Advanced Structured Products - Volatility and Multi-Underlying Structures

Duration:
1 day
Location:
Prague, NH Hotel Prague
  • Introduction to Advanced Structured Products
  • Volatility and Variance Swaps
  • Gamma Swaps
  • Basket Products
  • Himalaya Bonds
  • Correlation and Spread Products
  • Min/Max and Best/Worst of Products
  • Hybrid Debt/FX Products
The purpose of this seminar is to present and discuss the mechanics, pricing, risk management and applications of a range of advanced structured products.

We start with a general introduction to the world of advanced structured products. We give an overview of the instruments and their major characteristics and we present a "pricing-toolbox" and a "Risk Warehouse" -approach for managing these instruments. We give a brief review of some of the concepts (volatility, correlation, options, stochastic process, Value-at-Risk and so forth) that we will use when analyzing the individual products.

We then turn to look at volatility, which has become an asset class in its own right. A range of structured derivative products are now the preferred route for many hedge fund managers and proprietary traders to make bets on market volatility. We then present and discuss a number of instruments and strategies for volatility investing and trading. These include exchange traded instruments such as CBOE VIX futures and structured products with embedded "variance swaps" and options on realized variance. We explain the mechanics and risk/return characteristics of the products and present and discuss strategies for trading and investing with volatility products. We also explain how to hedge positions in volatility products.

We continue to look at structures with multiple underlying instruments. Examples include basket options, "Himalaya bonds", options on min/max of N assets, best of equity/interest rate, interest swaps triggered by equity level, dual-currency products, and debt products with FX components. Also here we explain mechanics and risks of the products, and we give practical examples of their applications in investing and risk management.

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Introduction to Advanced Structured Products

  • Properties
  • Valuation Techniques
  • Risk Assessment and VaR Calculation
  • Monte Carlo Simulation
  • Risk Warehousing

Volatility Products

  • Volatility as an Asset Class
  • CBOE VIX Futures
  • OTC Volatility Products
    • OTC Variance Swaps
    • Gamma Swaps
    • Corridor Variance Swaps
    • Options on Realized Variance
  • Structured Products with Embedded Variance and Gamma Options
  • Trading and Pricing Volatility
  • Investment Strategies with Volatility Products
  • Hedging Volatility Products
  • Case Studies and Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Multi-Underlying Products

  • Considerations about Correlations
  • Basket Options
    • Equity, Interest Rate, FX and Commodity Basket Options
    • Pricing and Practical Applications
  • Rainbow Structures
    • Structures that Pay Min/Max of N Assets
    • Structures that Pay Best of Equity / Interest Rate
    • Structures with Two-Asset Correlation Options
    • Structures with Spread Options
    • Pricing and Practical Applications
  • Debt Products with FX Components
    • Dual Currency and Reverse Dual Currency Notes
    • Currency Hedged Foreign Bonds
    • Pricing and Practical Applications
  • Quanto Credit Products
  • Case Studies and Exercises

Evaluation and Termination of the Seminar

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