Johann Barchechath

Platform Partners Expert Structured Products at Leonteq, Zurich Autres cours :

Options exotiques et produits structurés

Les objectifs du cours

This module will (exceptionally) not open this year.

Exotic options: description, uses, analysis of Greeks.
Reverse engineering of structured products: decomposition, pricing and marketing.

Plan du cours

  • Interest Rate Exotic Options: description, examples and use in structured products
  • Exchange Rate Exotic Options: description, examples of products and analysis of Greeks
  • Exotic pay-off for equity
  • Simulation
  • Structured Products: introduction, development, classification, process of launch, customers' profile, sensitization to MiFID.
  • Review: option pricing, Greeks, ZC curve, credit risk
  • Reverse convertible: complete example of structuring
  • Preparation of case studies.

Bibliographie

Hull, Taleb, Zhang, Exotic options, a guide to second generation options, World Scientific, Peter G. Zhang, Second edition, 981-02-3482-1, 1998.

Hull, John C., Options, Futures & other Derivatives, International Edition, sixth Edition, 0-13-0149908-4.

Examen

(An oral presentation and) a final examination of a case study : http://structuredproducts.free.fr/