Professor Timothy Falcon Crack

Tel 479 8310
Room: Commerce 542
Email tcrack@business.otago.ac.nz, timcrack@alum.mit.edu

Postal Address:
Professor Timothy F. Crack
Dept. Finance and Quant. Analysis,
Otago University,
PO Box 56, Dunedin, New Zealand.

Tel: (16hrs ahead of EST, 11hrs ahead of London)
Direct Dial: +64(0)3.479.8310 (with an answer machine)
Personal Assistant: +64(0)3.479.8194
Fax: +64(0)3.479.8193

SSRN Page + CV (in pdf format)

SSRN author page

Online Curriculum Vitae (March 2007)

Research Interests

Prof. Crack's current research interests include empirical capital markets, derivatives, econometrics, quantitative active equity trading strategies, fixed income theory, market microstructure.

Refereed Journal Articles

"Valuing Real Options using Implied Binomial Trees and Commodity Futures Options," Forthcoming at Journal of Futures Markets, 2007 (co-authored with Tom Arnold and Adam Schwartz)

"Implied Binomial Trees in Excel without VBA", Forthcoming in The Journal of Financial Education, Vol 32 (Fall 2006), pp 37-54 (co-authored with Tom Arnold and Adam Schwartz).

"The Academic Job Market in Finance: A Rookie's Guide", Invited Paper for Special Edition of Financial Decisions, September (2005) (co-authored with Alex Butler).

"Noise Reduction: The Case of Short Selling against the Box". Journal of Business, Vol 78, No.4, (July) (2005), pp1307-1335 (co-authored with Alex Butler, Tom Arnold, and Yan Zhang).

"Using the WACC to Value Real Options", The Financial Analysts Journal. Nov/Dec (2004). Vol 60, No.6; pp78-82.

"Impact: What Influences Finance Research?" Journal of Business, Vol 76 No.2, (April) (2003), pp343-361 (co-authored with Alex Butler, Tom Arnold, and Ayca Altintig).

"Common Misunderstandings Concerning Duration and Convexity", Journal of Applied Finance, Vol 1, (October), (2001), pp82-92 (co-authored with Sanjay K. Nawalkha).

"Sensitivity of Bond Risk Measures to Changes in Term Structure Shape Parameters", The Financial Analysts Journal, Vol 56 No.1, (Jan/Feb) (2000), pp34-43 (co-authored with Sanjay K. Nawalkha).

"A Classic Case of Data Snooping for Classroom Discussion", The Journal of Financial Education, Vol 25 (Fall) (1999), pp92-97.

"Robust Structure without Predictability: The 'Compass Rose' Pattern of the Stock Market", Journal of Finance, Vol 51 No.2, (June) (1996), pp751-762 (co-authored with Olivier Ledoit).

Books, Book Chapters, etc.

Interest Rate Risk Modeling: The Fixed Income Valuation Course (co-author with Sanjay Nawalkha of part of Chapter 2 in the book), April (2005), published by Wiley and written by Sanjay K. Nawalkha, Gloria M. Soto, Natalia K. Beliaeva.

Basic Black-Scholes: Option Pricing and Trading, 1st Edition January (2004). ISBN: 0970055226 (see www.basicblackscholes.com).

E-book version of "Heard on the Street: Quantitative Questions from Wall Street Job Interviews" 10th Edition, (2007) ISBN: B0001DLM26 (see www.investmentbankingjobinterviews.com).

Heard on the Street: Quantitative Questions from Wall Street Job Interviews (MBA guide book with over 20,000 copies sold in 25 countries). 10th Edition, December (2007) ISBN: 0970055250 (see www.investmentbankingjobinterviews.com).

Logic Problems for Money Minds (contributed more than 10% of the questions and answers in the book), published in (2003, 2nd Ed. 2006) by Harriman House in the UK.

Contributed Black-Scholes option pricing code for HP17B and HP19B handheld financial calculators that has been reproduced in a British computing journal: Hutchins, Tony, (2003), Black-Scholes takes over the HP12C, Handheld and Portable Computer Club Data File, Vol 22 No.3 (June/July), pp13-21.

"Robust Structure without Predictability: The 'Compass Rose' Pattern of the Stock Market", (co-authored with Olivier Ledoit) reprinted in Forecasting Financial Markets (The International Library of Critical Writings in Economics, #146). Edited by Terence C. Mills, June 2002, Edward Elgar, UK. A collection of 52 seminal papers from 1934 to 2000. 1248 pages, ISBN 1840644974. Article appears as Chapter 26 of Volume 2.

Working Papers

"Lattice Methods for SVJ models" (with three co-authors)

"Inferring Risk-Averse Probability Distributions from Option Prices using Implied Binomial Trees," (with T Arnold and A Schwartz).

"Pricing Options in the Real World: A Generalized Binomial Model with Applications to Real Options" (with Tom Arnold).

"A Practical Guide to GMM with Applications to Option Pricing" (with Tom Arnold).

"Using Central Limit Theorems for Dependent Data" (with Olivier Ledoit).

"Pacific Rim FX exposure of US MNCs" (with Lifan Zhang, former MBus Student).

"Value beats Growth on the Bombay Stock Exchange" (with Satneet Sabharwal former MBus Student).

"Using the WACC to Value Real Options" (with Tom Arnold).

"Real Option Valuation using NPV" (with Tom Arnold).

"A Practical Guide to GMM" (with Tom Arnold). A cut-down version of paper above.

"The Impact of Stock Price Discreteness on the Estimation of ARCH Models." Inactive project.

Commissioned Report (cited but unpublished)

Tinkering with Ticks: Choosing Minimum Price Variation for US Equity Markets, completed for the New York Stock Exchange (NYSE), Summer (1994).

Published Books


Heard on the Street (2009) more info		Basic Black-Scholes (2009) more info