Interest rate structured notes – pricing, hedging and market impact

Sandwich Seminar

The interest rate structured note derivative market is one of the major places where financial engineering theory meets market reality. In this talk I’ll give a brief overview of what a structured note is, why it exists and why there is a related derivative. Then I’ll examine a particular set of structures in the US$ market that were particularly popular and had a very profound impact on the rates markets as a whole. I’ll discuss pricing, hedging, modeling and the ultimate impact on the major dealers.


Michael Dalton, ECI, Oxford

Monday, May 14, 2012 - 18:00
to 19:00