Derivatives and Structured Products

2026/2027

Academic Year

ENG

Instruction in English

3

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

2 year, 2 module

Course Syllabus

Abstract

This course explores the world of financial derivatives, delving into their pricing and hedging. We’ll discuss in details the risk-neutral asset valuations techniques, pricing of derivatives in Binomial and Black-Scholes settings, the concept of derivative hedging, the concept of no-arbitrage pricing. In this course, the students will have an opportunity to learn about the applications of Monte Carlo simulations methods for derivative pricing.

Learning Objectives

• • Learn how financial institutions analyze major exchanges, interest rates, bonds, and equities to source the necessary components for building structured products.
• • Master the mechanics of forwards, futures, swaps, and options to understand how they function as the core building blocks for designing structured products.
• • Analyze how derivatives are integrated into structured vehicles to generate alternative yields, targeted dividends, and customized growth-and-income distributions.
• • Apply pricing models and interpret the Greeks to assess how changes in time, volatility, and market conditions alter a structured product's ultimate payoff.
• • Evaluate how existing market-ready designs, such as equity-linked and income-oriented notes, pair protective fixed-income assets with upside derivative features.
• • Develop the creative ability to design structured products tailored to meet specific institutional and retail investor needs.

Expected Learning Outcomes

• • Demonstrate a clear understanding of major financial markets and exchanges and explain how bonds, equities, interest rates, and market factors influence structured product design.
• • Differentiate among options, futures, forwards, and swaps, and illustrate how these derivatives derive value from underlying assets in designing structured products.
• • Analyze the role of derivatives in risk management and yield enhancement, showing how they can hedge exposures in bullish and bearish market conditions.
• • Apply derivative pricing models such as Black-Scholes and interpret the Greeks to evaluate how changes in interest rates, volatility, time, and economic conditions impact structured product performance and payoff.
• • Assess the structure and features of equity-linked, credit-linked, volatility-linked, and income-oriented structured products, including the role of bond components for protection and/or income and equity/option components for upside participation.
• • Be able to construct a creative structured product by integrating market analysis, derivative selection, and risk management, producing an innovative payoff design that aligns with investment objectives and appeals to investors.

Course Contents

• 1. Financial Markets and Exchanges
• 2. Fundamental Concepts of Derivatives
• 3. Equity-Linked Derivatives
• 4. Synthetic Income Derivatives
• 5. Volatility-Linked Derivatives
• 6. Credit-Linked Derivatives
• 7. Other Derivative-Linked Products

Assessment Elements

• Paper
• Exam

Interim Assessment

• 2026/2027 2nd module
  0.6 * Exam + 0.4 * Paper

Bibliography

Recommended Core Bibliography

• Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231

Recommended Additional Bibliography

• Weiss, D. M. (2014). Derivatives : A Guide to Alternative Investments. New York, New York: Portfolio. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1126741

Authors

• Soloveva Ekaterina Evgenevna