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Course module: 201300062
201300062
Structured Products
Course infoSchedule
Course module201300062
Credits (ECTS)5
Course typeCourse
Language of instructionEnglish
Contact persondr.ir. W.J.A. van Heeswijk
E-mailw.j.a.vanheeswijk@utwente.nl
Lecturer(s)
Examiner
dr.ir. W.J.A. van Heeswijk
Contactperson for the course
dr.ir. W.J.A. van Heeswijk
Lecturer
prof.dr. L. Spierdijk
Lecturer
dr. V.L. Tchistiakov
Academic year2022
Starting block
2A
Application procedureYou apply via OSIRIS Student
Registration using OSIRISYes
Aims
Understand how to use derivatives to fit (almost) any desired payoff profile. After completing the course, the student:
  • Has a good understanding of financial derivatives;
  • Can mathematically structure and value derivatives;
  • Understands risk management issues related to structured products and can design derivatives to mitigate risk;
  • Can apply financial simulation techniques to a variety of structured products;
  • Can communicate about the implications of structured products in managerial language.
     
Content
A structured product is a combination of positions in one or more underlying assets and in several derivatives on the assets. Structured products are engineered to deliver customized return/risk profiles to answer the specific needs of a given investor. Some structured products are built to lower the holder’s tax liability (tax arbitrage) or to side-step regulatory constraints (regulatory arbitrage), but most respond to more fundamental economic needs. Users of structured products range from institutions to retail investors. A quick introduction to behavioural economics is thus included in the course material.

The course will first focus on the financial architecture of structured products and the needs they are meant to answer. Then, we will turn to the issue of pricing and hedging such products. A number of related risk management issues will be touched, and relevant simulation techniques to value complex derivatives will be addressed.

Finally, we will introduce contemporary products, mainly equity derivatives credit derivatives, like CDS and CDO, which are default risk-based contracts increasingly used in structured products, as well as insurance-related products such as bonds with embedded options and catastrophic bonds


Grade:
Exam 60%,
Assignment 1: 20%,
Assignment 2: 20%; 
Minimum required score Exam: 5.0; Minimum required score Assignments: 5.0
Assessment
Grade:
Exam 60%,
Assignment 1: 20%,
Assignment 2: 20%; 
Minimum required score Exam: 5.0; Minimum required score Assignments: 5.0
Assumed previous knowledge
Necessary: Mathematical Finance (201300060):
Desired: Risk Management (191860181)
Participating study
Master Industrial Engineering and Management
Required materials
Book
Risk Management and Financial Institutions, Author: John C. Hull, most recent international edition, ISBN 978013800617-4
Recommended materials
-
Instructional modes
Lecture
Presence dutyYes

Tutorial
Presence dutyYes

Tests
Exam

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Kies de Nederlandse taal