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Hamish Malloch

Hamish Malloch

BSc BCom (Hons) PhD Sydney

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

Telephone +61 2 9036 6273


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.



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


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


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

Research Grants


Informed vs. Noise Trading: Foreign and Domestic Retail and Institutional Liquidity Demanders and Providers

Is the investment performance of individual household investors impacted by behavioural biases to the extent that they need to be protected by regulation? This project aims to provide scientific evidence to help regulators, stock exchange officials and service providers introduce effective measures for financial consumer/investor protection.

Our research aims to provide a clear picture of the demographics and preferences of Australian household investors and the role they play as counterparties to foreign and domestic institutional investors. We will introduce cutting edge techniques that recently have cast serious doubts over the previous literature, in which all individuals are simply categorised as uninformed and all institutions as informed. We will investigate the investment preferences and share trading behaviour of Australian household investors using highly detailed transaction records identified at the order level in combination with aggregated share holdings data from the share depository.

CIFR Research Project 2014-2015

See all Business School Grants

Research Expertise

  • Mathematical finance
  • Options pricing
  • Asset allocation

Recent Units Taught