Options exotiques et produits structurés
Course objectives
Exotic options: description, uses, analysis of Greeks.
Reverse engineering of structured products: decomposition, pricing and marketing.
Course outline
- 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.
References
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.
Assessment
(An oral presentation and) a final examination of a case study : http://structuredproducts.free.fr/