Derivatives Part 2

Lessons

CFA Level 2: Derivatives Part 2 – Introduction

Introduction to Options

Synthetic Options and Rationale

One Period Binomial Option Pricing Model

Call Option Price Formula

Binomial Interest Rate Options Pricing

Black-Scholes-Merton (BSM) Option Pricing Model

Black-Scholes-Merton Model and the Greeks

Dynamic Delta Hedging & Gamma Related Issues

Estimating Volatility for Option Pricing

Put-Call Parity for Options on Forwards

Introduction to Swaps

Plain Vanilla Interest Rate Swap

Equity Swaps

Currency Swaps

Swap Pricing vs. Swap Valuing

Pricing and Valuing a Plain Vanilla Interest Rate Swap

Pricing and Valuing Currency Swaps

Pricing and Valuing Equity Swaps

Swaps as Theoretical Equivalents of Other Derivatives

Swaptions and their Valuation

Swap Credit Risk and Swap Spread

Interest Rate Derivatives – Caps and Floors

Credit Default Swaps (CDS)

Credit Derivative Trading Strategies