Valuation of Contingent Claims: Part II - BSM Model & Greeks (2024 Level II CFA® Exam -Module 2)

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Topic 7 - Derivatives
Module 2- Valuation of Contingent Claims: Part II - BSM Model & Greeks
LOS: Identify assumptions of the Black-Scholes-Merton option valuation model.
LOS: Interpret the components of the Black-Scholes-Merton model as applied to call options in terms of a leveraged position in the underlying.
LOS: Describe how the Black-Scholes-Merton model is used to value European options on equities and currencies.
LOS: Describe how the Black model is used to value European options on futures.
LOS: Interpret each of the option Greeks
LOS: Describe how a delta hedge is executed.
LOS: Describe the role of gamma risk in options trading.

[@Akshay_tiwari_ak]

Honestly, this two video series on derivatives is the best material out there for CFA lv2. Professor has provided a lot of related examples and his pedagogy is really engaging.
A Big THANK YOU to Professor for putting this up.

[@ZorgShip9]

Thank Dr. Forjan, much appreciated! BSM ain't no tip toe through the roses for a rookie like me!

[@analystprep]

Right on!

[@jesusbaug]

You are a heroe professor!! You can't imagina how HELPFUL this video was! Big hug!

[@analystprep]

Glad it was helpful! If you like our video lessons, it would be appreciated if you could take 2 minutes of your time to leave us a review here: trustpilot.com/review/analystprep.com

[@gulshanpunjabi4040]

Prof. James explains and covers the content very well. Would request the team and sir to make a video also on Pricing and Valuation of Forward Commitments.

[@analystprep]

It's coming in the next month!

[@trb.mangas]

Thank you very much !

[@AR-Race]

Swaptions are prohibitively expensive in the genuine use cases I've come across ... maybe it's because of the effort to calculate! Got to pay for all those CFAs.
Great videos, much appreciated.

[@maximosouto1836]

Hi Jim, the d1 for BSM valuation of currencies should have ln(S0/K) divided by sigma*-rootT. Thank you for your videos!

[@anthonyikedakolar9375]

thank you for the simplification! I appreciate it immensely while studying for level 2

[@analystprep]

Glad it was helpful! If you like our video lessons, it would be appreciated if you could take 2 minutes of your time to leave us a review here: trustpilot.com/review/analystprep.com

[@adi6846]

Thanks a lot for such wonderful video.. looking frwd for more..

[@SATYA888]

Great sir😊😊😊

[@testpm-il7qq]

masterful. ty

[@sahajsandhu3467]

This video was really helpful. Thank you so much!
Will the alternative investments videos be up soon? Really looking forward to those.

[@analystprep]

Yes, soon. We have to take care of a few CFA Level updates and then we'll get back to CFA Level II Video lessons. Before the February exam for sure!

[@MuhammadAli-ym4oq]

I think the final LOS-n "define implied volatility and explain how it is used in options trading" (included in 2023 contents) is missing.

[@nitishvarshney6907]

Really helpful.
When will Portfolio management videos be uploading?

[@analystprep]

Hi Nitish. We have to take care of a few CFA Level updates and then we'll get back to CFA Level II Video lessons. Before the February exam for sure!

[@isurimunasinghe2505]

@@analystprep Oh dear, it won't be up before Level November exam :/

[@Wei-lx4bf]

Is a video talk about swaption valuation ?