ESCP Europe

How to design a structured product? How to price it? How to hedge it? For the reader, this book answers these questions progressively and extensively based on a selection of equity and interest-rate structured products. To do so, the manual first recalls the fundamentals of derivatives whenever necessary. Subsequently, it shows how the corresponding term sheet and the risk-return profile logically flow from a structured product’s design. Common products, such as capital protected, yield enhancement, and participation products are covered in substantial detail. Advanced topics are dealt with in a user-friendly, comprehensive, and instructional manner. Constant Proportion Portfolio Insurance (CPPI), Monte Carlo simulations, and floating-rate notes as well as callable bonds, swaptions, and hedging processes are treated in fully dedicated and in-depth chapters.