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Description

Exotic Derivatives and Structured Products: Structuring, Pricing and Hedging

Master the construction, pricing and hedging of non-standard payoffs and structured products

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

Structured products are sold on the basis of a pay-off profile that is simple to present, yet they rest on exotic options whose behaviour is anything but linear. Barriers, early redemption features and higher-order sensitivities mean the real risks emerge when the market moves away from the central scenario and the hedge breaks down.

Two expert-level days to take these instruments apart: families of exotic payoffs and their pitfalls, valuation methods and model limitations, the construction of a structured product and its margin, then risk management and distribution constraints. Participants already work with vanilla derivatives.

Learning objectives

  • Break a structured product down into elementary option building blocks
  • Analyse the behaviour of the main families of exotic options
  • Select a valuation method suited to the payoff being handled
  • Measure the effect of the smile and of model assumptions on price
  • Build the hedge for an exotic position and monitor its limitations
  • Identify model risk and distribution constraints

What makes this programme different

Each structured product studied is broken down into building blocks and then rebuilt by participants
Hedging discontinuities around barriers are worked through on market scenarios
The effects of model assumptions are compared on one and the same payoff

Programme

1From Vanilla to Exotic

Where the simple model stops being sufficient

  • Review the breakdown of a payoff into option building blocks
  • Identify the limitations of the standard valuation framework
  • Interpret the smile and the volatility surface
  • Locate the sources of risk specific to non-standard payoffs

2Families of Exotic Options

Recognising behaviour before the formula

  • Analyse barrier options and their discontinuities
  • Handle Asian, lookback and trigger options
  • Study autocallable structures and their redemption features
  • Understand multi-underlying products and correlation

3Structuring and Valuation

Building the product and its margin

  • Assemble protection, participation and conditional coupon
  • Fund the structure through the sale of optionality
  • Choose between analytical methods, trees and simulation
  • Isolate the structuring margin and hedging costs

4Risk, Hedging and Distribution

Holding the position over time

  • Monitor higher-order sensitivities and their instability
  • Manage dynamic hedging and its rebalancing costs
  • Identify model risk and organise its validation
  • Adapt documentation and advice to the investor profile

Who is it for

Structurers, traders, portfolio managers, risk managers and analysts working on derivatives and structured products.

Prerequisites

Sound command of vanilla options and their sensitivities.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.