Advanced Structured Products

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Introduction to Advanced Structured Products

• Properties
• Valuation Techniques
• Risk Assessment and VaR calculation
• Monte Carlo Simulation
• Risk Warehousing

Volatility Products

• CBOE VIX Futures
• OTC Variance Swaps
• Gamma Swaps
• Corridor Variance Swaps
• Options on Realized Variance
• Hedging Volatility Products
• Case Studies and Exercises

12.00 - 13.00 Lunch

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