Structured products: mechanisms and main uses

Create and evaluate the main structured products

Course objectives

  • Master the market, the actors and their motivations

  • Understand how the main structures are designed in the market and know how to calculate their price

  • Know the risks of structured products

Creating a structured product

  • The different types of structured products
  • Theoritical price and hedging costs
  • Price sensitivity factors
  • Secondary market


  • Short term and long term rates, bonds, inflation
  • CMS principles: introduction to convexity

1st generation options

  • Caps and Floors
  • Digital options

Callable structures

  • The «short convexity» syndroma
  • The «Vol bonds» case

2nd generation structured products

  • Introducing path dependency
  • The path dependency hints
  • General principles of Monte Carlo simulation
  • Tarns and snowballs
  • Auto calls and trigger bonds

Case Study: Analysis of 1st and 2nd generation structured products

The buy side

  • Needs and constraints of customers

Case Study: Create a structured product adapted to your client's needs

The sell side

  • Which product for which need ?

Case Study: Analysis of structured products according to market conditions

The market factors

  • Interest rates
  • Volatility
  • Other factors

Thierry Gainon

Thierry Gainon

Thierry has worked his entire career in the financial markets where he was in charge of structuring on the fixed income and equities markets. Today, in charge of risk for a pension fund, he masters the technical aspects of structured products and has extensive knowledge of the current offer.

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