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Pricing Interest Rate Derivatives: A General Approach
Chacko, George; Das, Sanjiv - In: The review of financial studies 15 (2002) 1, pp. 195-242
Persistent link: https://www.econbiz.de/10007039854
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AVERAGE INTEREST Working Paper 6045
Chacko, George; Das, Sanjiv Ranjan - 1997
Persistent link: https://www.econbiz.de/10006998313
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George; Viceira, Luis M. - In: The review of financial studies 18 (2005) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10007021817
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STRATEGIC ASSET ALLOCATION IN A CONTINUOUS-TIME VAR MODEL
Campbell, John Y.; Chacko, George; Rodriguez, Jorge; … - 2003
Persistent link: https://www.econbiz.de/10006969731
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CAPITAL STRUCTURE - RAISING CONTINGENT CAPITAL: THE CASE OF CEPHALON
Chacko, George; Tufano, Peter; Verter, Geoffrey - In: Journal of applied corporate finance : JACF 15 (2002) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10006972854
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CEPHALON, INC. TAKING RISK MANAGEMENT THEORY SERIOUSLY
Chacko, George; Tufano, Peter; Verter, Geoffrey - 2000
Persistent link: https://www.econbiz.de/10006983314
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DYNAMIC CONSUMPTION AND PORTFOLIO CHOICE WITH STOCHASTIC VOLATILITY IN INCOMPLETE MARKETS
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10006986812
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Latent liquidity: A new measure of liquidity, with an application to corporate bonds
Mahanti, Sriketan; Nashikkar, Amrut; Subrahmanyam, Marti; … - In: Journal of financial economics 88 (2008) 2, pp. 272-298
Persistent link: https://www.econbiz.de/10008057816
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Spectral GMM estimation of continuous-time processes
Chacko, George; Viceira, Luis M. - In: Journal of econometrics 116 (2003) 1, pp. 259-292
Persistent link: https://www.econbiz.de/10006761938
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Pricing Interest Rate Derivatives : A General Approach
Chacko, George; Das, Sanjiv Ranjan - 2011
The relationship between affine stochastic processes and bong pricing equations in exponential term structure models has been well established. We connect this result to the pricing of interest rate derivatives. If the term structure model is exponential afffine, then there is a linkage between...
Persistent link: https://www.econbiz.de/10014191742