Day One
The Basics of Option Pricing
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Options and Forwards
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The basic principles of option pricing
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Black and Scholes
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Implied volatility
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Exotic derivatives
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Dividends and Dividend Swaps
Basic Structured Products
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What are Structured Products?
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Comparison of Structured Products with traditional instruments
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Advantages of using Structured Products
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Principal protection vs principal at Risk
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Reverse Convertibles
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Bonus Certificates
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Range Accrual
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Path dependent structures
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Barriers
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Lock-In
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Cliquet
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Lookback - Hi Score
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Power
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Twin-Twin
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Auto cancellable options
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Equity Default Swaps
Workshop (Excel): Design of a Principal protected Notes and Reverse Convertibles
Day Two
Valuation of Derivatives and Structured Products
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Black and Scholes
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Smile conform pricing: towards jump models and stochastic Volatility Models
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Detailing Heston Volatility Model
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Vanilla Pricing under Heston Model
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Calibrating the model
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Monte Carlo pricing
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Introduction to basic variance reduction techniques
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Examples of how MC can be used to value and manage a range of path dependent exotic options
Workshop: MC pricing under Heston
Hedging and Risk Management of Structured Products
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Delta Hedging
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The consequences of delta hedging (what happens when the stock is illiquid)
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Static Hedging
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The Greeks: delta - gamma - theta -vega
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Volatility and the gamma-theta trade off
Workshop: Hedging Digital Options
Day Three
Correlation products
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What is correlation?
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What causes correlation?
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Dispersion trades
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Examples of correlation dependent exotic options
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Call on a basket of stocks or indices
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Worst of/ best of call options
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Barriers on worst and best of calls
Workshop: Design and MC pricing of Basket Products
Some products that went completely wrong and why
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Structured Credit Risk Products
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CPPI
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CPDO
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Gap risk
New trends in products
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Gap risk
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Hybrid products
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Volatility Derivatives
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Structured Credit Risk Products
Conclusion, discussion, open questions
