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Structured Products
Spring 2011
Instructor: Dr. Li-Yen Paul Hsueh
Office: BA 362 (Phone: ext. 34200)
E-mail: finlyh@ccu.edu.tw
About this Course:
Structured products are the epitome of financial engineering, which focuses
on the designing, pricing, hedging, and implementing financial instruments
and strategies. In this course, students will learn the basic designs of
structured products and study the relevant research in the pricing and
hedging of these products. Actual structured products traded in the market
will be distributed and students are expected to study and discuss them in
class. Students will also be given weekly assignments to gain some hands-on
experience of pricing and hedging structured products,
In this course, you will learn how to use VBA (Visual Basic Application) to
write your own computer programs to price and hedge various structured
products. Programming ability is highly recognized in this field and you will
definitely gain a competitive edge after this course. Be ready to do some
serious work and learn something useful in the class.
Suggested References (Optional):
Options, Futures, and Other Derivatives, by Hull, Prentice Hall, 6th ed., 2006
Principals of Financial Engineering, by Neftci, Elsevier Academic Press, 2004
Course Requirements:
Weekly assignments and class discussion 50%
Midterm project or exam 30%
Final project or exam 20%
Topics to be covered in this course:
1. Basic option pricing
2. Introduction to VBA programming language
3. Introduction to structured products
4. Pricing and hedging
5. Reverse engineering
6. Rainbow products
7. Range Accrual and Target Redemption products
8. Interest rate related structured products
9. Other topics of interest if time permits
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