H69 - Codrington Building
The University of Sydney
NSW 2006 Australia
|Telephone||+61 9036 6351|
Dr Jamie Alcock's research interests include financial derivative and contingent claim valuation, real options, real estate finance, portfolio construction, computational finance, corporate finance and empirical finance. Dr Alcock has published over twenty five research articles and reports. He has published in high quality international journals such as The Journal of Banking and Finance, The Journal of Futures Markets and Quantitative Finance. The quality of Dr Alcock's research has been recognised through multiple international research prizes.
Dr Alcock has held academic positions with The University of Cambridge, Downing College Cambridge, The University of Queensland and Renmin University in China. He is a respected research degree supervisor having supervised seven PhD students, with five completions and one nearing completion. He is particularly proud that six of his seven PhD students have won international prizes for the research conducted under his supervision.
Jamie Alcock on Sky Business News 06 Aug 2015
Sky Business News
Dr Jamie Alcock was interviewed on Sky Business News about how negative gearing impacts housing affordability.
Dr Jamie Alcock was interviewed by City Hub in an article about negative gearing.
Jamie Alcock on 2HC Coffs Harbour 22 Jul 2015
2HC Coffs Harbour
2HC Coffs Harbour interviewed Associate Professor Jamie Alcock about negative gearing by property investors.
Busting the five myths about negative gearing 19 Jul 2015
Sydney Morning Herald
Associate Professor Jamie Alcock authored an opinion piece in the Sydney Morning Herald about the significance of the Reserve Bank of Australia entering the debate on negative gearing.
ABC (105.7 Darwin, Gold Coast, 612 Brisbane, Southern Queensland, Alice Springs, Far North) and 2CC Canberra
Associate Professor Jamie Alcock was interviewed about concerns over high housing prices in Sydney and Melbourne.
Alcock J and Steiner E 2015 Forthcoming 'Unexpected inflation, capital structure and real risk-adjusted firm performance', Abacus
Alcock J and Smith G 2015 Forthcoming 'Non-parametric American option valuation using Cressie-Read divergences', Australian Journal of Management
Alcock J and Steiner E 2015 'Fundamental Drivers of Dependence in Real Estate Securities Returns', NUS-MIT-Maastricht Real Estate & Finance Symposium 2015, Singapore, 13th September 2015
Alcock J and Steiner E 2014 'Unexpected inflation, capital structure and real risk-adjusted firm performance', 2014 International Conference on Corporate Finance and Capital Market, Hangzhou, China, 9th November 2014
Alcock J and Steiner E 2014 'Unexpected inflation, real risk-adjusted returns and capital structure', American Real Estate and Urban Economics Association AREUEA International Conference, Reading, United Kingdom, 11th July 2014
Alcock J and Smith G 2014 'Non-parametric American option pricing using Cressie-Read divergences', 2014 China Meeting of the Econometric Society, Xiamen, China, 27th June 2014
Alcock J and Steiner E 2013 'REIT capital structure, real risk-adjusted performance and the management of exposure to inflation', European Public Real Estate Association, January 2013
Alcock J and Burrage K 2012 'Stable strong order 1.0 schemes for solving stochastic ordinary differential equations', BIT Numerical Mathematics, vol.52:3, pp. 539-57
Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Private Commercial Real Estate Returns and the Valuation Process', Investment Property Forum Research Papers, February 2012
Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Financial Assets in Extreme Markets', Investment Property Forum Research Papers, February 2012
Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate Returns and Other Asset Classes: A Review of Literature', Investment Property Forum Research Papers, February 2012
Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Real Estate’s Role in the Mixed Asset Portfolio: A Re-Examination', Investment Property Forum Research Papers, February 2012
Alcock J, Lizieri C, Satchell S, Steiner E and Wongwachara W 2012 'Time-varying Influences on Real Estate Returns', Investment Property Forum Research Papers, February 2012
Alcock J, Finn F and Tan KJ-K 2011 'The determinants of debt maturity in Australian firms', Accouting & Finance, vol.52:2, pp. 313-41
Alcock J, Mollee T and Wood J 2011 'Volatile earnings growth, the price of earnings and the Value premium', Quantitative Finance, vol.11:6, pp. 805-15
Alcock J and Auerswald D 2010 'Empirical tests of canonical nonparametric American option-pricing methods', The Journal of Futures Markets, vol.30:6, pp. 509-32
Alcock J, Baum A and Lizieri C 2010 'Property companies, financing decisions and risk', European Public Real Estate Association News, May 2010
Alcock J and Hatherley A 2009 'Asymmetric Dependence Between Domestic Equity Indices and its Effect on Portfolio Construction', The Australian Actuarial Journal, vol.15:1, pp. 143-80
Alcock J and Carmichael T 2008 'Nonparametric American option pricing', The Journal of Futures Markets, vol.28:8, pp. 717-48
Alcock J, Finn F and Cockcroft S 2008 'Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates', Accounting & Finance, vol.48:5, pp. 697-718
Alcock J, Goard J and Vassallo T 2007 'Calibrating mean-reverting jump diffusion models: An application to the NSW electricity market' in Proceedings of the 2007 Mathematics and Statistics in Industry Study Group, MISG2007, Mathematics and Statistics in Industry Study Group, Wollongong, Australia, pp. 57-81
Alcock J and Hatherley T 2007 'Portfolio construction incorporating asymmetric dependence structures: A users guide', Accounting & Finance, vol.47:3, pp. 447-72
Alcock J and Burrage K 2006 'A note on the Balanced method', BIT Numerical Mathematics, vol.46:4, pp. 689-710
Alcock J and Docwra G 2005 'A simulation analysis of the market effect of the Australian Broadcasting Corporation', Information Economics and Policy, vol.17:4, pp. 407-27
Alcock J and Gray P 2005 'Dynamic, non-parametric hedging of European style contingent claims using Canonical valuation', Finance Research Letters, vol.2:1, pp. 41-50
Alcock J and Gray P 2005 'Forecasting stock returns using model selection criteria', The Economic Record, vol.81:253, pp. 135-51
Alcock J 2005 'Numerical methods for quantitative finance', Bulletin of the Australian Mathematics Society, vol.72:1, pp. 173-6
Alcock J 2004 'A genetic estimation algorithm for parameters of stochastic ordinary differential equations', Computational Statistics and Data Analysis, vol.47:2, pp. 255-75