| Structured notes market is an important component of international financial derivatives market. Product pricing and designing are the most important and at the same time the most difficult problem in derivatives research.Structured notes pricing and designing have the very important significance for both issuers and investors.Based on increasing inflation risk, which structured note is more suitable for investors in our capital market?Recent inflation-linked derivatives market and inflation-linked structured notes are popular and sought after by investors. The relevant derivatives markets developed quickly. After international financial crisis, the economic situations of many counties are becoming better, meantime inflation expectation is increasing. Because inflation-linked notes are with a unique risk-return characteristics and natural ability of avoiding inflation risk as well as irreplaceable, most investors and institutions especially pension funds have an urgent need to them.Compositions and design features of structured notes (which constitute the foundation of product pricing) are analyzed first in this paper. Then, based on the no-arbitrage pricing theory of financial engineer, the valuation principle, factors affecting pricing, the secondary market pricing, pricing model and technologies of structured notes are studied in depth respectively. Pricing method of specified product is the key and difficult point.By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is what style product is the most suitable for the common investors under the market situation in China from the perspective of financial institutions. This paper studies the pricing and designing of the petrol future commodities linked products and Inflation-linked notes based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc.Combining the characteristics of china market, this paper analyses on a series of inflation-linked structured notes and suitability and working mechanism of those products in China.The main contents and conclusions are summarized as follows:1. The first chapter analyzes the relation of the financial crisis and structured notes, and then elaborate the structured notes are how to trigger the financial crisis. Asking the question is what style structured products suit for the market situation in China.At last statement the subject of research, the research methods and main innovations in this paper.2. The second chapter shows the literature of pricing of structured notes and the inflation-linked products, and then comments them.3. The third chapter introduces the theory of designing and pricing of the structured notes.4. The forth chapter prices the structured product of linked oil future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the product, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product, at last putting forward suggestions.5. The fifth chapter introduces the concept and model of inflation, and then summarizies the pricing model of inflation-linked bond, inflation-linked swap and year-on-year inflation swap. Next analyzes the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds. Next section shows inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities. At last section introduces the working mechanism and sensitivities of some kinds of inflation-linked structured notes.6. The sixth chapter analyzes the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, concludes our country should develop the related inflation-linked product facing increasing inflation risk.7. The seventh chapter concludes the dissertation and does some prospects for the future study.The primary research methods as follows:This paper employs time series analysis of financial, GARCH model and Monte Carlo simulation according to the basic theories of economics and finance based on the newest results from domestic and foreign, and uses theoretical analysis, empirical analysis, case research and the combination of quantitative and qualitative. Specific methods as follows:1.Analyzing the financial market situation of structured notes from macroeconomic environment,design of product and development trend of the structured notes and put forward a series products related inflation which suits for our capital market-inflation-linked structured notes.2. Employing no-arbitrage principle of financial engineering, composition and decomposition techniques to analyze pricing of structured notes. Using GARCH mode, Monte Carlo simulation and the VaR model of risk to study the pricing of double barrier option of structured note, and then analyzing sensitivities and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes.4. Analyzing the global inflation-linked derivatives market and elaborate market situation of inflation-linked bonds and welfare gain from the inflation-linked bonds.Showing inflation-linked derivatives which include inflation-linked swap, year-on-year inflation swap and some kinds of inflation-linked structured notes how to work and their sensitivities.The primary innovations included:1. Analyzing the channels of avoiding inflation risk and the characteristics of financial products in our capital market at the present stage, putting forward the scheme that our government should develop the related inflation-linked product based on avoiding inflation risk.2. Pricing the structured product of linked petrol future based on modern option pricing theories, employing GARCH model and Monte Carlo simulation, pricing method, yield distribution characteristics etc. And then analyzing sensitivity and calculating VaR (Value at Risk). According to the result of pricing the products, some conclusions can be obtained that whether it is reasonable and main factors affecting the price of product, meanwhile evaluating the capability of avoiding inflation risk of this product.3. Systematically analyzing and summarizing inflation-linked derivatives and the model of inflation-linked structured notes. Showing inflation-linked derivatives which include inflation-linked swap and year-on-year inflation swap how to work and their sensitivities thought researching a series product in the inflation-linked derivatives market.In a word, the economy of the most country is recovering from depression after financial crisis. But most countries inject currency to the market and make investors who increase inflation expectation are more and more pay attention to inflation risk. By observing and generalizing the performance of every style of structured notes in the market, the purpose of this paper is that what style product is the most suitable for the common investors under China market situation from the perspective of financial institutions. This paper studies the pricing of petrol-linked structure note in order to analyze the capability of this kind of product of avoiding inflation risk. And then this paper analyzes a series of Inflation-linked structured notes and studied suitability and working mechanism of those products in China combining the characteristics of china market. At last, concludes our government should develop the related linked-inflation product facing increasing inflation risk and it is feasibility in the emerging countries in China.
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