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Structured Products: Design, Pricing and Implementation

in London Financial Studies (England)

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Price:

£2,700 + VAT Special offers 

Duration:

3 Days

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Requirements:

A basic understading of options.

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Course objectives:

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.

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Course details

Type Course Duration 3 Days
Method / place Contact course provider Classes
Suitability * 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
Course objectives 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.
Requirements
A basic understading of options.
Price £2,700 + VAT
Special offer
Request this special offer here
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Course programme

Structured Products: Design, Pricing and Implementation
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

  • Barriers

  • Lock-In

  • Cliquet

  • Lookback - Hi Score

  • Power

  • 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
     
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    Teachers/ trainers

    profesorado Wim Schoutens


    Professor Schoutens is a research Professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work in the banking industry. Wim is also the author
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    On London Financial Studies

    Provider description
    <strong>London Financial Studies</strong> 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.
    Advantages of studying with London Financial Studies
    At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability.

    Our business is driven by a distinct philosophy and clear values:
    Practical Application Intellectual Clarity Personal Approach Economic Value
    Course provider history
    In the past decade London Financial Studies has become widely acclaimed as one of the best teaching resources for capital markets practitioners. Over that time we have delivered a diverse range of programmes to individuals, major financial institutions and government bodies worldwide.

    The <strong>London Financial Studies</strong> ethos of combining excellent and effective teaching grounded in sound theory as well as relevant and practical real-world experience is a direct result of the experience of the founder, David Cox.

    During his career in banking, he became aware of the acute need for high quality teaching relating to capital markets. After leaving the City he joined the London Business School and set out to develop techniques and materials to meet this need. The result was a series of short courses for practitioners: The Financial Markets Seminar Programme. London Financial Studies has refined the approach and uses the same methodology throughout its programme.
    Specialises in
    Credit Econometrics Equity Fixed Income and Inflation General Capital Markets Mathematics Other Asset Classes Quantitative Techniques

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