ROBERTO KNOP is deputy manager of market risk at Banco Santander Central Hispano where he is responsible for the methodology and quantitative team. He has over ten years experience of derivatives pricing, market risk measurement and also has considerable experience of training others in derivatives pricing and market risk.
PART I BASIC ASPECTS OF STRUCTURED PRODUCTS
Instrument valuation and risk measurement
PART II EQUITY STRUCTURES
Straddle with knockout deposit
PART III FIXED INCOME STRUCTURES
Floating rate note
Reverse floating rate note
Collared floating rate note
Digital ranges (corridor notes)
Step-up triggered cap
Constant maturity bond
Appendix A: Ten golden rules.
Appendix B: Characters from the buyer's viewpoint