References

Aït-Sahalia, Y. and Lo, A. (1998) Nonparametric estimation of state-price densities implicit in financial asset prices. Journal of Finance 53, 499–547.

Alexander, C. (2001) Market Models: A Guide to Data Analysis. John Wiley & Sons, Ltd, Chichester

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

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 Barbosa, A. (2007) Effectiveness of minimum variance hedging. Journal of Portfolio Management 33(2), 46–59

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

Alexander, C. and Lazar, E. (2005) On the continuous limit of GARCH. ICMA Centre Discussion Papers in Finance DP2005-13.

Alexander, C. and Lazar, E. (2008a) Asymmetries and volatility regimes in the European equity markets. Revised version of ICMA Centre Discussion Papers in Finance DP2005-14.

Alexander, C. and Lazar, E. (2008b) Markov switching GARCH diffusion. ICMA Centre Discussion Papers in Finance DP2008-01.

Alexander, C. and Leontsinis, S. (2008) The Vftse term structure and applications to vega mapping. ICMA Centre Discussion Papers in Finance.

Alexander, C. and Lvov, D. (2003) Statistical properties of forward Libor rates. ICMA Centre Discussion Papers in Finance DP2003-03.

Alexander, C. and Nogueira, L. ...

Get Market Risk Analysis Volume III: Pricing, Hedging and Trading Financial Instruments now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.