Course description
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.
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
Prior Knowledge
A basic understanding of options.
Upcoming start dates
Who should attend?
London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. GARP & CFA Institute members attending this course are eligible for CE/CPD credits.
Training content
Day One
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
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
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
Course delivery details
Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.
Please contact LFS for more details.
Costs
- $5445
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London Financial Studies - Capital Markets Executive Education in the USA
Global markets move quickly, evolving continuously and deepening in complexity. Over the past decades London Financial Studies has provided specialist executive education programs and short courses focused exclusively on global capital markets. Preparing only the highest quality and most relevant...
Great seminar, fantastic tutor. Gives you a great insight to the world of Structured Products, through theoretical but also practical experience. Inspiring for getting to know m...