Biography
Nicholas Valerio designed and teaches the advanced finance elective course on derivative assets. Prior to entering academia Nicholas worked in the Capital Markets group of Citibank in the sales and trading area of the Money Market Division. He combines academic theory and his professional experience for a pragmatic view of the financial markets in his research and teaching. Nicholas has also been a Visiting Professor at The Wharton School of the University of Pennsylvania where he taught the derivative assets course.

Publications

• The Market for Equity Options in the 1870s, with Joseph P. Kairys Jr., The Journal of Finance, 1997
• Valuation of Cash-Settlement Call Options Containing a Wild-Card Exercise Feature, The Journal of Financial Engineering, 1993

Areas of Specialization

• Equity Derivative pricing and trading strategies
• Equity Index options and futures
• Investment Management
• Financial Markets

Achievements and Honors

• 2001 GBS Faculty Keough award recipient
• Four star Outstanding Faculty Member, Business Week Guide to the Best Business Schools, 1997 ed.

Professional Memberships and Activities

• American Finance Association
• International Association of Financial Engineers
• Western Finance Association

Selected Consulting Clients

• Applied Financial Research, LLC

Academic Background
Ph.D., Financial Economics, University of Pennsylvania, 1992
M.A., Financial Economics, University of Pennsylvania, 1987
B.S., School of Engineering and Applied Science of Columbia University, 1982
B.S., Mathematics and Science, Providence College, 1982