Structured Products

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 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. With the advent of structured products, institutional investors are required both to have a strong technical knowledge, yet also the flair to move swiftly on their instincts. This book explains the nature of the principal products. By means of a brief chapter on the basic principles and fundamental rules, this book analyses twenty distinct structures within fixed income and variable income.

This book explains in a practical manner for institutional investors the main structured products that have been developed over the past decade. This is achieved by studying in detail the risks, valuation and key elements of each structured product in turn. The basic principles and underlying philosophy behind the concept are explained in order to give investors a thorough understanding of each product.

The book features details on the following:

• Basic aspects of structured products
• Fundamental aspects used to carry out instrument assessment and risk measurement
• Equity indexed structures
• Fixed income structures
• Ten golden rules of structured products.

Over the past decade, structured products have become part of the financial mainstream. The area is characterized by rapid market expansion and product innovation as the acceptance and use of derivative structures has become more widespread.

This book takes a practical approach to the principal structured products which have been appearing in financial markets during the past few years. The investor will find in this work answers to questions which could arise in investment dealings, and how to maximize the potential for profitability.

An excellent reference source for the institutional investor, this book will assist in the understanding of this area, showing that it is not necessarily as complex as it may initially seem.