Financial Instruments and Markets: A Casebook
January 2006, ©2006
About the Authors.
SECTION 1: FIXED-INCOME SECURITIES.
Module FI-1: Fixed-Income Securities: Concepts.
2. Reading Note—Note on Bond Valuation & Returns.
3. Case—Deutsche Bank: Finding Relative Value Trades.
4. Reading Note—Note on Duration and Convexity.
5. Case—Ticonderoga Capital: Inverse Floating Rate Bonds.
6. Case—100-Year Liabilities at Prudential Insurance.
Module FI-1: Fixed-Income Securities:Applications.
7. Case—Deutsche Bank: Discussing the Equity Risk Premium.
8. Case—Swedish Lottery Bonds.
9. Case—Bank Leu’s Prima Cat Bond Fond.
10. Case—Catastrophe Bonds at Swiss Re.
11. Case—Mortgage Backs at Ticonderoga.
12. Case—KAMCO and the Cross-Border Securitization of Korean Non-Performing Loans.
13. Case—Nexgen: Structuring Collateralized Debt Obligations (CDOs).
14. Reading Notes—Forward and Swap Contracts.
15. Case—The Enron Odyssey (A):The Special Purpose of SPEs.
SECTION 2: DERIVATIVE SECURITIES (EQUITY AND INTEREST RATE OPTIONS).
Module DS-1: Equity Options: Concepts.
16. Reading Notes—Note on Basic Option Properties.
17. Dell Computer Corporation: Share Repurchase Program.
18. Reading Notes—Note on Option Valuation.
19. Sally Jameson—1999.
Module DS-2: Equity Options: Applications.
20. Case—Pine Street Capital.
21. Case—Tribune Company: The PHONES Proposal.
22. Case—Cox Communications, Inc., 1999.
23. Case—DigaMem Inc.
24. Case—ALZA and Bio-Electro Systems (A): Technological and Financial Innovation.
Module DS-3: Credit Derivatives.
25. Reading Notes— Note on Credit Derviatives.
26. Case—First American Bank: Credit Default Swaps.
27. Case—Morgan Stanley and TRAC-X: The Battle for the CDS Indexes Market.
Module DS-4: Interest Rate Derviatives.
28. Reading Note—Introduction to Interest Rate Options.
29. Case—Advising on Currency Risk at ICICI Bank.
Module DS-5: Equity and Options Exchanges.
30. Case—Deutsche Borse.
31. Case—The Chicago Board Options Exchange.
32. Case—The International Securities Exchange: New Ground in Options Markets.
Module DS-6: Real Options.
33: Case—RTY Telecom: Network Expansion.
Professor Chacko holds a Ph.D. in Business Economics from Harvard University, and dual Master's degrees in Business Economics (Harvard University) and Business Administration (University of Chicago). He holds a Bachelor's degree in Electrical Engineering from the Massachusetts Institute of Technology. Professor Chacko's experiences prior to HBS have included work at a major financial services firm, and a large consulting firm. He currently consults with with financial institutions ranging from commercial/investment banks and insurance companies to hedge funds.
Professor Chacko's research has focused on three areas: (1) the structure of fixed income markets and the design of instruments that trade in those markets; (2) the study of portfolio choice by individuals and institutions; and (3) the analysis and application of derivative securities.
- Chacko’s own Harvard cases and text material make available to instructors the only casebook on financial markets available.