In this post, Slah BOUGHATTAS (Ph.D., Associate of the Chartered Institute for Securities & Investment (CISI), London) provides an extract from the book ‘State of the Art in Structured Products: Fundamentals, Designing, Pricing, and Hedging’ (2022).
This post presents pedagogical philosophy, structure, and target audience, including graduate students in finance, university professors, and practitioners in derivatives and structured products.
State of the Art in Structured Products: Fundamentals, Designing, Pricing, and Hedging
Source: the company.
Summary of the book
The book aims to provide both the theoretical background and the practical applications of structured products in modern financial markets. It systematically explores the fundamentals of derivatives, equity and interest rate markets, stochastic calculus, Monte Carlo simulations, Constant Proportion Portfolio Insurance (CPPI), risk management, and the financial engineering processes involved in designing, pricing, and hedging structured products.
Financial concepts related to the book
Structured Products, Derivatives, Options, Swaps, Structured Notes, Bonus certificates, Constant Proportion Portfolio Insurance (CPPI), Monte Carlo Simulation, Fixed Income, Floating Rate-Note (FRN), Reverse FRN, CMS-Linked Notes, Callable Bond, Financial Engineering, Risk Management, Pricing, and Hedging.
Context and Motivation
The financial engineering of structured products remains one of the most sophisticated domains of quantitative finance. While the literature on derivatives pricing is vast, comprehensive references specifically dedicated to the end-to-end process of structured product creation — designing, pricing, and hedging — remain scarce.
State of the Art in Structured Products bridges this gap. The work is structured to serve both as a teaching manual and a professional reference, progressively building from fundamental principles to advanced practical implementations.
Structure of the Book
- Derivatives Fundamentals and Market Instruments – recalls the essential mechanics of equity and interest-rate derivatives
- Designing Structured Products – shows how term sheets and payoff structures emerge logically from financial objectives
- Pricing and Risk Analysis – provides analytical and simulation-based approaches, including Monte Carlo method
- Hedging and Risk Management – explores dynamic replication, sensitivities, and practical hedging of structured notes.
- Advanced Topics – covers Constant Proportion Portfolio Insurance (CPPI), callable and floating-rate instruments, and swaptions
Why should I be interested in this post?
The book’s main contribution lies in its integrated approach combining conceptual clarity, quantitative rigor, and practical implementation examples. It is intended for professors and instructors of Master’s programs in Finance, graduate students specializing in derivatives or structured products, and professionals such as financial engineers, product controllers, traders, dealing room staff and salespeople, risk managers, quantitative analysts, middle office managers, fund managers, investors, senior managers, research and system developers.
The book is currently referenced in several academic libraries, including ESSEC Business School Paris, Princeton University, London School of Economics, HEC Montreal, Erasmus University Rotterdam, ETH Zurich, IE University, Erasmus University Rotterdam, and NTU Singapore.
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Useful resources
Slah Boughattas (2022) State of the Art in Structured Products: Fundamentals, Designing, Pricing, and Hedging Advanced Education in Financial Engineering Editions.
About the author
The article was written in November 2025 by Slah BOUGHATTAS (Ph.D., Associate of the Chartered Institute for Securities & Investment (CISI), London).