Options exotiques et produits structurés

Les objectifs du cours

Structured Products are popular again for retails and private banking. Developed on each asset class and also cross-assets, Structured Products propose unique risk / return ratio tailored to clients needs. After a drastic drop in volume after 2008, they have also tend to be less sophisticated and more focus on few popular products.

The course will recall some key elements in fixed income and derivatives to concentrate first on exotic payoffs and then structured products. We will have a review of products from each main asset class. We will learn how to build them (funded, or unfunded), how to hedge them and how to manage the life cycle.

The course includes the uses of online pricer and simulations.

Plan du cours

• Quick review of basics : IR, derivatives (incl. Exotic options & greek), trading book management
• Structured Products: introduction, développement, classification
• From a need to a product : the creation and launch process
• Life cycle process (post issuance)
• Review of SP by main asset class : IRS, FX, Equity
• Focus on Equity SP : pricing, case studies
• Simulations
   

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

100% final case study by group.