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Equity Structured Products

London Financial Studies
Course summary
3 days
3,990 GBP excl. VAT
English
Professional Training
Next available date: Enquire for more information - Online courses
Course Dates
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London
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Course description

Equity Structured Products: Design, Pricing & Implementation 

This Equity Structured Products training 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.

Can't travel? Don't want to travel? LFS Live brings the class to you!

  • Live interactive training from world renowned practitioners in the comfort of your own home
  • Real classroom experience without the inconvenience of travel
  • World class teaching from the comfort of your preferred location

Please contact us for more information.

Suitability - Who should attend?

"Equity Structured Products" training 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" training 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

Why choose London Financial Studies

Established 1997

Training delivered to 14,300 professionals from almost 2,000 companies

97% recommendation rate 

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About provider

London Financial Studies - Capital Markets Learning

Exclusive training for Capital Markets & Investment Bankers in Europe, Americas and Asia Pacific

London Financial Studies are specialists in delivering professional development for finance professionals focusing on capital markets. LFS provide individuals, teams and companies with expert teaching that combines theoretical understanding with practical experience, giving them the knowledge to operate at the...


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Contact info

London Financial Studies

34 Curlew Street
SE1 2ND London

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www.londonfs.com


Reviews

Average rating 4.6

Based on 5 reviews

Investment Advisor
(5)
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 more about the whole subject.
Trader, Banca IMI Spa
(5)
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 were extremely useful as they give you a much more practical understanding of the drivers of the option prices [...]
Analyst, Anima Asset Management
(4)
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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Reviews
Course rating
(4.6)
Based on 5 reviews
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