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.
Table of Contents
1. Introduction
1.1. Background
1.2 Purpose
2. Structured Product
2.1. Evolution of Structured Products
2.2. Developments in the market
2.3. Global Market Comparisons
3. Literature Review
4. Problem Description
5. Research question and Hypothesis
6. Theoretical Frame of Reference and Methodology
6.1. Valuation of Structured Products
6.2. Valuation of Bonds
6.3 Valuation of Options
6.3.1 The Black and Scholes Model
6.4 Advantages and Disadvantages of Black and Scholes Model
6.5 Barrier Options
6.6. Volatility
6.7. Estimation of Volatility from Historical Data
6.8. Price Index
6.9. Return Index
6.10. Dividend yield
6.11. Yield Curves
6.12. Continuous compounding formula
7. Data Set
7.1 Instruments
7.1.1 Types of instruments used in the empirical study
7.2 Valuation of Structured Products (Synthetic Instruments)
7.3 Formulas used to calculate the return of synthetic instruments
8. Descriptive Statistics and Results
8.1 Returns Vs Sharpe Ratio
9. Summary and Conclusions
9.1 Comparing and contrasting with the present academic literature
9.2 Limitations and future research
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Téléchargez vos propres textes! Gagnez de l'argent et un iPhone X. -
Téléchargez vos propres textes! Gagnez de l'argent et un iPhone X. -
Téléchargez vos propres textes! Gagnez de l'argent et un iPhone X. -
Téléchargez vos propres textes! Gagnez de l'argent et un iPhone X. -
Téléchargez vos propres textes! Gagnez de l'argent et un iPhone X.