Monday 14th May 2012 18:00 to 19:00
Speaker(s): Michael Dalton, ECI, Oxford
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.