiskMetrics as a Risk Measurement Tool. 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 Number 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

Authored 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. (2001) Market Models: A Guide to Financial Data Analysis. Wiley

Edited Books

Alexander, C. and D. Cumming eds. (2020) Corruption and Fraud in Financial Markets: Malpractice, Manipulation and Misconduct. 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. ed. (2003) Operational Risk: Regulation, Analysis and Management. FTPrentice Hall

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

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

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

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

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

Alexander, C. (1980-1990) The Handbook of Applicable Mathematics. Assistant editor volumes I - V and co-editor volume VI. Wiley

Book Chapters, Reports and Conference Papers

Alexander, C. (2008) Hedging the risk of energy futures portfolios. Risk-Management in Commodity Markets: From Shipping to Agriculturals and Energy, H. Geman ed., Wiley

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

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

Alexander, C. and A. Venkatramanan (2008) Commodity options. Handbook of Commodity Investing, F.J. Fabozzi, R. Fuss and D.G. Kaiser eds., Wiley

Alexander, C. and A. Dimitriu (2006) Rank alpha funds of hedge funds. Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, G. N. Gregoriou ed., Elsevier

Alexander, C. (2005) Assessment of operational risk capital. Risk Management: Challenge and Opportunity, M. Frenkel, U. Hommel and M. Rudolf eds., Springer

Alexander, C. and A. Dimitriu (2005) Hedge Fund Index Tracking. Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, G.N. Gregoriou, G. Hubner, N. Papageorgiou, and F. Rouah eds., Wiley

Alexander C. and A. Dimitriu (2004) The Art of Investing. Hedge Funds: Fund Selection and Optimal Allocations. Intelligent Hedge Fund Investing, Barry Schachter ed., Risk Publications

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

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

Alexander, C. (2004) Principles of the skew. Exotic Options, Alexander Lipton ed., Risk Publications

Alexander, C. (2004) Correlation in crude oil and natural gas markets. Managing Energy Price Risk 3rd Edition V. Kaminsky ed., Risk Publications

Alexander, C. (2004) Advanced value-at-risk Models. Professional Risk Managers Handbook, Volume III, C. Alexander and E. Sheedy eds., PRMIA Publications

Alexander, C. (2004) Operational value-at-risk. Professional Risk Managers Handbook, Volume III, C. Alexander and E. Sheedy eds., PRMIA Publications

Alexander, C. and Pezier, J. (2003) Assessment and aggregation of banking risks. Commissioned report. International Financial Risk Institute (IFCI)

Alexander, C. (2003) Statistical models for operational loss. Operational Risk: Regulation, Analysis and Management, C. Alexander ed., Pearson

Alexander, C. (2003) Managing operational risks with Bayesian networks. Operational Risk: Regulation, Analysis and Management, C. Alexander ed., Pearson

Alexander, C. (2001) Orthogonal GARCH. Mastering Risk Volume II, C. Alexander ed., Pearson

Alexander, C. (2001) Bayesian methods for measuring operational risks. Mastering Risk Volume II, C. Alexander ed., Pearson

Alexander, C. (1999) Correlation and cointegration in energy markets. Managing Energy Price Risk, 2nd Edition. V. Kaminsky ed., Risk Publications

Alexander, C. (1998) Volatility and correlation: measurement, models and applications. Risk Management and Analysis: Measuring and Modelling Financial Risk. C. Alexander, ed., Wiley

Alexander, C. (1997) Estimating and forecasting volatility and correlation: methods and applications. Risk Management and Financial Derivatives: A Guide to the Mathematics, S. Das ed., LBC

Alexander, C. (1996) Volatility and correlation forecasting. Handbook of Risk Management and Analysis. C. Alexander ed., Wiley

Alexander, C. (1990) Non-cooperative finite games. Handbook of Applicable Mathematics. Volume VI. W. Ledermann and C. Alexander eds., Wiley

Alexander, C. (1980) Groups. Handbook of Applicable Mathematics, Volume I. W. Ledermann ed., Wiley

Practitioner Journal Articles

Alexander, C. (2003) Operational risk aggregation. Operational Risk (April)

Alexander, C. (2003) Common correlation and calibrating the lognormal forward rate model. Wilmott (March), 68-78

Alexander, C. (2002) Rules and models. Risk, 15:1, S2-S5

Alexander, C. (2001) Taking control of operational risk. Futures and Options World, 366, 60-65

Alexander, C. and J. Pezier (2001) Binomial gammas. Operational Risk (April)

Alexander, C. (2001) Taming the skew. Futures and Options World, 367, 60-65

Alexander, C. (2001) Principles of the skew. Risk 14:1, S29- S32

Alexander, C. and R. Thillainathan (1996) The Asian connections. Emerging Markets Investor, 2:6 42-47

Alexander, C. and A. Johnson (1994) Dynamic links. Risk, 7:2, 56-61

Alexander, C. (1994) History debunked, Risk, 7:12, 59-63

Alexander, C. and I. Giblin (1994) Chaos in the system. Risk, 7:6, 71-76

Alexander, C. and N. Riyait (1992) The world according to GARCH. Risk, 5:8, 120-125

Alexander, C. (1984) Evaluation of index-linked gilts using inflation forecasts. The Investment Analyst, 72, 7-12

Refereeing (Selected )

Journal of Banking & Finance, Financial Analysts Journal, Finance & Stochastics, Quantitative Finance, Journal of Portfolio Management, Journal of Futures Markets, Journal of Economic Dynamics & Control, Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Business Finance & Accounting, European Financial Management, Annals of Econometrics, Applied Mathematical Finance, Journal of Alternative Investments, Applied Financial Economics, European Journal of Finance, European Journal of Operational Research, Review of Finance, Review of Financial Studies

Positions Held

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 Teaching and Research Assistant, London School of Economics (part-time)

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

1998 – 1999 Visiting Research Fellow, Oxford Centre for Industrial and Applied Mathematics

1999 – 2012 Chair of Financial Risk Management, ICMA Centre, Henley Business School

2012 – present Professor of Finance, University of Sussex

2013 – 2014 Head of Business and Management (now University of Sussex Business School)

2019 – present Visiting Professor, Peking University

Courses Taught

1985 - 1998

Econometrics | Postgraduate | Department of Economics | University of Sussex

Mathematics for Economists | 2nd Year UnderGraduate | Department of Economics | University of Sussex

Mathematics for Biologists | 1st Year UnderGraduate | Department of Mathematics | University of Sussex

Group Theory | 2nd Year UnderGraduate | Department of Mathematics | University of Sussex

Linear Algebra | 1st Year UnderGraduate | Department of Mathematics | University of Sussex

Microeconomics | 2nd Year UnderGraduate | Department of Economics | University of Sussex

Macroeconomics | 2nd Year UnderGraduate | Department of Economics | University of Sussex

Statistics | 2nd Year UnderGraduate | Department of Mathematics | University of Sussex

Game Theory | Postgraduate | Department of Mathematics | University of Sussex

2000 - 2012

Market Risk | Postgraduate | ICMA Centre | University of Reading

Volatility Analysis | Postgraduate | ICMA Centre | University of Reading

Quantitative Methods for Finance | Postgraduate | ICMA Centre | University of Reading

2012 - 2018

Topics in Finance | Postgraduate | Department of Mathematics | University of Sussex

Hot Topics in Finance | MBA | Business School | University of Sussex

Essential Quantitative Finance | Postgraduate | Business School | University of Sussex

Advanced Quantitative Finance | Postgraduate | Business School | University of Sussex

Financial Risk Management | Undergraduate | Business School | University of Sussex

Blockchains and Crypto Assets | Undergraduate & Postgraduate | Business School | University of Sussex

2018

Advanced Volatility Analysis | Postgraduate | TU Munich

2019

Financial Risk Management | Postgraduate | Business School | Peking University

2018 - Present

Financial Risk Management | Undergraduate | Business School | University of Sussex

Blockchains and Crypto Assets | Undergraduate & Postgraduate | Business School | University of Sussex

External Academic Activities

2002 – 2012 Chair of Academic Advisory Council, Chairman of Board PRMIA

2003 – 2006 Expert Witness, Richards Butler, London

2007 – 2009 Editorial Board, Journal of Banking and Finance

2007 – present Editorial Board, Journal of Portfolio Management

2011 External Assessor, PhD Programme in Economics and Finance, St. Gallen University

2011 – 2013 Editorial Board, Journal of Investment Strategies

2011 – 2013 Member of CFA Advisory Council

2013 – present Co-Editor of Journal of Banking and Finance, Elsevier

2015 – present Advisory Editor, Journal of Commodity Markets, Elsevier

2018 – present Steering Committee Member, Centre for Financial Industries, Fields Institute

2021 – present Scientific Advisory Board Member, Fintech and AI in Finance, European Cooperation in Science and technology (COST) Action

Invited Talks At Professional Conferences

2003 9th Annual Round Table of the International Financial Risk Institute (IFRI, London)

2003 1st International Congress on Financial and Derivatives Markets, (BM&F, Brazil)

2007 Risk and Return Russia, (Moscow)

2007 Quant Congress Europe (London)

2008 Quant Congress Europe (Paris)

2009 Quant Congress Europe (Amsetrdam)

2009 Quant Congress USA (New York)

2010 FOW Derivatives World (London), Post-Crisis Risk Measurement (CFA UK)

2010 Changing Risk Landscape, Financial Times (London)

2011 Model Risk Validation (Paris)

2012 PRMIA 10th Anniversary Global Risk Conference (New York)

2012 Royal Institution 14-10 Club (London)

2016 KPMG Chair Address to Chief Risk Officers, (Frankfurt)

2019 QuantMinds International (Hamburg)

2019 Cryptocompare Digital Asset Summit (London)

2020 QuantMinds International (virtual)

2020 Cryptocompare Digital Asset Summit, London

2020 Westminster Business Forum Policy Conference: Fintech in the UK (virtual)

2020 Quant Insights (virtual)

Plenary or Keynote Talks at Academic Conferences

2003 New Directions in Risk Management, Frankfurt

2004 German Finance Association 9th Annual Congress, Augsburg

2004 Campus for Finance, Germany

2005 Quantitative Methods in Finance Conference, Sydney

2008 Third Annual Mathematics in Finance International Conference, Kruger, South Africa

2010 HVB-Institute for Mathematical Finance, Munich

2011 Campus for Finance, Germany

2012 Ninth Applied Financial Economics Conference, Greece

2013 Fields Institute, Toronto, Canada

2017 Fourth Conference on Non-linear Dynamics and Financial Markets, Paris

2018 Fifth International Symposium in Computational Economics and Finance

2018 EURO2018: 29th Annual European Conference of Operational Research Societies

2021 Sustainable Finance Conference, Birmingham University (virtual)

2021 Financial Economics Meeting: Post-Crisis Challenges (virtual)

2021 Brazilian Finance Meeting (virtual)

2021 7th International Young Finance Scholar’s Conference (virtual)

2021 Cryptocurrency Research Conference (virtual)

2022 4th Asia Conference on Business and Economic Studies, Vietnam

2022 4th International Conference on Computational Finance, Germany

Consulting

1990 – 1991 First Generation GARCH Models, Hill Samuel Bank, London

1992 Volatility Trading Models, Equitable House Investments, London

1994 – 2003 Hedge Fund Strategy Design, Pennoyer Capital Management, New York

1996 – 1997 Spot-Futures Arbitrage Models, ED&F Man, London

1996 Internal Value-at-Risk Model Design, Shell Pension Fund, Netherlands

1997 – 1998 Orthogonal GARCH Models, Robert Fleming, London

2001 – 2007 High Frequency Pricing and Hedging for Active ETFs, NYSE/AMEX, New York

2003 – 2006 Expert Advice, Richards Butler, London

2007 – 2008 Risk Research Advisor, SAS International

2009 – 2010 Value-at-Risk Model Design, Credit Agricole Asset Management, London

2012 – 2013 Fund Strategy Design, Tindeco Asset Management, Zurich

2012 – 2014 Margin Model Validation, ICE Clear Europe

2015 – 2016 Real Options Decisions, Defence Science and Technology Laboratory

2017 – present Affiliated Academic Consultant, Fideres

2019 Crypto Risk and Portfolio Advisory, Coinstrats, London

2020 Development of Bitcoin Implied Volatility Index, CryptoCompare, London

2022 Expert Witness, White and Case (US)

Grants

1981 Leverhulme Foundation Post-Doctoral Award

1986 Nuffield Foundation Award for New Science Lecturers

1994 ESRC: Chaos in Financial Markets

2003 Foundation for Managed Derivatives Research

2003 British Academy (with Simon Burke, Henley Business School)

2005 Australian Prudential Regulatory Authority (with Elizabeth Sheedy, Macquarie)

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

2014 Global Risk Institute (with Andreas Kaeck)

Honors & Awards

1996 Winner, First International Non-Linear Financial Forecasting Competition (with Ian Giblin)

2002 Honorary Professorship, Academy of Economic Sciences, Bucharest

2003 International Financial Risk Institute (IFRI), 9th Roundtable Award

2007 Professional Risk Managers International Association (PRMIA) Higher Standard Award (with Robert Merton)

2010 University of Reading award for outstanding contributions to teaching and learning

Patents

2009 U.S. Patent Number 7,571,130: Hedging exchange traded mutual funds or other portfolio basket products

2011 U.S. Patent Number 7,979,336: A system for pricing financial instruments