{"id":14344,"date":"2021-04-28T09:58:47","date_gmt":"2021-04-28T09:58:47","guid":{"rendered":"https:\/\/analystprep.com\/study-notes\/?p=14344"},"modified":"2026-05-07T17:00:33","modified_gmt":"2026-05-07T17:00:33","slug":"study-notes-for-cfa-level-ii-derivatives","status":"publish","type":"post","link":"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/study-notes-for-cfa-level-ii-derivatives\/","title":{"rendered":"Study Notes for CFA\u00ae Level II \u2013 Derivatives \u2013 offered by AnalystPrep"},"content":{"rendered":"\r\n<h2>Reading 37: Pricing and Valuation of Forward Commitments<\/h2>\r\n<p><em>-a. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuation-concepts\/\" target=\"_blank\" rel=\"noopener\">Describe and compare how equity, interest rate, fixed-income, and currency forward and futures contracts are priced and valued;<\/a><\/em><\/p>\r\n<p><em>\u00a0&#8211;<\/em><em>b. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuation-concepts\/\">Calculate and interpret the no-arbitrage value of equity, interest rate, fixed-income, and currency forward and futures contracts;<\/a><\/em><\/p>\r\n<p><em>-c. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuation-of-interest-rate-swaps\/\" target=\"_blank\" rel=\"noopener\">Describe and compare how the interest rate, currency, and equity swaps are priced and valued;<\/a><\/em><\/p>\r\n<p><em>\u00a0&#8211;<\/em><em>d <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuation-of-interest-rate-swaps\/\" target=\"_blank\" rel=\"noopener\">Calculate and interpret the no-arbitrage value of interest rate, currency, and equity swaps.<\/a><\/em><\/p>\r\n<h2>Reading 38: Valuation of Contingent Claims<\/h2>\r\n<p>&#8211;<em>a. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/binomial-option-valuation-model\/\" target=\"_blank\" rel=\"noopener\">Describe and interpret the binomial option valuation model and its component terms;<\/a><\/em><\/p>\r\n<p><em>-b. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/no-arbitrage-values-of-options\/\" target=\"_blank\" rel=\"noopener\">Calculate the no-arbitrage values of European and American options using a two-period binomial model;<\/a><\/em><\/p>\r\n<p><em>-c. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/arbitrage-opportunities-involving-options\/\" target=\"_blank\" rel=\"noopener\">Identify an arbitrage opportunity involving options and describe the related arbitrage;<\/a><\/em><\/p>\r\n<p><em>-d. C<\/em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/valuation-of-an-interest-rate-option\/\" target=\"_blank\" rel=\"noopener\"><em>alculate and interpret the value of an interest rate option using a two-period binomial model;<\/em><\/a><\/p>\r\n<p><em>&#8211;<a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-black-scholes-merton-model-is-used-to-value-european-options-on-equities-and-currencies\/\" target=\"_blank\" rel=\"noopener\">e. Describe how the value of a European option can be analyzed as the present value of the option\u2019s expected payoff at expiration;<\/a><\/em><\/p>\r\n<p><em>-f. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/identify-assumptions-of-the-black-scholes-merton-option-valuation-model\/\" target=\"_blank\" rel=\"noopener\">Assumptions of the Black-Scholes-Merton Option Valuation Model;<\/a><\/em><\/p>\r\n<p><em>-g. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/components-of-the-bsm-model\/\" target=\"_blank\" rel=\"noopener\">Interpret the components of the Black\u2013Scholes\u2013Merton model as applied to call options in terms of a leveraged position in the underlying;<\/a><\/em><\/p>\r\n<p><em>-h. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/valuation-of-equities-and-currencies-using-the-black-scholes-model\/\" target=\"_blank\" rel=\"noopener\">Describe how the Black\u2013Scholes\u2013Merton model is used to value European options on equities and currencies;<\/a><\/em><\/p>\r\n<p><em>-i. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/black-option-valuation-model\/\" target=\"_blank\" rel=\"noopener\">Describe how the Black model is used to value European options on futures;<\/a><\/em><\/p>\r\n<p><em>-j. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/black-model-valuation-of-interest-rate-options-and-swaptions\/\" target=\"_blank\" rel=\"noopener\">Describe how the Black model is used to value European interest rate options and European swaptions;<\/a><\/em><\/p>\r\n<p><em>-k. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/option-greeks\/\" target=\"_blank\" rel=\"noopener\">Interpret each of the option Greeks;<\/a><\/em><\/p>\r\n<p><em>-l. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/delta-hedging\/\" target=\"_blank\" rel=\"noopener\">Describe how a delta hedge is executed;<\/a><\/em><\/p>\r\n<p><em>-m. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/role-of-gamma-risk-in-options-trading\/\" target=\"_blank\" rel=\"noopener\">Describe the role of gamma risk in options trading;<\/a><\/em><\/p>\r\n<p>-n. <a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/implied-volatility\/\" target=\"_blank\" rel=\"noopener\"><em>Define implied volatility and explain how it is used in options trading.<\/em><\/a><\/p>\r\n","protected":false},"excerpt":{"rendered":"<p>Reading 37: Pricing and Valuation of Forward Commitments -a. Describe and compare how equity, interest rate, fixed-income, and currency forward and futures contracts are priced and valued; \u00a0&#8211;b. Calculate and interpret the no-arbitrage value of equity, interest rate, fixed-income, and&#8230;<\/p>\n","protected":false},"author":5,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[102,302],"tags":[216,304,307,306],"class_list":["post-14344","post","type-post","status-publish","format-standard","hentry","category-cfa-level-2","category-derivatives","tag-cfa-level-2","tag-derivatives","tag-pricing-and-valuation-concepts","tag-pricing-and-valuation-of-interest-rate-swaps","blog-post","no-post-thumbnail","animate"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.6 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>CFA Level II Derivatives | AnalystPrep<\/title>\n<meta name=\"description\" content=\"Study CFA Level II Derivatives topics including forwards, futures, swaps, options, pricing models, and risk 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