Tid: 22 februay 2010 kl 16.15-17.00.

Plats : Sammanträdesrummet 3424 (innanför pausrummet, observera tiden och lokalen), Institutionen för matematik, KTH, Lindstedts väg 25, plan 4. Karta!

Föredragshållare: Philip Hansen och Mikael Lärfars

Titel: Evaluating Long-Term Performance of Structured Products (Examensarbete – Master thesis)

Abstract

We investigate the properties of systematic investment vehicles consisting of equity-linked notes in a model with stochastic volatility, random jumps and stochastic interest rate. We consider a setting where the investment horizon is significantly longer than the tenor of the available structured retail products. Long-term asset price trajectories are simulated and performance is evaluated in a quantitative fashion as well as by means of a discretionary scenario analysis.

It is shown that structured products can enhance the risk-return spectrum when introduced in a classical stock-bond mix and that portfolios consisting of multiple structured products reduce the level of timing risk as compared to a so-called Single roll. On a more qualitative note, we show that the portfolios of structured products slightly reduce the time-variability of market risk as there is a smoothening on the relative weighting between bonds and options, respectively. Finally, we find that products issued above par, albeit associated with higher risks, show far more attractive return opportunities.

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