Foreword

Acknowledgements

Goal of this book

Who should be interested

Content summary

Part I Individual Structured Products

1 Introduction (3 pages)

2 Generalities About Structured Products (21 pages)

2.1 A Definition by Analogy

2.2 Buyers, Sellers and Reasons for Investing in Structured Products

2.3 Reading a Payoff Diagram

2.4 Reading a Payoff Formula

2.5 Reading a Term-Sheet

3 The Categories of Structured Products (36 pages)

3.1 Capital Guaranteed Products

3.2 Yield Enhancement

3.3 Participation

4 Behavior of Structured Products During their Lifetime (44 pages)

4.1 Main Valuation and Risk Measures

4.2 Capital Guarantee

4.3 Yield Enhancement

4.4 Participation Products

4.5 Other Participation Products

5 Common Special Features of Structured Products (21 pages)

5.1 Quanto Options

5.2 Barrier Options

5.3 Autocall and Callable Options

5.4 Rolling Products and Products Without Fixed Maturity

5.5 Conditional and Accumulating Coupons

6 Functionality Options of Structured Products (11 pages)

6.1 Physical or Cash Delivery with Equity-Based Products

6.2 Clean Price and Dirty Price

6.3 Lending Values

6.4 Issue Minimum/Maximum Size and Liquidity

6.5 Funding Rates and Counterparty/Credit Risk

7 Foreign Exchange, Fixed Income and Commodity Products (55 pages)

7.1 FX-Based Structures

7.2 Fixed Income Structures

7.3 Commodity Structures

8 Recent Developments (10 pages)

8.1 Customized Index Products

8.2 Actively Managed Certificates

8.3 Electronic Trading Platforms

Part II Structured Products in a Portfolio Context

9 Introduction to Part II (4 pages)

10 Classical Theory and Structured Products (11 pages)

10.1 Distribution of Returns Shapes

10.2 Classical Portfolio Management Theories

10.3 Classical Theory and Structured Products

10.4 Conclusion

11 Structured Solution Proposal (22 pages)

11.1 Preferred Distribution of Return Investment Process

11.2 Distribution Classes: The Return Distribution Cube

11.3 An Investor’s Utility (Value) Curve

11.4 Questionnaire

12 Return Distributions of Structured Products (41 pages)

12.1 Procedure and Data

12.2 Capital Guaranteed Products

12.3 Yield Enhancement Products

12.4 Participation Products

12.5 Conclusion: Product Classification

13 Structured Portfolio Construction (21 pages)

13.1 Portfolio Construction Process

13.2 Constructing a Structured Product Portfolio in Theory

13.3 Preferred Return Distribution Process Versus Classic Portfolio Management

13.4 Investor Portfolios

14 Final Words (3 pages)

Appendix A: Glossary of Terms

Appendix B: Distribution of Returns: An Intuitive Explanation

Appendix C: Questionnaire

Appendix D: List of Figures

Appendix E: List of Tables

Appendix F: Index Information

Appendix G: Issuer and Product-Related Websites

Bibliography

Index