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Chacko, George

Overview
Works: 32 works in 117 publications in 2 languages and 1,339 library holdings
Genres: Case studies 
Roles: Author
Classifications: HG6024.A3, 332.632
Publication Timeline
Key
Publications about George Chacko
Publications by George Chacko
Most widely held works by George Chacko
Financial derivatives : pricing, applications, and mathematics by Jamil Baz( Book )
15 editions published between 2003 and 2005 in English and held by 368 libraries worldwide
Combining their corporate and academic experiences, Jamil Baz and George Chacko offer financial analysts a complete, succinct account of the principles of financial derivatives pricing. Readers with a basic knowledge of finance, calculus, probability and statistics will learn about the most powerful tools in applied finance: equity derivatives, interest rate markets, and the mathematics of pricing. Baz and Chacko apply concepts such as volatility and time, and generic pricing to the valuation of conventional and more specialized cases. Other topics include: *Interest rate markets, government and corporate bonds, swaps, caps, and swaptions *Factor models and term structure consistent models *Mathematical allocation decisions such as mean-reverting processes and jump processes *Stochastic calculus and related tools such as Kilmogorov equations, martingales techniques, stocastic control and partial differential equations Meant for financial analysts and graduate students in finance and economics, Financial Derivatives begins with basic economic principles of risk and builds up various pricing and hedging techniques from those principles. Baz and Chacko simplify the mathematical presentation, and balance theory and real analysis, making it a more accessible and practical manual. Jamil Baz holds an M.S. in Management from MIT and a Ph.D. in Business Economics from Harvard University. He is a Managing Director at Deutsche Bank in London. George Chacko has a B.S. from MIT in electrical engineering and a Ph.D. in Business Economics from Harvard University. He is an Associate Professor of Business Administration at Harvard Business School. Both authors have worked extensively for financial services firms in the private sector. They have published in leading academic journals including the Review of Financial Studies and the Journal of Financial Economics as well as practitioner journals such as the Journal of Fixed Income and the Journal of Applied Corporate Finance
Credit derivatives : a primer on credit risk, modeling, and instruments ( Book )
9 editions published between 2006 and 2007 in English and held by 292 libraries worldwide
Written to explain how to manage risk in your own organisation & for those wishing to manage risk on a full time basis, this text offers the essential knowledge about credit risk
Financial instruments and markets : a casebook by George Chacko( Book )
7 editions published in 2006 in English and held by 186 libraries worldwide
George Chacko's case studies have been requested by colleagues around the country. These cases represent a unique view of the financial field, providinga real-world perspective of how key concepts are applied in the field. Readers will gain a better understanding of business ideas through the information about real companies and real investment vehicles. The cases coverareas such as fixed income securities and derivative securities
The global economic system : how liquidity shocks affect financial institutions and lead to economic crises ( Book )
8 editions published in 2011 in English and held by 130 libraries worldwide
Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets by George Chacko( Book )
18 editions published between 1999 and 2005 in English and held by 94 libraries worldwide
Abstract: This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only slightly with her elasticity of intertemporal substitution; by contrast, optimal consumption relative to wealth depends on both preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging demand for stocks which is negative when changes in volatility are instantaneously negatively correlated with excess stock returns and investors have coefficients of relative risk aversion larger than one. The absolute size of this demand increases with the size of this correlation, and also with the persistence of shocks to volatility. An application to the US stock market shows that empirically this correlation is negative and large, which implies a negative hedging demand for stocks. This application also shows that only low frequency shocks to volatility exhibit enough persistence to generate sizable hedging demands by long-term, risk averse investors. A comparative statics exercise shows that the size of hedging demands is considerably more sensitive to changes in persistence than to changes in correlation
Average interest by George Chacko( Book )
9 editions published in 1997 in English and held by 75 libraries worldwide
Abstract: We develop analytic pricing models for options on averages by means of a state-space expansion method. These models augment the class of Asian options to markets where the underlying traded variable follows a mean-reverting process. The approach builds from the digital Asian option on the average and enables pricing of standard Asian calls and puts, caps and floors, as well as other exotica. The models may be used (i) to hedge long period interest rate risk cheaply, (ii) to hedge event risk (regime based risk), (iii) to manage long term foreign exchange risk by hedging through the average interest differential, (iv) managing credit risk exposures, and (v) for pricing specialized options like range-Asians. The techniques in the paper provide several advantages over existing numerical approaches
Cephalon, Inc. : taking risk management theory seriously by George Chacko( Book )
11 editions published in 2000 in English and held by 71 libraries worldwide
We study a firm that justifies its novel use of equity derivatives as a cash-flow hedging strategy. Our purpose is to understand the challenge of translating risk management theory into managerial action. Cephalon Inc., a biotech firm, bought a large block of call options on its own stock. If the FDA approved the firm's new drug, the firm would have large cash needs, which the options were designed to meet. We analyze this stated rationale for the firm's choice, applying the cash flow hedging concepts articulated by Froot, Scharfstein and Stein (1993). In applying the theory to practice, there are lessons for both managers and theorists. Managers consider deadweight costs of financing and of risk management, whereas theory tends to ignore the latter costs. While theory is driven by costs of external financing, managers must measure these costs to arrive at decisions and this measurement problem is severe. Cephalon's risk management decisions seem motivated as much by fluctuations in the availability and cost of external financing and by accounting considerations as by fluctuations in operating cash flows or desired investment. Finally, even a field-based examination of this strategy cannot reject the conclusion that the transaction was motivated by goals other than risk management
Valuation : methods and models in applied corporate finance by George Chacko( Book )
4 editions published in 2014 in English and held by 56 libraries worldwide
The global financial system : how liquidity shocks affect financial institutions and lead to a financial crisis by George Chacko( Book )
3 editions published between 2010 and 2011 in English and Undetermined and held by 10 libraries worldwide
A sophisticated, higher-level look at financial institutions in the new global economy, how they are interconnected, and why they fail. Explains the interconnected, interdependent global financial world in the context of recent market crises and other events
The global economic system : how liquidity shocks affect financial institutions and lead to a financial crisis ( Book )
2 editions published between 2010 and 2011 in English and held by 9 libraries worldwide
A sophisticated, higher-level look at financial institutions in the new global economy, how they are interconnected, and why they fail. Explains the interconnected, interdependent global financial world in the context of recent market crises and other events
Strategic asset allocation in a continuous-time var model by John Y Campbell( file )
5 editions published between 2002 and 2003 in English and held by 6 libraries worldwide
This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows an AR(1)process, while the riskless interest rate is constant. The note also shows how to obtain continuous-time parameters that are consistent with discrete-time econometric estimates. The continuous-time solution is numerically close to that of Campbell and Viceira and has the property that conservative long-term investors have a large positive intertemporal hedging demand for stocks
Applied corporate finance : valuation by George Chacko( Book )
2 editions published in 2012 in English and held by 5 libraries worldwide
Credit derivatives : understanding credit risk and credit instruments ( Book )
1 edition published in 2006 in English and held by 5 libraries worldwide
Gerontological care by George Chacko( Book )
1 edition published in 2013 in English and held by 4 libraries worldwide
Financial markets : a casebook by George Chacko( Book )
1 edition published in 2005 in English and held by 3 libraries worldwide
Pine Street Capital by George Chacko( Book )
2 editions published in 2002 in English and held by 2 libraries worldwide
A technology hedge fund is trying to decide whether/how to hedge equity market risk. Its hedging choices are short-selling and options. The fund has just gone through one of the most volatile periods in NASDAQ's history, and they are trying to decide whether they should continue their risk management program of short-selling the NASDAQ index, or switch to a hedging program utilizing put options on the index
Kurejitto deribatibu : shin'yō risuku shōhin handobukku ( Book )
2 editions published in 2008 in Japanese and held by 2 libraries worldwide
Pricing average interest rate options : a general approach by George Chacko( Book )
1 edition published in 1998 in English and held by 2 libraries worldwide
We develop general analytic pricing models for options on average interest rates. The method is general, and applies to any jump-diffusion multifactor term structure model from the affine class. The approach enables the pricing of standard Asian calls and puts, caps and floors, as well as other exotica. The models may be used (i) to hedge long period interest rate risk cheaply, (ii) to hedge even risk (regime based risk), (iii) to manage long term foreign exchange risk by hedging through the average interest differential, (iv) managing credit risk exposures, and (v) for pricing specialized options like range-Asians
Methods and models in applied corporate finance : valuation by George Chacko( Book )
1 edition published in 2014 in English and held by 2 libraries worldwide
Essays in fixed income pricing by George Chacko( Archival Material )
1 edition published in 1997 in English and held by 2 libraries worldwide
 
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Alternative Names
Chacko, George C.
Chacko, George C. 1967-
Chacko, George Carl 1967-
チャッコ, ジョージ
Languages
English (100)
Japanese (2)
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