Carol Alexander’s research interests centre on financial econometrics, quantitative finance, and the modelling and management of risk in traditional and digital asset markets. Her work encompasses fintech, blockchain and cryptocurrency market structure, derivatives pricing and hedging, market microstructure, volatility theory, and the measurement and trading of risk premia. She has made fundamental contributions to the development and validation of econometric models for market and credit risk, including the theory and application of GARCH and related processes, the construction and analysis of volatility and higher moment indices, and innovations in random orthogonal matrix simulation.

Alexander’s applied research covers a wide range of topics including price discovery and efficiency in spot and derivatives markets, liquidity and order flow dynamics on both centralized and decentralized crypto exchanges, margining and risk models for clearing houses, and the benchmarking and regulation of digital asset indices. Her recent publications address arbitrage and efficiency in crypto options markets, risk management in DeFi protocols, rarity metrics for non-fungible tokens, and the transmission of volatility across major digital and traditional asset platforms.

Across her career, she has advanced methodologies for portfolio risk management, the design and assessment of investment and hedging strategies, and the empirical analysis of asset pricing and risk premia in global financial markets. Her research portfolio extends from foundational work in algebraic number theory and mathematical finance to practical innovations in financial risk management, with applications in both academic and industry settings.

PhD Students:

2004
Ali Bora Yigitbasioglu
Thesis: Defaultable Convertible Bonds with Volatility Uncertainty and Call Notice Periods
Current role: Head of FX Total Return and Fixed Income, Pictet Asset Management, London

2004
Anca Dimitriu
Thesis: Portfolio Optimization Models for Traditional and Alternative Investments
Current role: Partner, Albourne Partners, London

2005
Dmitri Lvov
Thesis: Pricing Convertible Bonds and Bermudan Swaptions by Monte Carlo Simulation
Current role: Executive Director, Commodities Quant Research, JP Morgan, London

2006
Leonardo Nogueira
Thesis: Pricing and Hedging Options with Local and Stochastic Volatility Models
Current role: Head of the Deputy Governor's Office for Monetary Policy, Brazilian Central Bank

2006
Emese Lazar
Thesis: Multi-State Volatility Models: Theory and Applications
Current role: Associate Professor in Finance, ICMA Centre, Henley Business School at Reading

2007
Andreza Barbosa
Thesis: Pricing and Hedging Exchange Traded Funds
Current role: Executive Director, Model Risk Management, Goldman Sachs, London

2008
Naoufel El Bachir
Thesis: Stochastic Default Intensity Modeling with Dependent Jump Processes
Current role: Executive Director, XVA Lead Quantitative Analyst, CIBC Capital Markets, London

2008
Aanand Venkatrammanan
Thesis: Multi-Asset Option Pricing
Current role: Vice President, ETF Investment Strategies, Legal & General IM, London

2010
Joydeep Lahiri
Thesis: Jump Diffusions for Modelling Default Intensity
Current role: Quantitative Risk Manager and Vice President, Swiss Re, London

2010
Stamatis Leontsinis
Thesis: Model-Free Moment Indices
Current role: Research Director, Quantitative Derivative Strategies, CdR Capital Ltd, London

2010
Silvia Stanescu
Thesis: Analytic Moments for GARCH Processes
Current role: Quantitative Analyst, Cantab Capital Partners

2010
Andreas Kaeck
Thesis: Equity Index and Index Derivative Dynamics
Current role: Professor of Finance, University of Sussex

2010
Daniel Ledermann
Thesis: Random Orthogonal Matrix Simulation
Current role: Senior Quantitative Analyst, HSBC, London

2012
Dimitris Korovilas
Thesis: Trading Volatility
Current role: Investment Product Specialist, Scientific Beta

2013
Julia Kapraun
Thesis: Volatility Investments
Current role: Assistant Professor, Goethe University, Germany

2014
Anannit Sumawong
Thesis: Trading and Hedging Energy Futures
Current role: Senior Associate, PWC, London

2014
Xi Chen
Thesis: Real Options and Decisions in Corporate Finance
Current role: Lecturer, University of Sussex

2015
Johannes Rauch
Thesis: Higher Moment Risk Premia and Discretization Invariance
Current role: Consultant, Oliver Wyman, Munich

2019
Yang Han
Thesis: New Methods for Multivariate Distribution Forecasting
Current role: Consultant, McKinsey and Company, Munich

2022
Michael Dakos
Thesis: Econometric Analysis of Crypto Asset Markets
Current role: Consultant, Ernst and Young, Athens

2023
Wei Wei
Thesis: Simulation with Exact Multivariate Skewness and Kurtosis
Current role: University of Sussex

2024
Daniel Heck
Thesis: Information Flows in Crypto Asset Markets
Current role: University of Sussex

2024
Arben Imeraj
Thesis: Trading Bitcoin Options
Current role: University of Sussex

2026 (Expected)
Yan Li
Thesis: Shipping Networks
Current role: University of Sussex

2027 (Expected)
Giancarlo Marzola
Thesis: Liquidity Risk Management for DeFi Lending Protocols
Current role: University of Sussex

2029 (Expected)
Hossam Abdelaal
Thesis: Maximum Extractable Value
Current role: University of Sussex