I can also recommend 'Once a Grand Duchess'. A biography of GD Xenia by Coryne Hall and John van der Kiste. Ad just recently a new book came on the market, published by Arturo Beeche (who is also one of the co-authors) about all russian grandduchesses since Paul I. Marlene Koenig has also written some chapters in this book (she is a frequent poster of royalty message boards, as is mr Beeche).
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