Structured Equity Products 1: Mechanics and Basics of Pricing

LEVEL: INTERMEDIATE LEVEL

▪	Master the mechanics and pricing of standard options
▪	Understand the notion of volatility (concept and modelling)
▪	Know the mechanics and uses of volatility products

▪	Pricing standard and exotic options - Introductory
▪	Volatility - Intermediate
▪	Smile - Intermediate
▪	Exotic option pay-offs - Intermediate
▪	Structuring equity products - Intermediate

▪	Progressive overview of structured equity products, legal and financial aspects
▪	Introduction to exotics in order to analyse complex structured products
▪	Introduction to the fundamentals of pricing through simulation methods

▪	Fund managers
▪	Junior structurers
▪	Salespeople
▪	Brokers
▪	Middle office, senior back office
▪	Internal controllers, auditors
▪	Financial divisions
▪	Risk managers
▪	Junior traders
▪	Institutional investors

Professions Involved in the Structuring Process
▪	Structuring desk (sell-side)
▪	Other teams involved (buy-side)
▪	Structuring a product
Intuitive Approach to Vanilla Derivatives
▪	Determining factors on the premium (forward, options)
▪	Sensitivity indicators
▪	Classic strategies
▪	Curves (interest rate, volatility, skew, dividend)
▪	Practical Workshop . Pricing in EXCEL™, Gamma hedging
Exotic Pay-Offs
▪	Overview of exotic options: lookback, barriers, Asian, ladder, ratchet, baskets
▪	Typology: forward start, stop loss, path dependant, multiple underlyings
▪	Practical Workshop . Comparison between pay-offs in function of fluctuations in the underlying
Structuring
▪	Definition, structure, pricing
▪	Documentation, term sheets
▪	Issue, post-sale
▪	Practical Workshop . Price a structured swap, reverse engineering
Overview of Equity Structured Products
▪	Option packages: spreads, collars
▪	Guarantee products (interest rate, volatility), CPPI
▪	Coupon products: reverse convertibles, corridors
▪	Tax products: dividend swaps, CFD
▪	Volatility/correlation/dispersion products: variance swaps
▪	Practical Workshop . Pricing: spread, zero-cost collar, guaranteed capital product (zero-coupon calculation, cash flow discounting, investable premium, pay-off choice)
Review: The Underlying Theory of Equity Markets
▪	Market assumptions and models
▪	Return distribution
▪	Historical volatility/Implicit volatility