FRM Level I: Valuation Models
The sixth course of the FRM Level I series, covering the last eight official 2026 GARP readings of Valuation and Risk Models — discounting, arbitrage and STRIPS, spot, forward, par and swap rates, bond yields and P&L attribution, DV01, duration and convexity, key rates and principal components, binomial trees, the Black-Scholes-Merton model, and the Greeks. Taught on one banking group and one idea — every number the earlier courses were handed, this course derives — with every problem stated in exam form and solved by hand on a BA II Plus before any code runs.
- Level: intermediate
- Duration: 5 weeks
- 9 sections
- Price: $29.99
Topics: FRM, FRM Part I, valuation and risk models, discount factor, law of one price, arbitrage, STRIPS, clean price, dirty price, day count, spot rate, forward rate, par rate, swap curve, yield to maturity, carry roll-down, P&L attribution, DV01, effective duration, convexity, barbell, key rate, KR01, principal components, forward bucket, binomial tree, risk-neutral valuation, Black-Scholes-Merton, implied volatility, warrants, Greeks, delta hedging, gamma, vega, theta, portfolio insurance, BA II Plus
What's inside
- FRM Level I: Valuation Models
- Chapter 1: Pricing Conventions, Discounting, Arbitrage and Interest Rates
- Chapter 2: Bond Yields and Return Calculations
- Chapter 3: Duration, Convexity and DV01
- Chapter 4: Non-Parallel Term Structure Shifts and Hedging
- Chapter 5: Binomial Trees
- Chapter 6: The Black-Scholes-Merton Model
- Chapter 7: Option Sensitivities: the Greeks
- Chapter 8: Valuation Models Practice Exam