Thomas F. Coleman

Finance · 1986–2007

A researcher in the Science corpus: 5 papers; trusts 12 researchers and is trusted by 10 researchers here, as inferred from the citation graph.

Subfields

• Finance — 23 citations into it; #4,235 of 10,518 by trust here, #5,523 by citations
• Economics and Econometrics — 10 citations into it; #13,426 of 23,481 by trust here, #17,969 by citations
• Demography — 8 citations into it; #1,492 of 4,236 by trust here, #2,373 by citations
• Management Science and Operations Research — 6 citations into it; #9,338 of 11,946 by trust here, #10,392 by citations

Whom Thomas F. Coleman trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Antoon Pelsser
2. Anna Rita Bacinello
3. D. Heath
4. Yuying Li
5. Rama Cont
6. Leif Andersen
7. Eckhard Platen
8. M. Patron
9. René L. Schilling
10. Grace Wahba

Who trusts Thomas F. Coleman overall

1. Guojun Gan
2. A. Bélanger
3. X. Lin
4. Deepesh Data
5. Yuying Li
6. Pricing Annuity
7. Peter A. Forsyth
8. M. Patron
9. Sujin Kim
10. Christopher J. Hillar

Papers from Thomas F. Coleman's perspective

Ordered by how strongly the researchers Thomas F. Coleman trusts endorse each paper. Same corpus, a different order for every researcher.

1. A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
2. Pricing and Hedging Guaranteed Annuity Options via Static Option Replication
3. Design and Pricing of Equity-Linked Life Insurance Under Stochastic Interest Rates
4. Dynamics of implied volatility surfaces
5. Conditional Value-at-Risk for General Loss Distributions
6. Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing
7. Post-'87 crash fears in the S&P 500 futures option market
8. Financial Modelling with Jump Processes
9. Estimation of Dependences Based on Empirical Data
10. The Dynamics of Implied Volatilities: A Common Principal Components Approach

Their papers

• Hedging guarantees in variable annuities under both equity and interest rate risks (2006) — 90 citations
• Calibration and hedging under jump diffusion (2007) — 97 citations
• Minimizing CVaR and VaR for a portfolio of derivatives (2006) — 273 citations
• Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007) — 78 citations
• The null space problem I. complexity (1986)