Professional Training
4.6 (5 Reviews)

Equity Structured Products

London Financial Studies, In London (+3 locations)
3 days
4,770 GBP excl. VAT
Next course start
Enquire for more information (+4 start dates)
Course delivery
Classroom, Self-Paced Online
3 days
4,770 GBP excl. VAT
Next course start
Enquire for more information (+4 start dates)
Course delivery
Classroom, Self-Paced Online
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Course description

Equity Structured Products

This Equity Structured Products course is 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.

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  • Classroom
  • London
  • English

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  • Classroom
  • New York
  • English

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  • Classroom
  • Singapore
  • English

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  • Self-Paced Online
  • Online
  • English

Wim Schoutens (Course leader)

Prof Wim 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 of Lévy Processes in Finance: Pricing Financial Derivatives and co-editor of Exotic Option Pricing and Advanced Lévy Models both published by Wiley. He is also co-author of "The Handbook of Convertible Bonds" and "The Handbook of Hybrid Securities" (Wiley). His research interests cover all areas of financial mathematics, and recent publications cover jump driven credit models as well as equity models, model risks, hedging of exotics and multivariate financial modelling.

Wim is also an independent expert advisor to the European Commission (DG-Competition) on “State aid assessment of valuation of impaired assets and of asset relief measures” and is a Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.

Wiley Finance Published Author.

Suitability - Who should attend?

"Equity Structured Products" course is aimed at:

  • 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 Requisites: A basic understanding of options.

Training Course Content

This "Equity Structured Products" course explores the following topics:

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 (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

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

Conclusion, discussion, open questions

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.

Why choose London Financial Studies

Established 1997

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Average rating 4.6

Based on 5 reviews.
Reviews are published according to our review policy.
Write a review!
Investment Advisor
28 Nov 2016
Great Seminar, Fantastic Tutor.

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...

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Trader, Banca IMI Spa
01 Sep 2015

The tutor did a great job. I think Dr Schoutens was very efficient in explaining the course content from the simplest concepts to more complicated contents. The excel exercises ...

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Analyst, Anima Asset Management
01 Apr 2015

I really appreciated how the course was structured and the freedom given to us by the teacher to satisfy the curiosity of each delegate.

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