Equity Structured Products

A comprehensive programme 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.

• 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

A basic understanding of options.

The Basics of Option Pricing

• Options and Forwards
• The basic principles of option pricing
• Black and Scholes
• Implied volatility
• Exotic derivatives
• Dividends and Dividend Swaps

Basic Structured Products

• What are Structured Products?
• Comparison of Structured Products with traditional instruments
• Advantages of using Structured Products
• Principal protection vs principal at Risk
• Reverse Convertibles
• Bonus Certificates
• Range Accrual
• Path dependent structures
  • Barriers
  • Lock-In
  • Cliquet
  • Lookback - Hi Score
  • Power
  • Twin-Twin
• Auto cancellable options
• Equity Default Swaps

Workshop: Design of a Principal protected Notes and Reverse Convertibles

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

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

Workshop: Design and MC pricing of Basket Products

Some Products that Went Completely Wrong and Why

• Structured Credit Risk Products
• CPPI
• CPDO
• Gap risk

New Trends in Products

• Gap risk
• Hybrid products
• Volatility Derivatives
• Structured Credit Risk Products