Alex Backwell

University of Cape Town — South Africa

Economics, Econometrics and Finance · Social Sciences

4h-index67citations27works0.52yr avg
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Research Topics

Stochastic processes and financial applications(16), Credit Risk and Financial Regulations(9), Economic theories and models(6), Financial Markets and Investment Strategies(5), Banking stability, regulation, efficiency(5)

Publications27 total

Lost in the LIBOR transition
Quantitative Finance·2025· 1 citedOpen Access
Regression-based estimation of heteroscedastic term structure models
SSRN Electronic Journal·2024Open Access
Term rates, multicurve term structures and overnight rate benchmarks: A roll–over risk approach
Frontiers of Mathematical Finance·2023· 17 citedOpen Access
Lost in the Libor Transition
SSRN Electronic Journal·2023· 1 citedOpen Access
An Intuitive Introduction to Finance and Derivatives
Springer texts in business and economics·2023Open Access
Modern Portfolio Theory
Springer texts in business and economics·2022· 3 cited
Introduction to Derivatives
Springer texts in business and economics·2022· 1 cited
Risk and Expected Utility
Springer texts in business and economics·2022
Arbitrage- and Model-Free Pricing Methods
Springer texts in business and economics·2022
Modelling, Pricing, and Hedging
Springer texts in business and economics·2022
Asset Pricing
Springer texts in business and economics·2022
Market Pricing and Market Efficiency
Springer texts in business and economics·2022
Preliminaries
Springer texts in business and economics·2022
Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition
Journal of Banking & Finance·2022· 13 cited
Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments
Applied Economics·2022
Volatility Level Dependence and Linear-Rational Term Structure Models
Emerging Markets Finance and Trade·2022
On buybacks, dilutions, dividends, and the pricing of stock‐based claims
Mathematical Finance·2021· 4 cited
Throwing away a billion yuan, real or rand: the cost of sub-optimal hedging in high interest-rate environments
SSRN Electronic Journal·2021Open Access
Expected and Unexpected Jumps in the Overnight Rate: Consistent Management of the Libor Transition
SSRN Electronic Journal·2021· 2 citedOpen Access
Unspanned stochastic volatility from an empirical and practical perspective
Journal of Banking & Finance·2020· 5 cited
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Frequent Co-authors

Andrea Macrina(4), Erik Schlögl(4), David Skovmand(4), Joshua Hayes(3), Thomas A. McWalter(2), Peter Ritchken(2), Ralph Rudd(2), Mansa Aidoo(1), Kalind Ramnarayan(1)