Structured Products
A Complete Toolkit to Face Changing Financial Markets
Wiley Finance Series
Over the past decade there has been a great escalation in thesophistication of the
financial markets and technology and as a result many newderivatives products have
been developed.
Structured Products offers practical details on the mainstructured products developed over the last ten years. The booklooks in detail at the risks, valuation and key elements of eachstructured product in turn. It explains the basic principles andunderlying philosophies behind the concept giving investors athrough understanding of each product in a conceptual and practicalway.
Foreword
General introduction
PART I BASIC ASPECTS OF STRUCTURED PRODUCTS
Structured products
Instrument valuation and risk measurement
PART II EQUITY STRUCTURES
Warrants
Equity deposit
Asian deposit
Straddle with knockout deposit
Digital ranges
Reverse convertible
Ladder bond
Basket bond
Spread bond
Best-of bond
PART III FIXED INCOME STRUCTURES
Floating rate note
Reverse floating rate note
Collared floating rate note
Digital ranges (corridor notes)
Step-up callable
Reset note
Participating swap
Performance swap
Step-up triggered cap
Constant maturity bond
Appendix A: Ten golden rules.
Appendix B: Characters from the buyer's viewpoint
Bibliography
Index
General introduction
PART I BASIC ASPECTS OF STRUCTURED PRODUCTS
Structured products
Instrument valuation and risk measurement
PART II EQUITY STRUCTURES
Warrants
Equity deposit
Asian deposit
Straddle with knockout deposit
Digital ranges
Reverse convertible
Ladder bond
Basket bond
Spread bond
Best-of bond
PART III FIXED INCOME STRUCTURES
Floating rate note
Reverse floating rate note
Collared floating rate note
Digital ranges (corridor notes)
Step-up callable
Reset note
Participating swap
Performance swap
Step-up triggered cap
Constant maturity bond
Appendix A: Ten golden rules.
Appendix B: Characters from the buyer's viewpoint
Bibliography
Index
ROBERTO KNOP is deputy manager of market risk at Banco Santander Central Hispano where he is responsible for the methodology and quantitative team. He has over ten years experience of derivatives pricing, market risk measurement and also has considerable experience of training others in derivatives pricing and market risk.