Structured products in Asset Management

Understand, create and value structured products

Course objectives

  • Identify appropriate strategies to the context of Asset Management
  • Analyze construction methods of structured products based on equity derivatives
  • Understand the pricing methods of some structured products

Why are structured products suitable for Asset Management?

  • Examples of structured products
  • Legal and tax impact

Return on equity derivatives, rates and indices

  • Vanilla options and their settings
  • Optional strategies: mechanisms and targets
  • Exotic options commonly used in equity and rates structured products

Case Study: pricing vanilla derivatives for single underlying structured products

Classify and understand the structured market

  • Include swaps in structured products: performance swaps, PEA swaps, Equity swaps
  • The single underlying structured product based on vanilla options, barrier options, Asian
  • Multi-underlying structured products : Best Of, Worst Of baskets
  • Funds products on funds and CPPI
  • The case of convertible and reverse convertible bonds

Mechanics and valuation of structured products

  • What goals for the structurer?
  • What market conditions for the products?
  • Common pricing techniques

Case Study:

- Analysis of equity and rates structured product from a prospectus

- Identification of used optional strategies

Oscar Relier

Oscar Relier

Oscar has worked in corporate finance and trading room for SBC Warburg, UBS and Deutsche Bank. He masters the mechanism, use and pricing of derivatives. Also trained in behavioral techniques, he designs and conducts training on public presentation and on the issues of communication and management.

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