Understanding Structured Products certificate – Advanced

This advanced training, organised in collaboration with LUXSIPA, builds on the first level dedicated to the fundamentals of structured products. LUXSIPA's mission is to promote and position the Luxembourg structured products industry in a quality segment at the service of market players and public authorities. The Association maintains close links with the ABBL and is recognised by the Luxembourg financial industry as a centre of competence for any subject relating to structured products.

The objective of this advanced training is to develop a deep and practical understanding of the complex mechanisms involved in the valuation, modelling, simulation, and hedging of structured products.

At the end of the two modules, participants will be able to:

• Understand and work with different valuation models used in the industry
• Master advanced dividend mechanisms in both products and models
• Understand and analyze advanced properties of volatility, both implied and realised
• Build Monte Carlo simulations adapted to simple and complex structured products
• Understand and analyze hedging strategies and their operational implications
• Integrate LTV (Loan-to-Value) concepts and their impacts

MODULE 1 – Advanced Modeling and Market Dynamics

The objective of this module is to provide an in-depth understanding of the models and parameters underlying the valuation of structured products:

Payoff structures

• Review of payoffs
• Complex payoffs

Valuation models

• Deterministic vs. stochastic models
• Black-Scholes model: assumptions, limitations, and extensions
• Impact of parameters on prices and sensitivities

Advanced dividend concepts

• Realized dividends, implied dividends, dividends decrements, forwards
• Dividends in pricing
• Detailed modeling of dividends for equity and index underlyings

Advanced volatility concepts

• Volatility structure: smile, skew, term structure
• Implied vs. realized volatility
• Volatility dynamics and impact on structured products
• Volatility in models

Greeks concepts

• Delta, Vega, Gamma in structured products
• Advanced sensitivity analysis on baskets, autocalls, and barrier structures

MODULE 2 – Simulation, Hedging, and LTV

The objective of this module is to provide a practical mastery of simulation techniques, hedging mechanisms, and LTV-related considerations in structured products.

Monte Carlo methods

• Building Monte Carlo simulations for vanilla products
• Application to exotic products: barriers, autocalls, path dependency
• Acceleration techniques and variance reduction
• Simulation concepts under different models (Black-Scholes, local volatility, stochastic volatility)

Hedging

• Dynamic hedging strategies
• Gamma and convexity management
• Barrier hedging
• Residual risks and operational monitoring

LTV (Loan-to-Value)

• Definition, rationale, and uses in structured products
• Risk management through LTV in a market context
• Examples of methodologies and calculations

This advanced training is intended for finance professionals already familiar with structured products and seeking to deepen their technical and quantitative understanding of valuation and risk management mechanisms:

• Risk Managers
• Junior Structurers
• Senior Structurers
• Junior Trader
• Senior Trader
• Junior Dealers

• Senior Dealers
  

To have completed the training “Understanding Structured Products Certificate - fundamentals“

This training program will be honored by a House of Training / LUXSIPA Certification under two conditions: the whole set of modules must be accomplished and a final exam must be passed ( Minumum pass score : 60% ).