FINA690K Structured Products and Exotic Options

Course Outline

 
Lecture Note

 

 

 

 










 

Homework set





Test






 

 

 

 
Topic One  Callable bonds and structured notes
  1.1     Callable bonds
 1.2     Structured notes
 1.3     Equity-linked products - Asian examples
Topic Two  Convertible bonds
  2.1     Convertible bonds as an asset class 
          Convertible bonds as an asset class (ppt format)
 2.2     Analytics of convertible and structured convertibles
            Analytics of convertible and structured convertibles  (ppt format)
Topic Three  Asset backed securities
  3.1     Total return swap 
          Exotic swaps (ppt format)
 3.2     Mortgage backed securities
         Mortgage backed securities (ppt format)
Topic Four Asset backed securities
  Portfolio credit derivatives - correlation product

                  
 

Homework One Solution to HW1
Homework Two Solution to HW2
   
First reading assignment - convertible bonds
Seconding reading assignment - CDO
   
Test 1  
Test 2