Author Archives: Thomas Coleman

About Thomas Coleman

Thomas S. Coleman is Senior Advisor at the Becker Friedman Institute for Research in Economics and Adjunct Professor of Finance at the Booth School of Business at the University of Chicago. Prior to returning to academia, Mr. Coleman worked in the finance industry for more than twenty years with considerable experience in trading, risk management, and quantitative modeling. Mr. Coleman earned a PhD in economics from the University of Chicago and a BA in physics from Harvard College.

Convexity And Correlation Effects in Swap Pricing

Posted on September 18, 1997 by Thomas Coleman

Presentation for Risk Magazine Swap Training Course, September 1997. Discusses some simple approaches to modeling products that incorporate correlation, such as yield curve spread options. Focus on using the simplest model which solves the problem and on hedging and managing … Continue reading →

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Convexity Adjustment for Constant Maturity Swaps

Posted on December 14, 1995 by Thomas Coleman

Both CMS (Constant Maturity Swap) and LIBOR-in-arrears swaps have payments that are linear with respect to an index while the offsetting hedges are convex. The linearity of the payment (relative to the convex hedges) imposes a cost that requires a … Continue reading →

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A Dynamic Model of Labor Supply Under Uncertainty 1985

Posted on July 20, 1985 by Thomas Coleman

This paper lays out the model as in the 1981 paper but also discusses estimation and identification in some detail. Simplifies to a stationary environment with a single wage and then fits gross flow data. Includes empirical results showing interesting … Continue reading →

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A Dynamic Model of Labor Supply Under Uncertainty 1981

Posted on September 20, 1981 by Thomas Coleman

This paper lays out the theory of a three-state model of labor supply (job, unemployed, and out of the labor force) in full detail – stationary and non-stationary, discrete and continuous time. Proves existence and uniqueness of the value function. … Continue reading →

Posted in Economics, Publications and Papers | Tagged | Leave a comment