Jeffrey Varner holds a Bachelor of Science degree (Chemistry), a Masters and a Ph.D. degree in Chemical Engineering, from Purdue University. Prof. Varner’s graduate thesis work at Purdue was done under the direction of Prof. D. Ramkrishna in the area of modeling and analysis of metabolic networks. Following Purdue, Prof. Varner was a postdoctoral researcher in the Department of Biology at the ETH-Zurich where he studied signal transduction mechanisms involved in cell-death under Prof. Jay Bailey. After the ETH, Prof. Varner was a Scientist in the Oncology business unit of Genencor International Inc, Palo Alto, CA. While at Genencor, Prof. Varner was involved in the discovery of novel targets in human cancers, and was a project team member for preclinical, phase-I and II studies of protein therapeutics for the treatment of colorectal cancer and Chronic Lymphocytic Leukemia (CLL). Prof. Varner left Genencor at the end of 2005 to join the faculty of the Chemical and Biomolecular Engineering department at Cornell University. At Cornell, the Varner lab is developing physiochemical modeling tools to rationally reprogram human signal transduction architectures.
Analysis of Equity Derivatives Before ExpirationCornell Course
Course Overview
Equity derivatives are one of the most exciting and fastest-growing investment categories. Yet these instruments are considerably more complicated than equity and come with unique risks.
In this course, you will examine option contract pricing. You will gain hands-on experience with modeling option contract prices based on market and contract parameters, the impact of changing conditions on contract prices (known as the Greeks), and how options contracts can be combined with equity to create unique investment strategies. By the end of the course, you will be able to analyze the performance of contracts over time and under different market conditions before expiration and prepare strategies to use contracts to hedge against various types of market risks.
You are required to have completed the following courses or have equivalent experience before taking this course:
- Quantitative Modeling of Fixed Income Debt Securities
- Equity Asset Pricing Using Stochastic Models
- Analysis of Equity Derivatives at Expiration
Key Course Takeaways
- Simulate American option price dynamics using a binomial lattice model
- Compute the probability of profit for a single or composite options contract
- Compute the delta, theta, and vega for short or long calls and puts
- Use dynamic delta hedging to compensate for share price fluctuations
How It Works
Course Author
Who Should Enroll
- Quantitative analysts
- Finance professionals looking to upskill in data modeling
- Engineers looking to transition into finance
- Research scientists
- Computer scientists
- Personal investors
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