Structured products

Project The project is to choose one of the “structured products” from the following list, gather information on its exact terms, construct a mathematical pricing model for the security and explain why it is appropriate, collect data and estimate the model inputs, compute model prices, and discuss the differences between actual and model prices for every trading day of the month of February, 2012. The project report should be no more than 10 pages long. It should cite all information sources used and should explicitly indicate any verbatim or near verbatim quotations or figures and their sources. Each group should do all project work independently of other groups. The products (ticker symbols in parentheses) that may be analyzed are: 1. Safety First Trust Series 2008-2 Certificates linked to the S&P 500 Index, due July 11, 2013 (AMM) 2. Market Index Ta rget Te rm Securities linked to the S&P 500 Index, due September 27, 2013 (MLA) 3. Market Index Ta rget Te rm Securities linked to the Dow Jones Industrial Av erage, due May 31, 2013 (MBL) 4. Safety First Trust Series 2008-4 Certificates linked to the S&P 500 Index, due October 10, 2013 (AHY)