Jamie Alcock

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Jamie Alcock

Professor, Prof

  • Professor of Mathematics and Finance - Deputy Dean- J-BJ-I, Mathematics
 https://orcid.org/0000-0002-9194-2129

Accepting PhD Students

PhD projects

Financial Mathematics, Asset Pricing, Real Estate Finance

20042024

Research activity per year

Personal profile

Biography

Jamie Alcock is Professor of Mathematics and Finance and Deputy-Dean of the Jinan-Birmingham Joint Institute. 
 
He joins UoB from The University of Oxford, where he led the Future of Real Estate initiative.   Jamie has previously held senior academic positions at The University of Sydney, The University of Cambridge, and at his alma mater The University of Queensland, Australia; both in Mathematics and Business Schools.  He has also taught at several summer schools at Renmin University in Beijing, China and served as a Fellow of Downing College Cambridge. 
 
Jamie's research explores the pricing and management of convexity in finance and real estate, with a particular interest in convex dependence structures. He has produced over forty refereed articles and reports and has published across the full range of financial scholarship including Quantitative Finance (Lead Paper), the Review of Finance, The Journal of Futures Markets, The Journal of Banking and Finance, Computational Statistics and Data Analysis, The Journal of Real Estate Finance and Economics, Finance Research Letters, The Journal of International Money and Finance, Abacus, The Journal of Portfolio Management, among others.  
 
He has secured grants and industrial funding totalling around £1.5m (non-FEC) and has been awarded numerous prizes for research and teaching excellence including the best paper at the European Real Estate Conference, which receives over 500 submissions annually. While at USyd, he was nominated for the Wayne Lonergan Prize for teaching excellence four times.  
 
Prof Alcock is particularly proud of his research students.  8 of his 9 PhD students have received international prizes for their doctoral research.  His former students have attracted job offers from The Universities of Cambridge, Cornell, Purdue, Iowa, Penn State, NSW, Melbourne, QLD, as well as Google, Blackrock and Citibank. 
 
Jamie is happy to discuss doctoral research opportunities with potential PhD students, and has a number of PhD scholarships available.

Education/Academic qualification

Master of Arts, University of Cambridge

Award Date: 1 Sept 2012

Doctor of Philosophy, Numerical Methods for Quantitative Finance, University of Queensland

Award Date: 1 May 2005

Bachelor of Arts, University of Queensland

Award Date: 1 Dec 1999

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  • Nonstandard Errors

    Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüß, S., Razen, M., Weitzel, U., Abad‐Díaz, D., Abudy, M., Adrian, T., Ait‐Sahalia, Y., Akmansoy, O., Alcock, J. T., Alexeev, V., Aloosh, A., Amato, L., Amaya, D. & Angel, J. J. & 323 others, Avetikian, A. T., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, P. C., Bjønnes, G. H., Black, J. R., Black, B. S., Bogoev, D., Correa, S. B., Bondarenko, O., Bos, C. S., Bosch‐Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V. N., Capelle‐Blancard, G., Romero, L. M. C., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chen, J., Chernov, M., Cheung, W., Chincarini, L. B., Chordia, T., Chow, S., Clapham, B., Colliard, J., Comerton‐Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., Blasis, R. D., Nard, G. F. D., Declerck, F., Deev, O., Degryse, H., Deku, S. Y., Desagre, C., van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y. J., Drummond, P. A., Dudda, T., Duevski, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A. H., Dzieliński, M., Eksi, A., Kalak, I. E., Ellen, S. T., Eugster, N., Evans, M. D. D., Farrell, M., Felez‐vinas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty‐jaidee, J. T., Foley, S. D. V., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F., Frijns, B., Frömmel, M., Fu, S. M., Füllbrunn, S. C., Gan, B., Gao, G., Gehrig, T. P., Gemayel, R., Gerritsen, D., Gil‐Bazo, J., Gilder, D., Glosten, L. R., Gomez, T., Gorbenko, A., Grammig, J., Grégoire, V., Güçbilmez, U., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ilczuk, K., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylhä, P., Kaeck, A. T., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. V., Khan, S. A., Khomyn, M. K., Klein, T., Klein, O., Klos, A., Koetter, M., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Krahnen, J. P., Kuhle, P., Kwan, A., Lajaunie, Q., Lam, F. Y. E. C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C. Y., Lindner, T., Linton, O., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F., Lopez‐Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mi, M. G., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L. L., O'Neill, P., Obaid, K., Ødegaard, B. A., Östberg, P., Pagnotta, E., Painter, M., Palan, S., Palit, I. J., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelli, M., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O., Prodromou, T., Prokopczuk, M., Putnins, T., Qian, Y., Raizada, G., Rakowski, D., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Reno, R., Riddiough, S. J., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Longarela, I. R., Roesch, D., Rognone, L., Roseman, B., Roşu, I., Roy, S., Rudolf, N., Rush, S. R., Rzayev, K., Rzeźnik, A. A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk‐hoppé, K. R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N. J., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Sönksen, J., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Vaduva, M. A., Valente, G., van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. V. D., Werner, I. M., Westerholm, P. J., Westheide, C., Wika, H. C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W., Wrampelmeyer, J., Wu, Z., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, Y., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S. M., Zhang, L., Zhang, S. S., Zhang, X., Zhao, L., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, X. S., Zoican, M. & Zwinkels, R., 17 Apr 2024, (E-pub ahead of print) In: The Journal of Finance.

    Research output: Contribution to journal › Article › peer-review

    Open Access
    File
    313 Downloads (Pure)

  • International determinants of asymmetric dependence in investment returns

    Alcock, J. & Sinagl, P., Apr 2022, In: Journal of International Money and Finance. 122, 29 p., 102576.

    Research output: Contribution to journal › Article › peer-review

    1 Citation (Scopus)

  • Testing for price bubbles in Australia listed equities and A-REIT markets

    Alcock, J., Aspris, A., Satchell, S., Segara, R., Wright, D. & Yao, J., 2019, In: AJAF – The Australasian Journal of Applied Finance.

    Research output: Contribution to journal › Article › peer-review

  • Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis

    Alcock, J. & Andrlikova, P., 1 Feb 2018, In: Journal of Real Estate Finance and Economics. 56, 2, p. 183-216 34 p.

    Research output: Contribution to journal › Article › peer-review

    6 Citations (Scopus)

  • Fundamental Drivers of Dependence in REIT Returns

    Alcock, J. & Steiner, E., 1 Jul 2018, In: Journal of Real Estate Finance and Economics. 57, 1, p. 4-42 39 p.

    Research output: Contribution to journal › Article › peer-review

    12 Citations (Scopus)
View all 46 research outputs