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Posted on May 20th, 2012
Contents: 1. Structured products at the Scoach exchange Posted on May 15th, 2012
This paper analyzes and values dual directional structured products (DDSPs) issued by several major banks since January 2011. The authors find that DDSPs can be valued using an option decomposition approach similar to those used with other structured products. They confirm their analytic results using Monte Carlo simulation and use both techniques to [...] Posted on April 22nd, 2012
Variable annuities have been sold in the United States for sixty years. A new type of variable annuity has been introduced recently based on structured product-like investments instead of the mutual fund-like investments found in traditional variable annuities. While structured products are popular in the over-the-counter derivatives market, embedding a structured product into [...] Posted on April 22nd, 2012
Key figures: CHF 189.23 bn were invested in structured products in Swiss bank deposits (assets under management) as of the end of January 2012 (most recent data from the Swiss National Bank). This is a minus of 1.61%. |
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