Textbook

Financial Instruments and Markets: A Casebook

George Chacko, Vincent Dessain, Peter Hecht, Anders Sjoman

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Overview
Resources for Instructors

Chacko, Financial Instruments and Markets: A Casebook, is a case text or supplement for undergraduate courses in Financial Markets, or Capital Markets. The course covers bond, equity and foreign exchange markets. There are several texts for these courses, however, they are criticized for not having enough real-world information. This casebook can be used by itself or in addition to a Financial Markets text. This is a book for MBA and upper level undergraduate courses.

Table of Contents

Acknowledgments.

About the Authors.

1. Introduction.

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.

Index.

Author Information

George Chacko joined the Harvard Business School Faculty in the Finance Area in 1997. He currently teaches a second-year course on Capital Markets in the MBA Program, and he teaches a Ph.D. course on Asset Pricing that is jointly offered by the Business School and the Harvard Economics Department. He has also taught Corporate Financial Engineering in both the MBA program and the Executive Education program at HBS, as well as a first-year course on Corporate Finance in the MBA program.

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.

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