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A Selection of Timothy Falcon Crack's Papers
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"Implied Binomial Trees in Excel without VBA" (21 pp, with Tom Arnold at Richmond and Adam Schwartz at U of Mississippi).
MS Excel Spreadsheet to Accompany (.XLS 262 KB)
"Interest Rate Sensitivities of Bond Risk Measures" (24pp, with Sanjay Nawalkha, UMass Amherst). This is a corrected version of the paper that appeared in FAJ 56(1) Jan/Feb 2000. Our corrections were not incorporated by the editorial staff at FAJ.
Authors' Digest (PDF 8,944B)
A Two page Summary
Full Paper (PDF 272,936B)
"Option Pricing in the Real World: A Generalized Binomial Model With Applications to Real Options (51 pp, with Tom Arnold, LSU)
"A Practical Guide to GMM" (35 pp, with Tom Arnold, LSU)
"A Practical Guide to GMM (with Applications to Option Pricing)" (70 pp, with Tom Arnold, LSU)
"The Academic Job Market in Finance: A Rookie's Guide" (33 pp, with Alexander Butler, LSU)
The new version:
Finance Rookie Job Search Links
"Using Central Limit Theorems for Dependent Data" (27 pp, with Olivier Ledoit, UCLA/CSFB)
"Noise Reduction: The Case of Short Selling Against the Box" (25pp, with Tom Arnold and Alex Butler both of LSU)
"Impact: What influences finance research?" (36pp, with Tom Arnold, Alex Butler, and Ayca Altintig of LSU)
Working Paper Version (pdf; lists twice as long)
"Common Misunderstandings Concerning Duration and Convexity" (35pp, with Sanjay Nawalkha of U Mass Amherst)
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Last Modified: May 2, 2000