Menu
Member area
Derniers billets
No items to display
Blog
Annuaire
Vidéos récentes
No items to display
Vidéos
Derniers messages
No items to display
Forum
- Volatility Derivatives 1
- The world of Structured Products 4
- Library of Structured Products 0
- Table of Contents
- Vanilla Options
- Volatility, Skew and Term Stru
- Option Sensitivies: Greeks
- Option Strategies
- Correlation
- Dispersion Options
- Barrier Options
- Digitals
- Autocallable Structures
- The Cliquet Family
- Home /
- Structured Products /
- Table of Contents
Table of Contents
Part 1. Foundations
1. The World of Structured Products
1.1. The Products
1.1.1. The Birth of Structured Products
1.1.2. Structured Product Wrappers
1.1.3. The Structured Note
1.2. The Sell Side
1.3. The Buy Side
1.3.1. Retail Investors
1.3.2. Institutional Investors
1.3.3. Credit Risk
1.4. The Market
1.4.1. Issuing a Structured Product
1.4.2. Liquidity and a Two-way Market
1.5. Example of an ELN
2. Basic Instruments
2.1. Interest Rates
2.1.1. LIBOR
2.1.2. Yield Curves
2.1.3. Bonds
2.1.4. Zero Coupon Bonds
2.2. Equities
2.3. Swaps
2.3.1. Interest Rate Swaps
2.3.2. Cross-currency Swaps
2.3.3. Total Return Swaps
2.3.4. Dividend Swaps
3. Vanilla Options
3.1. Put-Call Parity and Synthetic Options
3.2. Black-Scholes model
3.2.1. Risk-neutral Pricing
3.3. Pricing European Options
3.4. The Cost of Hedging
3.5. American Options
3.5.1. American Calls
3.5.1. American Puts
3.6. Asian Options
3.7. Struturing Process: A way of thinking
4. Volatility, Skew and Term Structure
4.1. Volatility
4.1.1. Realized Volatility
4.1.2. Implied Volatility
4.2. The (Implied) Volatility Surface
4.2.1. The Implied Volatility Skew
4.2.2. Term Structure of Volatilities
4.3. Volatility Models
4.3.1. Model Choice and Model Risk
4.3.2. Black- Scholes or Flat Volatility
4.3.3. Local Volatility
4.3.4. Stochastic Volatility
5. Option Sensitivities : Greeks
5.1. Delta
5.2. Gamma
5.3. Vega
5.4. Theta
5.5. Rho
5.6. Relationships between the greeks
5.7. Volga
5.8. Vanna
5.9. Multi-Asset Sensitivities
5.9.1. Cross Gamma
5.9.2. Correlation Delta
5.10. Approximations to BS and Greeks
6. Strategies involving Options
6.1. Vertical Spreads
6.1.1. Bull Spreads
6.1.2. Bear Spreads
6.2. Other Spreads
6.2.1. Butterfly Spreads
6.2.2. Condor Spreads
6.2.3. Ratio Spreads
6.2.4. Calendar Spreads
6.3. Option Combinations
6.3.1. Straddles
6.3.2. Strangles
6.4. Arbitrage Freedom of the IV Surface
7. Correlation
7.1. Multi-Asset Options
7.2. Correlation: Interpretation
7.2.1. Correlation Matrices
7.2.2. Portfolio Variance
7.2.3. Implied Correlation
7.2.4. Correlation Skew
7.3. Basket Options
7.4. Quantity Adjusting Options: “Quantos”
7.4.1. Quanto Payoffs
7.4.2. Quanto Correlation and Quanto Option Pricing
7.4.3. Hedging the Quanto Risk
7.5. Trading Correlation
7.5.1. Straddles: Index VS Constituents
7.5.2. Correlation Swaps
Part 2. Exotic Derivatives and Structured Products
8. Dispersion
8.1. Measures of Dispersion and Interpretations
8.2. Worst-of Options
8.2.1. Worst-of Call
8.2.2. Worst-of Put
8.2.3. Market Trends in Worst-of Options
8.3. Best-of Options
8.2.1. Best-of Call
8.2.2. Best-of Put
8.2.3. Market Trends in Best-of Options
9. Dispersion Options
9.1. Rainbow Options
9.1.1. Payoff Mechanism
9.1.2. Risk Analysis
9.2. Individually Capped Basket Call (ICBC)
9.2.1. Payoff Mechanism
9.2.2. Risk Analysis
9.3. Outperformance Options
9.3.1. Payoff Mechanism
9.3.2. Risk Analysis
10. Barrier Options
10.1. Barrier Option Payoffs
10.1.1. Knock-out Options
10.1.2. Knock-in Options
10.2. Discussion
10.2.1. Parity Relationships
10.2.2. Discrete Barriers
10.3. Hedging Down-and-in Puts
10.3.1. Monitoring the Barrier
10.3.2. Volatility and Down-and-in Puts
10.3.3. Dispersion effects on WO Down-and-in Puts
10.4. Barriers in Structured Products
10.4.1. Multi-asset Shark
10.4.2. Single asset Reverse Convertible
10.4.3. WO Reverse Convertible
11. Digitals
11.1. European Digitals
11.1.1. Digital Payoffs and Pricing
11.1.2. Replicating a European Digital
11.1.3. Hedging a Digital
11.2. American Digitals
11.3. Risk Analysis
11.3.1. Single Asset Digitals
11.3.2. Digital Options with Dispersion
11.3.3. Volatility Models for Digitals
11.4. Structured Products involving European Digitals
11.4.1. Strip of Digitals Note
11.4.2. Growth and Income
11.5. Structured Products involving American Digitals
11.5.1. Wedding Cake
11.5.2. Range Accrual
11.6. Outperformance Digital
11.6.1. Payoff Mechanism
11.6.2 Correlation Skew and Other Risks
12. Autocallable Structures
12.1. Single Asset Autocallables
12.1.1. General Features
12.1.2. Interest Rate / Equity Correlation
12.2. Autocallable Participating Note
12.3. Autocallable with Down-and-in Puts
12.3.1. Adding the Put Feature
12.3.2. Twin-Wins
12.4. Multi-Asset Autocallables
12.4.1. Worst-of Autocallables
12.4.2. Snowball Effect and Worst-of put Feature
12.4.3. Outperformance Autocallables
Part 3. More on Exotic Structures
13. The Cliquet Family
13.1. Forward Starting Options
13.2. Cliquets with local floors and caps
13.2.1. Payoff Mechanism
13.2.2. Forward Skew and Other Risks
13.3. Cliquets with global floors and caps
13.3.1. Vega Convexity
13.3.2 Levels of These Risks
13.4. Reverse Cliquets