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Equity Structured Products: Pricing & Risk Management

 

In recent years the landscape of equity structured products has changed dramatically. This has been due to a changing regulatory environment, a shift in market conditions and changed investor appetite – particularly for the more exotic products. This advanced derivatives course provides participants with the necessary tools to construct, trade and risk manage equity structured products in the light of this changing environment.
The starting point of the course is the importance of market dynamics in determining product risk and subsequent hedging schemes. This approach allows the participants to determine the appropriate product depending upon market conditions and the investment aims of the product buyers. A consequence of this approach is that the price of a structured product is the cost of hedging that product as the underlying equity randomly evolves with the market dynamics. This paradigm is then used to build up a theory of trading and risk management.
The course covers the use of vanilla, digital and barrier options to construct some of the more common retail structured products. This is then extended to include lookback, lock-in, cliquet, quanto and composite options to cover some of the more advanced issues in the structured products market. In addition structured notes with embedded equity optionality are included. The course demonstrates how callable reverse convertibles, knock-in reverse convertibles and autocallables can be priced and risk managed. A practical hands-on approach is taken with excel workshops demonstrating practical aspects of trading and risk management.

 


Location:
 London, United Kingdom
Country:
  United Kingdom
Start Date:
 Oct 27, 2014
End Date:
 Oct 28, 2014
Organizer:
 N/A
Sectors:
 Business & Finance
Education
 
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