Design and Valuation of Structural Product

Student: Nazarova Anastasiia

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2017

n this work I explore structured products in many aspects, consider theoretical details and provide method of valuation. Special attention was paid to the mechanism of working and design of structured products. Also I have looked at structure of products and provided analysis of global market of structured products. For the valuation Monte-Carlo simulation was used. It was applied in order to find value of structured note. The same process was used for conducting sensitivity analysis of such parameter as correlation inside the basket of underlying assets of option. Also find best correlation coefficients for designing products or for financing engineering.

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