This thesis researches the pricing and back testing on structured products in the United Kingdom Market. We conclude that structured products do not give equity like returns.
The structured products performance is evaluated on the basis of pricing and back testing is performed on three different instruments issued in the United Kingdom market. Their returns are compared with the returns of the FTSE 100 index, UK Treasury Bond and the Synthetic Instruments. The Black and Scholes model for dividend payments is used in this study to calculate the option prices of the structured products.
Inhaltsverzeichnis (Table of Contents)
- Introduction
- Background
- Purpose
- Structured Product
- Evolution of Structured Products
- Developments in the market
- Global Market Comparisons
- Literature Review
- Problem Description
- Research question and Hypothesis
- Theoretical Frame of Reference and Methodology
- Valuation of Structured Products
- Valuation of Bonds
- Valuation of Options
- The Black and Scholes Model
- Advantages and Disadvantages of Black and Scholes Model
- Barrier Options
- Volatility
- Estimation of Volatility from Historical Data
- Price Index
- Return Index
- Dividend yield
- Yield Curves
- Continuous compounding formula
- Data Set
- Instruments
- Types of instruments used in the empirical study
- Valuation of Structured Products (Synthetic Instruments)
- Formulas used to calculate the return of synthetic instruments
- Instruments
- Descriptive Statistics and Results
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This thesis investigates the pricing and back-testing of structured products in the United Kingdom market, with the objective of determining whether they provide equity-like returns. The research evaluates the performance of these products through pricing and back-testing, focusing on three distinct instruments issued in the UK market. The study compares the returns of these structured products with the returns of the FTSE 100 index, UK Treasury Bond, and synthetic instruments.
- Pricing of structured products in the UK market
- Back-testing of structured products
- Comparison of returns of structured products with equity benchmarks
- Application of the Black and Scholes model for dividend payments to structured products
- Analysis of the performance of different types of structured products in the UK market
Zusammenfassung der Kapitel (Chapter Summaries)
- Introduction: This chapter provides an overview of the background and purpose of the research, setting the stage for the subsequent investigation into the performance of structured products.
- Structured Product: This chapter delves into the concept of structured products, tracing their evolution, market developments, and global comparisons, providing context for the analysis that follows.
- Literature Review: This section reviews existing research related to structured products, laying a foundation for the empirical analysis presented in subsequent chapters.
- Problem Description: This chapter defines the specific research problem, identifying the challenges and complexities associated with determining the equity-like returns of structured products.
- Research question and Hypothesis: This section presents the central research question driving the study, along with the proposed hypotheses to be tested throughout the empirical investigation.
- Theoretical Frame of Reference and Methodology: This chapter details the theoretical framework and methodological approach employed in the research. It outlines the valuation methods for structured products, bonds, and options, highlighting the use of the Black and Scholes model for dividend payments.
- Data Set: This chapter presents the data set used in the empirical analysis, detailing the specific instruments included in the study, their characteristics, and the methodologies used to calculate synthetic instrument returns.
- Descriptive Statistics and Results: This chapter provides the results of the descriptive statistics and empirical analysis, offering insights into the performance of the structured products under examination and their comparison with the FTSE 100 index, UK Treasury Bond, and synthetic instruments.
Schlüsselwörter (Keywords)
The key terms and focus areas explored in this research include structured products, accelerated trackers, bonus trackers, guaranteed equity bonds, Black and Scholes model, dividend payments, pricing, back-testing, equity-like returns, FTSE 100 index, UK Treasury Bond, and synthetic instruments. These terms encompass the core concepts and methodologies employed in evaluating the performance of structured products within the UK market.
- Quote paper
- Vishal Subandh (Author), 2007, Do Structured Products Give Equity Like Returns?, Munich, GRIN Verlag, https://www.grin.com/document/164138
