Construction and Pricing of Structural Products “Phoenix” on the Russian Market

Student: Vysotskiy Grigoriy

Educational Programme: Financial Markets and Financial Institutions (Master)

Year of Graduation: 2020

Structural products are quite new and diverse tools in the financial markets. For many of them there are a limited number of studies, largely due to their diversity and the inability to systematize them. In this paper, we will try to build an effective model for assessing the profitability of the Phoenix Structural Product based on the existing methodology for autocallable structural products. There are 3 evaluation models will be implemented and compared in this study, using various mathematical methodics and building a replicating portfolio of financial instruments. Also in this paper, we will propose a model for assessing the relationships between coupon payments.

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