Basics of Derivative Pricing and Valuation (2023 Level I CFA® Exam - Derivative - Module 2) 

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Topic 7 - Derivatives
Module 2 - Basics of Derivative Pricing and Valuation
0:00 Introduction and Learning Outcome Statements
6:38 LOS: Explain how the concepts of arbitrage, replication, and risk neutrality are used in pricing derivatives.
14:29 LOS: Distinguish between value and price of forward and futures contracts.
LOS: Calculate a forward price of an asset with zero, positive, or negative cost of carry.
16:36 LOS: Explain how the value and price of a forward contract are determined at expiration, during the life of the contract, and at initiation.
21:50 LOS: Describe monetary and nonmonetary benefits and costs associated with holding the underlying asset and explain how they affect the value and price of a forward contract.
28:51 LOS: Define a forward rate agreement and describe its uses.
30:55 LOS: Explain why forward and futures prices differ.
33:56 LOS: Explain how swap contracts are similar to but different from a series of forward contracts.
35:15 LOS: Distinguish between the value and price of swaps.
39:00 LOS: Explain the exercise value, time value, and moneyness of an option.
47:25 LOS: Identify the factors that determine the value of an option and explain how each factor affects the value of an option.
48:41 LOS: Explain put-call parity for European options.
56:14 LOS: Explain put-call-forward parity for European options.
57:24 LOS: Explain how the value of an option is determined using a one-period binomial model.
1:06:42 LOS: Explain under which circumstances the values of European and American options differ.