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 at ExpirationCornell Course
Course Overview
Equity derivatives are one of the most exciting and fastest-growing investment categories. It's important to note, however, that these instruments are considerably more complicated than equity and come with unique risks.
In this course, you will examine options and use the Julia programming language to calculate the payoff and profit of these investment products at expiration. Along the way, you will get hands-on experience with simulating options chains and computing profit diagrams. By the end of the course, you will be able to analyze the performance of individual contracts, understand the different styles and types of contracts, and explore combinations of contracts that can result in profitable trades regardless of whether the underlying equity asset price goes up, down, or stays the same.
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
Key Course Takeaways
- Compute the profit and breakeven for European options contracts
- Simulate the options chain for American call and put options
- Compute the profit diagram for a Jade Lizard at expiration
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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