Professor Timothy Falcon Crack
Chair in Finance
BSc(Hons) PGDipCom MCom (Otago) PhD (MIT) IMC (UKSIP)
Tel 64 3 479 8310
Room CO 5.29
Email timothy.crack@otago.ac.nz
Office hours: TBC
Teaching
TBC
Research Interests
Professor Crack's current research interests include empirical capital markets, derivatives, econometrics, quantitative active equity trading strategies, fixed income theory, market microstructure.
Working papers
- "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).
- "Pacific Rim FX exposure of US MNCs" (with Lifan Zhang, former MBus Student).
- "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- Commissioned Report (cited but unpublished) Tinkering with Ticks: Choosing Minimum Price Variation for US Equity Markets, completed for the New York Stock Exchange (NYSE), Summer (1994).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)
- Basic Black-Scholes (2009)
Publications
