Patrick Dennis headshot
PD

Patrick J. Dennis

Associate Professor
Unit: McIntire School of Commerce
Department: McIntire School of Commerce
Office location and address
Rouss & Robertson Halls, Room 354
40 South Lawn
Charlottesville, Virginia 22904
Education
Ph.D., Finance, The University of North Carolina at Chapel Hill
M.B.A., Finance, Duke University
B.S., Applied Physics, State University of New York at Geneseo
Biography

Professor Dennis has expertise in investments, with specialization in derivative and fixed income securities. His current research focuses on the valuation of options and other derivatives, the impact of informed versus uninformed investors on markets, market microstructure, and the causes of market volatility. Professor Dennis teaches courses in investments and fixed income securities.

Professor Dennis has presented his work at national conferences sponsored by The American Finance Association, Western Finance Association, European Finance Association, Financial Management Association, and Nasdaq. He has published his work in such journals as The Journal of FinanceJournal of Financial and Quantitative AnalysisJournal of Futures MarketsFinancial ReviewAdvances in Futures and Options Research; and Financial Analysts Journal. He is actively collaborating on joint research projects with colleagues at the University of Virginia as well as the University of Georgia, Arizona State University, Rice University, and the Securities and Exchange Commission.

COMM 3721: Quantitative Finance
Credits: 2
Half the course is focused on fundamental programming concepts using Visual Basic (VBA) applied to financial models. The other half of the course covers option basics, pricing using both the Black-Scholes and binomial models, basic linear algebra concepts (matrices, inversion, solving systems of linear equations), derivative valuation using state prices and risk-neutral probabilities.
COMM 4730: Advanced Investments: Derivatives and Fixed Income
Credits: 3
This course covers the valuation and use of derivative and fixed income securities in corporate finance and investment management. The securities covered include calls, puts, exotic options, forwards, futures, swaps, floating rate notes, credit derivatives, and other structured products.
GCOM 7750: Asset Management
Credits: 4
This course develops the concepts and tools needed to build and analyze investment portfolios for a wide range of investors including sovereign wealth funds (SWFs), pensions, endowments, family funds, high-net worth individuals, and even small investors taking into account a broad array of investing objectives. The course covers risk/return trade-offs and valuation in the equity, fixed income and derivative markets.