Yes, its interesting to trace the routes of these words. The Persian word for Alexander is also Sikander and it was quite a popular name among sultans in medieval India. And my favorite: Tsar was derived from Caesar :)

The Greeks made very little effort to retain the phonetics of the original language. This is not a criticism of course, merely an observation, and perhaps partly driven by the impossibility of rendering certain sounds (eg "sh") in Greek. compare the Greek and native names of the various Egyptian gods for extreme examples.