Advanced Structured Products
Duration:
2 days
2 days
Location:
Prague, Mövenpick Hotel
Prague, Mövenpick Hotel
- Introduction to Advanced Structured Products
- Valuation Techniques and Risk Warehousing
- Volatility Products
- Inflation-Linked Bonds and Inflation-Indexed Derivatives
- Multi-Underlying Products
- Credit Linked Structured Products
The purpose of this seminar is to present and discuss the mechanics, pricing, risk management and applications of a range of advanced structured products.
We start with a general introduction to the world of advanced structured products. We give an overview of the instruments and their major characteristics and we present a “pricing-toolbox” and a “Risk Warehouse” -approach for managing these instruments. We give a brief review of some of the concepts (volatility, correlation, options, stochastic process, Value-at-Risk and so forth) that we will use when analyzing the individual products.
We then present and discuss a number of instruments and strategies for volatility investing and trading. These include exchange traded instruments such as CBOE VIX futures and structured products with embedded “variance swaps” and options on realized variance.
Further, we look at inflation-linked products, ranging from “traditional” inflation-linked bonds to structured products with embedded inflation swap and inflation caps, floors and swaptions. We also look at how some types of commodity-linked notes can be used as a hedge against inflation (or deflation).
We continue to look at structures with multiple underlying instruments. Examples include basket options, options on min/max of N assets, best of equity/interest rate, interest swaps triggered by equity level, and debt products with FX components.
Finally we look at Credit-Linked Structured Products including sophisticated products such as CDS/EDS, nth-to-default baskets and their repackaging into CDOs. We will look at the difficulties of pricing these instruments mainly arising from missing credit correlations and come up with possible solutions to avoid “getting burned”.
We start with a general introduction to the world of advanced structured products. We give an overview of the instruments and their major characteristics and we present a “pricing-toolbox” and a “Risk Warehouse” -approach for managing these instruments. We give a brief review of some of the concepts (volatility, correlation, options, stochastic process, Value-at-Risk and so forth) that we will use when analyzing the individual products.
We then present and discuss a number of instruments and strategies for volatility investing and trading. These include exchange traded instruments such as CBOE VIX futures and structured products with embedded “variance swaps” and options on realized variance.
Further, we look at inflation-linked products, ranging from “traditional” inflation-linked bonds to structured products with embedded inflation swap and inflation caps, floors and swaptions. We also look at how some types of commodity-linked notes can be used as a hedge against inflation (or deflation).
We continue to look at structures with multiple underlying instruments. Examples include basket options, options on min/max of N assets, best of equity/interest rate, interest swaps triggered by equity level, and debt products with FX components.
Finally we look at Credit-Linked Structured Products including sophisticated products such as CDS/EDS, nth-to-default baskets and their repackaging into CDOs. We will look at the difficulties of pricing these instruments mainly arising from missing credit correlations and come up with possible solutions to avoid “getting burned”.
13.00 - 16.30 Inflation-Linked Bonds and Inflation-Indexed Derivatives
- Introduction to Inflation-Linked Products
- Treasury Inflation-Linked Securities (TIPS)
- Inflation-Indexed Swaps
- Inflation-Indexed Caps, Floors and Swaptions
- Pricing of Inflation-Linked Products
- Applications of Inflation-Linked Products
- Case Studies and Exercises
Day Two
09.00 - 09.15 Brief recap
09.15 - 12.00 Multi-Underlying Products
- Considerations about Correlations
- Basket Options
- Equity, Interest Rate, FX and Commodity Basket Options
- Pricing and Practical Applications
- Rainbow Structures
- Structures that Pay Min/Max of N Assets
- Structures that Pay Best of Equity / Interest Rate
- Structures with Two-Asset Correlation Options
- Structures with Spread Options
- Pricing and Practical Applications
- Debt Products with FX Components
- Dual Currency and Reverse Dual Currency Notes
- Currency Hedged Foreign Bonds
- Quanto Credit Products
- Pricing and Practical Applications
- Case Studies and Exercises
12.00 - 13.00 Lunch
13.00 - 15.45 Credit-Linked Structured Products
- Credit Linked Notes
- Leveraged Credit Linked Notes
- Collaterized Debt Obligations
- Synthetic and Hybrid CDO’s
- Credit and Equity Default Swaps
- n’th to Default Swaps
- Credit Correlations and Modelling issues
Evaluation and Termination of the Seminar
