Find us on Facebook Find us on LinkedIn Follow us on Twitter Subscribe to our YouTube channel Instagram

Hamish Malloch

Hamish Malloch

BSc BCom (Hons) PhD Sydney
Lecturer

Rm 509
H69 - Codrington Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9036 6273
hamish.malloch@sydney.edu.au

Bio

Dr. Hamish Malloch commenced as a lecturer at the University of Sydney in 2009 and received his PhD from the same institution in 2011. Hamish's PhD involved the valuation of exotic options called "passport options" and this work has subsequently been published in the high quality international journal Quantitative Finance. Hamish's research interests lie in the field of mathematical/quantitative finance. Specifically, he is interested in theoretical models of derivative valuation and asset allocation and the empirical application of such models.

Publications

2016

4
Journal Article/s

Malloch H, Philip R and Satchell S 2016 'Decomposing the bias in time-series estimates of CAPM betas', Applied Economics, vol.48:45, pp. 4291-98 Link

2015

5
Conference Paper/s

Malloch H, Philip R and Satchell S 2015 'Biased time-series estimates of beta in the CAPM', 22nd Annual Conference of the Multinational Finance Society, Halkidiki, Greece, 1st July 2015

2014

4
Journal Article/s

Buchen P and Malloch H 2014 'CLA's, PLA's and a new method for pricing general passport options', Quantitative Finance, vol.14:7, pp. 1201-9 Link

Selected grants

2014

Research Expertise

  • Mathematical finance
  • Options pricing
  • Asset allocation

Recent Units Taught

  • FINC5001 Capital Markets and Corporate Finance

    2016: S1,
    2015: S1,

  • FINC6000 Quantitative Finance

    2016: S2,

  • FINC6005 Advanced Asset Pricing

    2017: S1,
    2016: S1,
    2015: S1,

  • FINC6009 Portfolio Theory and its Applications

    2016: S2,
    2015: S2,