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Equity Structured Products: Design, Pricing and Implementation

London Financial Studies
En London (Inglaterra), New York (Estados Unidos)
4 opiniones

£ 3.525 - (4.147 )
+ IVA

Información importante

Descripción

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.

Información importante
¿Qué objetivos tiene esta formación?

¿Esta formación es para mí?

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

Requisitos: A basic understanding of options.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
20 noviembre 2017
London
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
New York
New York, Estados Unidos
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Opiniones

A

11/10/2016
Lo mejor The coach made an awesome work. I think Dr Schoutens was exceptionally productive in clarifying the course content from the easiest ideas to more confused substance. The excel related activities were amazingly helpful as they give you a considerably more pragmatic comprehension of the drivers of the option costs.

A mejorar No negative aspects.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.
A

14/10/2016
Lo mejor I truly liked the manner in which the course was organized and the flexibility given to us by the educator to fulfill the interest of every delegate.

A mejorar N/A.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.
A

11/09/2016
Lo mejor I have gained such a great amount from the equity structured items course that I would exceedingly prescribe to anyone that arrangement with the items themselves or with customers. Additionally, Professor Wim conveyed the class in a remarkable way by clarifying troublesome ideas in such a simple path with a blend of hypothesis and practice. Educator made the class truly fascinating and his instruction abilities are incredible. I would come back once more.

A mejorar Nothing.

Curso realizado: Septiembre 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Risk
Options
Design
IT risk
Equity
Derivatives
Implementation
Correlation
Risk Management
Gap risk
Hybrid products
Volatility Derivatives
CPPI
CPDO
Dividend Swaps
Equity Structured Products

Temario

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