Dr Jamie ALCOCK
Contact
Positions Held
Lecturer in Finance
Academic Qualifications
| Degree |
Institution |
Field |
Year |
| PhD |
The University of Queensland |
Mathematical Finance |
2005 |
| GCFM |
The University of Queensland |
Finance |
2003 |
| BA(Hons) |
The University of Queensland |
Mathematical Finance, Statistics |
1999 |
| BA |
The University of Queensland |
Mathematics |
1998 |
Memberships
- Accounting and Finance Association of Australia & New Zealand (AFAANZ)
- Institute of Actuaries of Australia
Major Research Grants
| Year |
Title of Grant |
Granting Agency |
Amount |
| 2008-2010 |
Managing Asymmetry in a Modern Investment Portfolio |
ARC Linkage/Industry Partner |
430,000 |
| 2007 |
Research Infrastructure Block Grant |
The University of Queensland |
40,000 |
| 2006-2008 |
Capital management in a stochastic earnings framework (with Gray, Phil, and Gray, Stephen) |
ARC Discovery Grant |
270,000 |
| 2006 |
A New Enabling Technology for Learning and Teaching Quantitative Skills |
The Carrick Institute for Learning and Teaching in Higher Education |
134,749 |
| 2005 |
Research Grant |
Industry Partner |
10,000 |
| 2005 |
Quantitative Skills Workshop. |
UQBS T&L |
4,000 |
| 2005 |
Capital Structure in the presence of Uncertain Future Cash Flows. |
UQ Early Career |
11,500 |
| 2004 |
Capital Structure in a Stochastic Earnings Framework. |
UQ Business School |
2,000 |
Field of Current Research
| Title of Research Area |
Brief Description |
| Asset Pricing |
Developing models of firm value, equity and debt that recognise earnings as the primary driver of wealth and uncertainty. Using these models to solve problems in capital structure and credit risk. |
| Quantitative Portfolio Management |
Developing the tools and techniques to manage portfolios in the presence of asymmetric dependency, skewness, market frictions and information asymmetries. |
| Computational Finance |
Developing numeric techniques to solve problems in finance, particularly option pricing and solving stochastic differential equations. |
Publications
Book Chapter
- Alcock, J., Goard, J. and Vassallo, T., Calibrating Mean-Reverting Jump Diffusions: an application to the NSW Electricity Market, Mathematics in Industry 2007.
Published Refereed Journal Articles
- Alcock, J and Carmichael, T. (2008), Nonparametric American Option Pricing, The Journal of Futures Markets, forthcoming.
- Alcock, J., Cockcroft, S. and Finn, F. (2008), Quantifying the advantage of secondary mathematics study for accounting and finance undergraduates, Accounting and Finance, forthcoming.
- Hatherley, A. and Alcock, J. (2007), "Portfolio Construction Incorporating Asymmetric Dependence Structures: A User's Guide.", Accounting and Finance, 47(3), 447-472.
- Alcock, J., & Burrage, K., (2006), "A note on the Balanced method", BIT Numerical Mathematics, 46(4), 689—710.
- Alcock, J., (2005), "Numerical methods for quantitative finance", Bulletin of the Australian Mathematical Society, 72, 173 - 176.
- Alcock, J., & Docwra, G., (2005), "A simulation analysis of the market effect of the Australian Broadcasting Corporation", Information Economics and Policy, 17 (4) 407 - 427.
- Alcock, J., & Gray, P., (2005), "Forecasting stock returns using model selection criteria", Economic Record, 81(253), June 2005, 135—151.
- Alcock, J., & Gray, P., (2005), "Dynamic, nonparametric hedging of European style contingent claims using canonical valuation", Finance Research Letters, 2(1), 41—50.
- Alcock, J., & Burrage, K., (2004), "A genetic estimation algorithm for parameters of stochastic ordinary differential equations", Computational Statistics and Data Analysis, 47(2), 255—275.
Distinctions
- Australian Securities Exchange Prize for the best derivatives paper at the 20th Australasian Finance and Banking Conference in Sydney, 2007
- Excellence in Research Award, UQ Business School, 2005
- Tarong Energy Postgraduate Scholarship, Tarong Energy Ltd., 2000
- Australian Postgraduate Award, Australian Research Council, 2000
Research Interests
- Corporate and Investment Valuation
- Investments and Funds Management
Academic Cluster
Finance
Absences
On leave Semester 1, 2009.
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