The purpose of this practical, advanced-level seminar is to give you a good understanding of the mechanics, investment characteristics, pricing and risks of a range of "non-vanilla" bond structures.

We start with a thorough introduction to convertible bonds, and we explain the motives for using these types of bonds for financing and investing purposes. We then take a closer look at different convertible structures, including standard convertibles, bonds with embedded warrants, mandatory convertibles, exchangeable bonds, contingent convertibles and more "exotic" structures. We explain – using detailed examples and computer simulations – how the structures are priced and risk assessed. Key ratios such as "conversion ratio", "conversion price", "parity", and "conversion premium" are explained, and we discuss techniques for investing in convertible bonds.

Further, we then look at the rapidly growing market for inflation-linked products. We explain the features of these bonds and illustrate with a number of examples, including Treasury Inflation Protected Securities (TIPS). We explain how nominal and real yield is calculated, and we discuss how investment portfolios can be risk-return enhanced by inclusion of these securities. We also look at some more recent inflation-linked products, including inflation swaps and inflation options, and we explain their possible uses in managing the asset-liability risk in pension funds and life insurance companies.

Further, we explain and demonstrate how bonds with embedded options such as callable and putable bonds and bonds backed by prepayable mortgages can be analyzed using analytical and numerical techniques. We also look at Collaterized Mortgage Obligations and other mortgage derivate instruments.

Finally we present and analyze a number of additional option-embedded bonds, including capped floaters, multi-callable capped floaters, and step-up callable notes, inverse floaters, callable snowball notes and CMS-linked notes.