Thomas F. Coleman - Research Articles

Computational Finance

Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy, Annals of Operations Research, 2013 (with S. Moazeni and Y. Li).

Stable Local Volatility Function Calibration Using Spline Kernal, Comput Optim Appl, February, 2013 (with Yuying Li and Cheng Wang).

Regularized Robust Optimization: The Optimal Portfolio Execution Case, Comput Optim Appl, 2013 (with S. Moazeni and Y. Li).

Optimal Execution Under Jump Models For Uncertain Price Impact, Journal of Computational Finance, 2013 (with S. Moazeni and Y. Li).

A Gradual Non-Convexation Method for Minimizing VaR, accepted for publication, Journal of Risk, 2012 (with Jiong Xi, Yuying Li, Aditya Tayal).

Risk Minimization Hedging Under Non-optimal Exercising, D. Levchenkov, T. F. Coleman and Y. Li, Journal of Risk, Vol 13, pp 63-93, 2011.

Dynamic liquidation under market impact, Journal of Quantitative Finance, 11, 69-80, 2011 (with T. Davrian and Y. Li).

Optimization and finance. Encylopedia of Quantitative Finance (eds. Rama Cont, Peter Forsyth, Damien Lamberton). 1322-1327, 2010 (with Y. Li).

Calibrating volatility function bounds for an uncertain volatility model, Journal of Computational Finance, 13, #4, pp. 63-94, 2010. (with C. He and Y. Li)

Optimal portfolio execution strategies and sensitivity to price impact parameters. SIAM J. on Optimization, 20, 1620-1654, 2010. (with S. Moazeni and Y. Li)

Computation and analysis for a constrained entropy optimization problem in finance. Journal of Computational and Applied Mathematics (special issue on Numerical PDE Methods in Finance) to appear 2010 (with C. He and Y. Li)

Estimating a hedge fund return model based on a small number of samples, Special Issue of Information Systems and Operational Research Journal (INFORM), Multi-Attribute Portfolio Selection and Hedge Funds, vol 47, 43-58, 2009 (with D. Levchenkov, Y. Li).

Min-max robust and CvaR robust mean-variance portfolios. Journal of Risk, 11, 55-86, Spring  2009. (with Y. Li and L. Zhu).

Total risk minimization using Monte-Carlo simulations, in Handbooks in OR & MS Vol 15, J.R Birge and. Linetsky (eds), Chapter 14, 593- 635, 2008 (with Y. Li and M. Patron).

Discrete hedging of American-type options using local risk minimization, Journal of Banking and Finance 31, 2007, 3398-3419. (with D. Levchenkov and Y. Li).

Robustly hedging variable annuities with guarantees under jump and volatility risks, Journal of Risk and Insurance, 74, 347-376, June 2007 (with Y Kim, Y. Li, M. Patron)

Fast Portfolio Computations Using Parallelism, Clusters, and Web Services. in Financial Engineering News, July/August 2006

Minimizing VaR and CvaR for a portfolio of derivatives, Journal of Banking and Finance, 30, no2., 583-605, 2006. (with S. Alexander, Y. Li).

Calibration and hedging under a jump diffusion, Review of Derivative Research.9, 1-35, 2006.(with C. He, J.S. Kennedy, P.A. Forsyth, Y. Li, and K. Vetzal.)

Hedging guarantees in variable annuities (under both market and interest rate risks), Insurance: Mathematics And Economics, 38, 215-228, 2006. (with Y. Li and M. Patron)

Minimizing tracking error while restricting the number of assets. Journal of Risk. 8, 33-56, 2006.  (with J. Henninger and Y. Li)

Financial Computations on Clusters using Web Services”, in Lecture notes in Computer Science, Vol 3515, April 2005,  pp. 76-83. (with Shirish Chinchalkar, Peter Mansfield).

Derivative portfolio hedging based on CVaR, in Risk Measures for the 21st Century, edited by G. Szegö, Wiley 2004, pp. 339-363. (with S. Alexander, Y. Li).

Hedging guarantees in variable annuities (under both market and interest rate risks), 14th Annual Derivarive Securities & Risk Management Conference, April 23-24, 2004, New York. (with Y. Li and M. Patron).

Hedging a portfolio of derivatives by modeling cost, Proceedings of the 2003 IEEE International Conference on Computational Intelligence for Financial Engineerings, p.63-70, March 2003. (withKatharyn Boyle and Yuying Li).

An object-oriented framework for valuing shout options on high-performance computer architectures, Journal of Economic Dynamics and Control, Volume 27/6, pp 1133-1161, 2003 (with H. Windcliff, K.R. Vetzall, P.A. Forsyth, and A. Verma).

Discrete hedging under piecewise linear risk management, Journal of Risk, 5, 39-65,  Spring 2003 (with Maria-Cristina Patron and Yuying Li).

A Newton method for the American option problem, Journal of Computational Finance, 5, No 3, (Spring 2002), pp 51-78 (with Yuying Li, Arun Verma).   

Dynamic hedging with a deterministic local volatility function model, The Journal of Risk, 4, Fall 2001, pp.63-90 (with Yohan Kim, Yuying Li, and Arun Verma).

Efficiency improvements for pricing american options with a stochastic mesh: parallel implementation, Financial Engineering News, December, 2000, pp 1,2. (with Thanos Avranidis, Yuriy Zinchenko, and Arun Verma).

Reconstructing the unknown local volatility function, Journal of Computational Finance, Vol. 2, No. 3 (Spring,1999), pp. 77—102 (with Yuying Li, Arun Verma).

Determining volatility surfaces via (inverse) optimization, Financial Engineering News, December, 1999, pp.1-6.

An inverse problem in finance, in SIAG/OPT Views-and-News, Volume 10, 2, pp. 4-8, May 1999.

 

Automatic Differentiation and Derivative Estimation

The Efficient Application of Automatic Differentiation for Computing Gradients in Financial Applications, to appear, Journal of Computational Finance (with Wei Xu, Xi Chen).

Efficient (Partial) Determination of Derivative Matrices via Automatic Differentiation, SIAM Journal on Scientific Computing (SISC), 2013 (with Wei Xu).

Solving Nonlinear Equations with the Newton-Kyrlov Method Based on Automatic Differentiation. Wei Xu and Thomas F. Coleman. Journal of Optimization Methods and Software.  DOI: 10.1080/10556788.2012.733004, January, 2013.

Using Directed Edge Separators to Increase Efficiency in the Determination of Jacobian Matrices via Automatic Differentiation, Recent Advances in Algorithmic Differentiation, Springer 2012. Eds. Forth, Hovland, Phipps, Utke, and Wather.

Fast (structured) Newton computations. SIAM Journal on Scientific Computing, 31, pp 1175-1191, 2008, (with Wei Xu).

Parallelism in Structured Newton Computations in Parallel Computing: Architectures, Algorithms and Applications, Proceedings of the International Conference ParCo 2007, Edited by Bischof, Bucker,  Gibbon, J oubert, Lippert, Mohr, and Peters. 2007. (with Wei Xu)

Efficient calculation of Jacobian and adjoint vector products in wave propagational inverse problems using automatic differentiation, Journal of Computational Physics 157, pp. 234-255, 2000. (with Fadil Santosa and Arun Verma).

ADMIT 1: Automatic differentiation and MATLAB interface toolbox, ACM Transactions on Mathematical Software 22, pp. 150-175 (2000) (with Arun Verma).

The efficient computation of structured gradients using automatic differentiation, SIAM Journal on Scientific Computing 20, (1999), pp. 1430-1437 (with Gudbjorn Jonsson).

The efficient computation of sparse Jacobian matrices using automatic differentiation, SIAM Journal on Scientific Computing 19, (1998) pp. 1210-1233 (with Arun Verma).

Structure and efficient Hessian calculation, in Advances in Nonlinear Programming, Proceedings of the 1996 International Conference on Nonlinear Programming, Ya‑Xiang Yuan editor, pp. 57‑72, Kluwer Academic Publishers, 1998.

Semi‑automatic differentiation, in Computational Methods for Optimal design and Control, Jeff Borggaard, John Burns, Eugene Cliff, and Scott Schreck (eds), Birkhauser, 1998, pp. 113-126 (with Fadil Santosa and Arun Verma).

Structure and efficient Jacobian calculation, in Computational Differentiation: Techniques, Applications, and Tools, Martin Berz, Christian Bischof, George Corliss, Andreas Griewank (eds.), SIAM, Philadelphia, Penn., 1996, pp. 149‑159. (with Arun Verma).

The cyclic coloring problem and estimation of sparse Hessian matrices, SIAM Journal on Algebraic and Discrete Methods 7, (1986) 221-235 (with J. Cai).

Software for estimating sparse Hessian matrices, ACM Transactions on Mathematical Software 11, (1985) 363-378 (with B. Garbow, J. Moré).

Software for estimating sparse Jacobian matrices, ACM Transactions on Mathematical Software 10, (1984) 329-347 (with B. Garbow and J.J. Moré).

Estimation of sparse Hessian matrices and graph coloring problems, Mathematical Programming 28, (1984) 329-347 (with J. J. Moré).

Estimation of sparse Jacobian matrices and graph coloring problems, SIAM Journal on Numerical Analysis, (1983) 187-209 (with J.J. Moré).

 

Optimization Algorithms, Analysis, Applications and Software

Auto Insurance Fraud Detection Using Unsupervised Spectral Ranking for Anomaly, The Journal of Finance and Data Science, February 2016 (with K. Nian, H. Zhang, A. Tayal, and Y. Li)

A Graduated Nonconvex Regularization for Sparse High Dimensional Model Estimation, Journal of Computer and Communications, 2014 (with Yuying Li)

Unsupervised Spectral Ranking for Anomaly and Application to Auto Insurance Fraud Detection, submitted for publication, April 2014 (with Ke Nian, Haofan Zhang, Aditya Tayal, Yuying Li).

Bounding the Difference Between RankRC and RankSVM and Application to Multi-Level Rare Class Kernel Ranking, submitted for publication, December 2013 (with Aditya Tayal and Yuying Li).

RankRC: Large-scale Nonlinear Rare Class Ranking, submitted for publication, September 2013 (with Aditya Tayal and Yuying Li).

Primal Explicit Max Margin Feature Selection for Nonlinear Support Vector Machines, submitted for publication, April 2013 (with Aditya Tayal and Yuying Li).

Solving rank-deficient linear least-squares problems, May 2010. (with Chunguang Sun).

A secant method for nonlinear least-squares minimization. Computational Optimization and Applications. Online Publication, July 3, 2010. (with Wei Xu and Gang Liu).

A new trust region algorithm for equality constrained optimization, Computational Optimization and Applications, 21, February 2002, pp. 177-200 (with Jianguo Liu and Wei Yuan).

Segmentation of pulmonary nodule Images using 1-norm minimization, Computational Optimization and Applications, 19, September 2001, pp. 243-272 (with Yuying Li, Adrian Mariano)

A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints, Mathematical Programming Series A, 88 (1), pp. 1-32, June 2000 (with Yuying Li).

A quasi-Newton quadratic penalty method for minimization subject to nonlinear equality constraints, Computational  Optimization and Applications, 15, pp. 103-124,Feb. 2000. (with Jianguo Liu & Wei Yuan).

An exterior Newton method for strictly convex quadratic programming, Computational Optimization and Applications 15, (2000), pp. 5-32. (with Jianguo Liu).

An interior Newton method for quadratic programming, Mathematical Programming, Series A, 85, pp 491-523 (1999). (with Jianguo Liu).

A subspace, interior, and conjugate gradient method for large scale bound constrained minimization problems,  SIAM Journal on Scientific Computing 21 (1999), pp. 1-23. (with M.A. Branch, Yuying Li).

Combining trust region and affine scaling for linearly constrained nonconvex minimization, in Advances in Nonlinear Programming, Proceedings of the 1996 International Conference on Nonlinear Programming, Ya‑Xiang Yuan editor, pp. 219-250, Kluwer Academic Publishers, 1998.

pPCx: Solving linear programs in parallel, in SIAG/OPT Views‑and‑News, Newsletter for SIAM Activity Group on Optimization, No. 9, pp. 1‑5, Fall 1997. (with Chunguang Sun, Michael Wagner).

pPCx: Parallel software for linear programming, in Proceedings of the Eighth SIAM Conference on Parallel Processing for Scientific Computing, Minneapolis, March, 1997. (with Joseph Czyzyk, Chunguang Sun, Michael Wagner, Stephen Wright).

Parallel continuation based global optimization for molecular conformation and protein folding, Journal of Global Optimization 8, (1996) pp. 49-65. (with Zhijun Wu).

An interior trust region approach for nonlinear minimization subject to bounds, SIAM Journal on Optimization 6 (1996), pp. 418-445 (with Yuying Li).

A reflective Newton method for minimizing a quadratic function subject to bounds on some of the variables, SIAM Journal on Optimization 6 (1996), pp. 1040-1058 (with Yuying Li).

An efficient trust region method for unconstrained discrete time optimal control problems, Computational Optimization and Applications 4 (1995), pp. 47-66. (with Ai ping Liao).

Parallel structural optimization applied to bone remodeling on distributed memory machines, Computational Optimization and Applications 4 (1995), pp. 375-392. (with Shirish Chinchalkar).

On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds, Mathematical Programming 67, Series A (1994) pp. 189-224. (with Yuying Li).

Linearly constrained optimization and projected preconditioned conjugate gradients, in Proceedings of the Fifth SIAM Conference on Applied Linear Algebra, pp. 118‑122, 1994, SIAM Publications.

A parallel build-up algorithm for global energy minimizations of molecular clusters using effective energy simulated annealing, Journal of Global Optimization 4 (1994), pp. 171-185. (with Zhijun Wu).

A globally and superlinearly convergent algorithm for convex quadratic programs with simple bounds, SIAM Journal on Optimization 3 (1993), pp. 298-321 (with L. Hulbert).

Isotropic effective energy simulated annealing searches for low energy molecular cluster states, Computational Optimization and Applications 2 (1993), pp. 145-170, (with David Shalloway, Zhijun Wu).

Parallel finite element analysis of biomechanical structures on the Ncube 6400, Mathematical Modelling and Scientific Computing 1 (1993), pp 126-141 (with Shirish Chinchalkar).

Large‑scale numerical optimization: Introduction and overview, in Encyclopedia of Computer Science and Technology Volume 28, Supplement 1S, Marcel Dekker, 1993, pp. 167 ‑ 196.

On the local convergence of the Byrd‑Schnabel algorithm for constrained optimization, Applied Mathematics Letters 6, 1993, pp. 37‑42, (with Ai‑Ping Liao).

Parallel orthogonal factorizations of large sparse matrices on distributed‑memory multiprocessors, in Proceedings of the Sixth SIAM Conference on Parallel Processing for Scientific Computing, Vol. 1, pp. 457‑461, 1993, SIAM Publications (with Chunguang Sun).

A globally and quadratically convergent affine scaling method for linear $l_1$ problems, Mathematical Programming 56, Series A, (1992) pp. 189-222 (with Yuying Li).

A global and quadratically convergent method for linear $l_\infty$ problems, SIAM Journal on Numerical Analysis 29 (1992), pp. 1166-1186 (with Yuying Li).

A parallel nonlinear least squares solver: theoretical analysis and numerical results, SIAM Journal on Scientific and Statistical Computing 13 (1992), 771-793 (with P. Plassmann).

Partitioned quasi Newton methods for nonlinear equality constrained optimization, Mathematical Programming 53 (1992), 17-44 (with P. Fenyes).

Solving systems of nonlinear equations on a message passing multiprocessor, SIAM Journal on Scientific and Statistical Computing 11 (1990), 1116-1135 (with Guangye Li).

Computing a trust region step for a penalty function, SIAM Journal on Scientific and Statistical Computing 11 (1990), 180-201 (with C. Hempel).

On characterizations of superlinear convergence for constrained optimization, in Lectures in Applied Mathematics, Volume 26, Computational Solution of Nonlinear Systems of Equations, pp. 113‑134, AMS, 1990.

A quadratically‑convergent algorithm for the linear programming problem with lower and upper bounds, in Large‑Scale Numerical Optimization, T. Coleman and Yuying Li, eds., SIAM, pp. 49‑57, 1990 (with Yuying Li).

A global and quadratic affine scaling method for (augmented) linear l1 problems, in Numerical Analysis 1989, D.F. Griffiths and G.A. Watson eds., Longman Scientific & Technical, pp. 60‑73, 1990 (with Yuying Li).

A new method for solving triangular systems on distributed memory message passing multiprocessors, SIAM Journal on Scientific and Statistical Computing 10 (1989), 382-396 (with Guangye Li).

A direct active set algorithm for large sparse quadratic programs with simple bounds, Mathematical Programming, Series B, 45(1989) 373-406 (with L. Hulbert).

A chordal preconditioners for large scale optimization, Mathematical Programming 40, (1988) 265-287.

A parallel triangular solver for a distributed memory multiprocessor, SIAM Journal on Scientific and Statistical Computing 9, (1988) 485-502 (with Guangye Li).

Local convergence of the multi-secant method for the parallel solution of systems of nonlinear equations, Applied Mathematics Letters 1, (1988) pp. 141-146 (with Guangye Li).

Solution of nonlinear least‑square problems on a multiprocessor, in Parallel Computing, Springer‑Verlag, pp. 4-80, 1988 (with P. Plassmann).

The null space problem II. algorithms, SIAM Journal on Algebraic and Discrete Methods 8, (1987) 544-563 (with A. Pothen).

A parallel triangular solver for a hypercube multiprocessor, in Hypercube Multiprocessors, pp. 539‑551, SIAM, 1987 (with Guangye Li).  

Predicting fill for sparse orthogonal factorization, Journal of the Association for Computing Machinery 83, (1986) 517-532 (with J. Gilbert, A. Edenbrandt).

The null space problem I. complexity, SIAM Journal on Algebraic and Discrete Methods 7, (1986) 527-539 (with A. Pothen).

On the local convergence of a quasi Newton method for the nonlinear programming problem, SIAM Journal on Numerical Analysis 21, (1984) 755-769 (with A.R. Conn).

A note on the computation of an orthonormal basis for the null space of a matrix, Mathematical Programming 29, (1984) 234-242 (with D. C. Sorensen).

Nonlinear programming via an exact penalty function: global analysis, Mathematical Programming 24, (1982) 137-161 (with A.R. Conn).

Nonlinear programming via an exact penalty function: asymptotic analysis, Mathematical Programming 24, (1982) 123-136 (with A.R. Conn).

Second order conditions for an exact penalty function, Mathematical Programming 19, (1980) 178-185 (with A.R. Conn).

A note on new algorithms for constrained minimax optimization, Mathematical Programming 15, (1978) 239-242 (with A.R. Conn).

Past Technical Reports, Reprints

For reprints/preprints please contact: tfcoleman@uwaterloo.ca.