Магистратура
2026/2027
Деривативы и структурные продукты
ID 1128583
Статус:
Курс по выбору (Финансы)
Кто читает:
Департамент финансов
Где читается:
Санкт-Петербургская школа экономики и менеджмента
Когда читается:
2-й курс, 2 модуль
Охват аудитории:
для всех кампусов НИУ ВШЭ
Преподаватели:
МакНайт Филлип Джон
Язык:
английский
Кредиты:
3
Контактные часы:
28
Course Syllabus
Abstract
This course explores the world of financial derivatives, delving into their pricing and hedging. We’ll discuss in details the risk-neutral asset valuations techniques, pricing of derivatives in Binomial and Black-Scholes settings, the concept of derivative hedging, the concept of no-arbitrage pricing. In this course, the students will have an opportunity to learn about the applications of Monte Carlo simulations methods for derivative pricing.
Learning Objectives
- • Learn how financial institutions analyze major exchanges, interest rates, bonds, and equities to source the necessary components for building structured products.
- • Master the mechanics of forwards, futures, swaps, and options to understand how they function as the core building blocks for designing structured products.
- • Analyze how derivatives are integrated into structured vehicles to generate alternative yields, targeted dividends, and customized growth-and-income distributions.
- • Apply pricing models and interpret the Greeks to assess how changes in time, volatility, and market conditions alter a structured product's ultimate payoff.
- • Evaluate how existing market-ready designs, such as equity-linked and income-oriented notes, pair protective fixed-income assets with upside derivative features.
- • Develop the creative ability to design structured products tailored to meet specific institutional and retail investor needs.
Expected Learning Outcomes
- • Demonstrate a clear understanding of major financial markets and exchanges and explain how bonds, equities, interest rates, and market factors influence structured product design.
- • Differentiate among options, futures, forwards, and swaps, and illustrate how these derivatives derive value from underlying assets in designing structured products.
- • Analyze the role of derivatives in risk management and yield enhancement, showing how they can hedge exposures in bullish and bearish market conditions.
- • Apply derivative pricing models such as Black-Scholes and interpret the Greeks to evaluate how changes in interest rates, volatility, time, and economic conditions impact structured product performance and payoff.
- • Assess the structure and features of equity-linked, credit-linked, volatility-linked, and income-oriented structured products, including the role of bond components for protection and/or income and equity/option components for upside participation.
- • Be able to construct a creative structured product by integrating market analysis, derivative selection, and risk management, producing an innovative payoff design that aligns with investment objectives and appeals to investors.
Course Contents
- 1. Financial Markets and Exchanges
- 2. Fundamental Concepts of Derivatives
- 3. Equity-Linked Derivatives
- 4. Synthetic Income Derivatives
- 5. Volatility-Linked Derivatives
- 6. Credit-Linked Derivatives
- 7. Other Derivative-Linked Products
Bibliography
Recommended Core Bibliography
- Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231
Recommended Additional Bibliography
- Weiss, D. M. (2014). Derivatives : A Guide to Alternative Investments. New York, New York: Portfolio. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1126741