IEORE4735 Structured and Hybrid Products
Prerequisites: Refer to course syllabus. Spring: Introduction to Structured and Hybrid Products, taught by Professor I. Kani. In this course we will seek to gain a conceptual and practical understanding of structured and hybrid products from the standpoint of relevant risk factors, design goals and characteristics, pricing, hedging and risk management. We will perform detailed analysis of the underlying cash-flows, embedded derivative instruments and various structural features of these transactions, both from the investor and issuer perspectives, and we will analyze the impact of the prevailing market conditions and parameters on their pricing and risk characteristics. We will cover numerical methods for valuing and managing risk of structured/hybrid products and their imbedded derivatives and we will examine their application to equity, interest rates, commodities and currencies, inflation and credit related products. We will discuss the conceptual and mathematical principals underlying these techniques, and examine practical issues that arise in their implementations in the Microsoft Excel/VBA and other programming environments.