Structured Products Design Pricing and Implementation
Training
Provided by London Financial Studies
Course Outline
A comprehensive seminar on the design, use and pricing of structured products. This course explains how the products are constructed, hedged and applied in live situations.
Practical workshops illustrate the details of product design and use. They provide participants with the confidence that stems from a solid understanding of the current frameworks for pricing and applying exotic options.
Who The Course is For
* Structured Products Desks, Financial Engineers, Product Controllers
* Traders, Dealing Room Staff and Sales People
* Risk Managers, Quantitative Analysts and Middle Office Managers
* Fund Managers, Investors, Senior Managers
* Researchers and Systems Developers
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Prior Knowledge
A basic understading of options.
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Structured Products Design Pricing and Implementation
Day One
The Basics of Option Pricing
* Options and Forwards
* The basic principals of option pricing
* Black and Scholes
* Implied volatility
* Exotic derivatives
* Dividends and Dividend Swaps
Basic Structured Products
* What are SPs ?
* Comparison of SPs with traditional instruments
* Advantages of using SPs
* Principal protection vs principal at Risk
* Reverse Convertibles
* Bonus Certificates
* Range Accrual
* Path dependent structures
o Barriers
o Lock-In
o Cliquet
o Lookback - Hi Score
o Power
o Twin-Twin
* Auto cancellable options
* Equity Default Swaps
Workshop (Excel): Design of a Principal protected Notes and Reverse Convertibles
Day Two
Valuation of Derivatives and Structured Products
* Black and Scholes
* Smile conform pricing: towards jump models and stochastic Volatility Models
* Detailing Heston Volatility Model
* Vanilla Pricing under Heston Model
* Calibrating the model
* Monte Carlo pricing
* Introduction to basic variance reduction techniques
* Examples of how MC can be used to value and manage a range of path dependent exotic options
Workshop: MC pricing under Heston
Hedging and Risk Management of Structured Products
* Delta Hedging
* The consequences of delta hedging (what happens when the stock is illiquid)
* Static Hedging
* The Greeks: delta - gamma - theta -vega
* Volatility and the gamma-theta trade off
Workshop: Hedging Digital Options
Day Three
Correlation Products
* What is correlation ?
* What causes correlation ?
* Dispersion trades
* Examples of correlation dependent exotic options
* Call on a basket of stocks or indices
* Worst of/ best of call options
* Barriers on worst and best of calls
New trends in Products
* CPPI
* CPDO
* Gap risk
* Hybrid products
* Volatility Derivatives
* Structured Credit Risk Products
Workshop: Design and MC pricing of Basket Products
Conclusion, discussion, open questions
The Basics of Option Pricing
* Options and Forwards
* The basic principals of option pricing
* Black and Scholes
* Implied volatility
* Exotic derivatives
* Dividends and Dividend Swaps
Basic Structured Products
* What are SPs ?
* Comparison of SPs with traditional instruments
* Advantages of using SPs
* Principal protection vs principal at Risk
* Reverse Convertibles
* Bonus Certificates
* Range Accrual
* Path dependent structures
o Barriers
o Lock-In
o Cliquet
o Lookback - Hi Score
o Power
o Twin-Twin
* Auto cancellable options
* Equity Default Swaps
Workshop (Excel): Design of a Principal protected Notes and Reverse Convertibles
Day Two
Valuation of Derivatives and Structured Products
* Black and Scholes
* Smile conform pricing: towards jump models and stochastic Volatility Models
* Detailing Heston Volatility Model
* Vanilla Pricing under Heston Model
* Calibrating the model
* Monte Carlo pricing
* Introduction to basic variance reduction techniques
* Examples of how MC can be used to value and manage a range of path dependent exotic options
Workshop: MC pricing under Heston
Hedging and Risk Management of Structured Products
* Delta Hedging
* The consequences of delta hedging (what happens when the stock is illiquid)
* Static Hedging
* The Greeks: delta - gamma - theta -vega
* Volatility and the gamma-theta trade off
Workshop: Hedging Digital Options
Day Three
Correlation Products
* What is correlation ?
* What causes correlation ?
* Dispersion trades
* Examples of correlation dependent exotic options
* Call on a basket of stocks or indices
* Worst of/ best of call options
* Barriers on worst and best of calls
New trends in Products
* CPPI
* CPDO
* Gap risk
* Hybrid products
* Volatility Derivatives
* Structured Credit Risk Products
Workshop: Design and MC pricing of Basket Products
Conclusion, discussion, open questions
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
