CFA Level 2 Derivatives

Master the Derivatives syllabus for the CFA Level 2 exam in 2022
CFA Level 2 Derivatives
File Size :
1.71 GB
Total length :
5h 11m



ProfEd Academy


Last update

Last updated 3/2021



CFA Level 2 Derivatives

What you’ll learn

Pricing and Valuation of Forward Contracts
Pricing and Valuation of Swap Contracts
Valuation of Contingent Claims (Binomial Option Pricing Model)
Valuation of Contingent Claims (Black-Scholes-Merton Model)
Valuation of Contingent Claims (Black-76 Model)
Option Greeks and Implied Volatility
Delta Hedging the Portfolio

CFA Level 2 Derivatives


You are a CFA Level 2 exam candidate (or have passed the CFA Level 1 exam)
Basic understanding of what derivatives are (forwards, futures, swap and option contracts)


Prepare for the CFA Level 2 exam in 2022 with 100% confidence! The course covers the Derivatives syllabus in detail so you will have a complete understanding when tackling this section in the exam.Derivatives is one of the most feared section in CFA Level 2 exam as exam candidates are known well verse with forwards, futures, swaps and options. When coupled with complex notations in the curriculum, it is difficult for candidates for wade through the content. This course simplifies everything and makes understanding derivatives easier than ever. Once you have gone through all the videos, you will have confidence to tackle Derivatives questions in the CFA Level 2 exam.After you grasp the concepts, try out a lot of questions (from the Learning Ecosystem and End of Chapter questions) to increase your mastery of the readings.AFTER GOING THROUGH THIS COURSE, YOU DO NOT HAVE TO STUDY FROM THE TEXTBOOK ANYMORE (OR ANY OTHER SOURCE)!Exam Weight: 5% – 10%Syllabus:Pricing and Valuation of Forward CommitmentsValuation of Contingent ClaimsWhat you will get by buying this course is:detailed coverage of the syllabus, taught by our seasoned instructors of the CFA in the Q&A forum (course-related questions) from our instructors.the confidence to nail this topic in the exam!


Section 1: Pricing and Valuation of Forward Commitments

Lecture 1 Study Notes

Lecture 2 What is a Forward Commitment?

Lecture 3 Pricing Forward Contracts under a No-Arbitrage Assumption

Lecture 4 Example 1: Pricing Forward Contracts under a No-Arbitrage Assumption

Lecture 5 Arbitrage Profit for Mispricing in Forward Contracts

Lecture 6 Value of a Forward Contract during the Life of the Contract

Lecture 7 Carry Arbitrage when Underlying has Cash Flows

Lecture 8 Equity Forward and Futures Contracts

Lecture 9 Forward Rate Agreements (FRA) – Introduction

Lecture 10 FRA – Calculating the Payoff at Expiration

Lecture 11 Pricing the Forward Rate Agreement (FRA)

Lecture 12 Valuing the Forward Rate Agreement (FRA)

Lecture 13 Fixed-Income Forward and Futures Contracts

Lecture 14 Currency Forward and Futures Contracts

Lecture 15 Swap Contracts

Lecture 16 Pricing Interest Rate Swaps (IRS)

Lecture 17 Valuing Interest Rate Swaps (IRS)

Lecture 18 Currency Swap Contracts: Pricing and Valuation

Lecture 19 Currency Swap Contracts: Valuation

Lecture 20 Equity Swap Contracts: Pricing and Valuation

Section 2: Valuation of Contingent Claims

Lecture 21 Study Notes

Lecture 22 Introduction

Lecture 23 One-Period Binomial Model & No-arbitrage Approach

Lecture 24 Expectations Approach

Lecture 25 Two-Period Binomial Model

Lecture 26 Two-Period Binomial Model: Example using Shortcut Method

Lecture 27 Two-Period Binomial Model for an American-Style Put Option

Lecture 28 Two-Period Binomial Model for an American-Style Call Option with Dividends

Lecture 29 Pricing Interest Rate Options using Binomial Model

Lecture 30 Multiperiod Model

Lecture 31 Assumptions of the BSM Model

Lecture 32 BSM Model

Lecture 33 BSM Model with Carry Benefit

Lecture 34 Foreign Exchange Options: What’s the Carry Benefit?

Lecture 35 Black Option Valuation Model

Lecture 36 Black Model: Interest Rate Options

Lecture 37 Black Model: Swaption

Lecture 38 Option Greeks: Delta

Lecture 39 Forecasting Changes in Option Prices using Option Delta

Lecture 40 Option Greeks: Gamma

Lecture 41 Option Greeks: Theta

Lecture 42 Option Greeks: Vega

Lecture 43 Option Greeks: Rho

Lecture 44 Implied Volatility

Those who are taking the CFA Level 2 Exam in 2022,Those who wants to learn how to price and value forward, futures, swap, and option contracts

Course Information:

Udemy | English | 5h 11m | 1.71 GB
Created by: ProfEd Academy

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