Analysis and Valuation of Bonus Certificates

Table of Contents

• Introduction
• Problem Definition
• Procedure
• Basics
• Definition of Certificates
• Components of Certificates
• Fixed Income Securities
• Stocks
• Standard Derivatives
• Options
• Futures
• Exotic Options
• Benefits of Bonus Certificates
• Investors
• Issuers
• The German Bonus Certificates Market
• Characteristics of Bonus Certificates
• Description of Bonus Certificates
• Underlying
• Conversion Ratio
• Barrier
• Bonus Level
• Maturity
• Default Risk
• Costs
• Design of Bonus Certificates
• Zero-Strike-Call
• Down-and-Out Put
• Payoff-Profiles
• Pricing of Bonus Certificates
• Black-Scholes-Model
• Underlying
• Volatility
• Dividends
• Interest Rate
• Maturity
• Divergence of Pricing: Fair Value - Secondary Market
• Taxation
• Special Forms of Bonus Certificates
• Capped Bonus Certificates
• Quanto Bonus Certificates
• Reverse Bonus Certificates
• Multi Bonus Certificates
• Empirical Analysis
• Dresdner Bonus-Barrier-Certificate I
• Description
• Design
• Pricing
• Taxation
• AGI Bonus Barrier Fund
• Description
• Design
• Pricing
• Taxation
• Comparison: Dresdner Bonus-Barrier Certificate - AGI Bonus Barrier
• Impact of current Stock Exchange Collapse on Bonus Certificates

Objectives and Key Themes

This diploma thesis analyzes and evaluates the concept of bonus certificates, exploring their structure, pricing, and performance in the context of the German market. The study examines the benefits and risks associated with these financial instruments for both investors and issuers. The thesis also investigates the impact of the global financial crisis on the bonus certificate market.

• Analysis of the structure and pricing of bonus certificates
• Evaluation of the benefits and risks of bonus certificates for investors and issuers
• Examination of the German bonus certificate market, including market trends and market share
• Assessment of the impact of the financial crisis on the bonus certificate market
• Empirical analysis of specific bonus certificates

Chapter Summaries

The introduction defines the scope of the thesis and outlines the research methodology. Chapter 2 provides a comprehensive overview of certificates, defining their key components and exploring their underlying securities and derivatives. Chapter 3 examines the benefits of bonus certificates for investors and issuers and analyzes the dynamics of the German bonus certificate market. Chapter 4 delves into the characteristics of bonus certificates, covering their design, pricing models, and tax implications. Chapter 5 presents an empirical analysis of two specific bonus certificates, exploring their structure, pricing, and performance. The final chapter concludes the thesis, summarizing key findings and discussing the implications of the research.

Keywords

This thesis focuses on the analysis and valuation of bonus certificates in the context of the German market. The key concepts explored include: * Bonus Certificate Structure and Design * Pricing Models (Black-Scholes-Model) * Risk and Return Analysis * Market Trends and Market Share * Taxation and Legal Framework * Impact of Financial Crises on Bonus Certificates * Empirical Analysis of Specific Instruments * Investors and Issuers * German Bonus Certificate Market