papers
Publications (7)
q-fin.PR2017
The Aggregation Property and its Applications to Realised Higher Moments
Carol Alexander, Johannes Rauch
q-fin.MF2016
Model-Free Discretisation-Invariant Swap Contracts
Carol Alexander, Johannes Rauch
q-fin.ST2018
Analytic Moments for GARCH Processes
Carol Alexander, Emese Lazar, Silvia Stanescu
q-fin.GN2018
Model Risk in Real Option Valuation
Carol Alexander, Xi Chen
q-fin.PR2016
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
Carol Alexander, Johannes Rauch
stat.ME2018
On the Continuous Limit of Weak GARCH
Carol Alexander, Emese Lazar
q-fin.PR2016
Tail Risk Premia for Long-Term Equity Investors
Johannes Rauch, Carol Alexander