Hamish Malloch

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

6

DOWNLOADS

546

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Passport Options: Continuous and Binomial Models

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 17 Feb 2011
Hamish Malloch and Peter W. Buchen
The University of Sydney and The University of Sydney - School of Mathematics and Statistics
Downloads 205 (201,731)
Citation 4

Abstract:

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Passport Options, Binomial Models

What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 14 Posted: 09 Oct 2021 Last Revised: 04 Jan 2022
Sean Foley, Simeng Li, Hamish Malloch and Jiri Svec
Macquarie University, The University of Sydney, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 127 (301,113)

Abstract:

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

What Is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices

Number of pages: 13 Posted: 05 Oct 2021
Sean Foley, Simeng Li, Hamish Malloch and Jiri Svec
Macquarie University, affiliation not provided to SSRN, The University of Sydney and The University of Sydney - Discipline of Finance
Downloads 36 (593,988)

Abstract:

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Bitcoin, cryptocurrency, expected return, term structure, risk premium

3.

Expected Market Returns in the International Cross-Section

Number of pages: 36 Posted: 28 Sep 2020
Henk Berkman and Hamish Malloch
University of Auckland Business School and The University of Sydney
Downloads 86 (388,981)
Citation 1

Abstract:

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expected returns, options, asset pricing, international finance

4.

Estimation with Errors in Variables via the Characteristic Function

Number of pages: 55 Posted: 11 Jun 2020
Hamish Malloch, Richard Philip and Stephen E. Satchell
The University of Sydney, University of Sydney Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 46 (539,857)

Abstract:

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Error in Variables, Characteristic Function, CAPM, Beta

5.

Quote-Based Manipulation of Illiquid Benchmarks

Number of pages: 15 Posted: 15 Apr 2020
affiliation not provided to SSRN, University of Sydney - Discipline of FinanceThe University of Sydney - Discipline of Finance, Macquarie University and The University of Sydney
Downloads 46 (530,495)
Citation 1

Abstract:

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Benchmarks, closing price manipulation, marking the close

6.

Stock Valuation During the COVID-19 Pandemic: An Explanation Using Option-based Discount Rates

Journal of Banking & Finance, 106386. doi:10.1016/j.jbankfin.2021.106386, The University of Auckland Business School Research Paper Series
Posted: 21 Jan 2022
Henk Berkman and Hamish Malloch
University of Auckland Business School and The University of Sydney

Abstract:

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COVID-19, Option implied market risk premium, Stock return decomposition, Disaster asset pricing