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Faculty & Research

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Thomas F. Cosimano

Professor

BIO

Finance Professor Thomas Cosimano’s research topics include pricing financial assets, monetary policy, and computational finance. Cosimano has used mathematical and computer methods to solve models of the stock market, as well as to determine how to invest in financial assets given the empirical behavior of stock and bond returns. His recent research topics include monetary policy given capital constraints on banks, and monetary and fiscal policy in developing countries receiving remittances.

Cosimano co-teaches with Mathematics Professor Alex Himonas an undergraduate interdisciplinary course dealing with the use of mathematical methods in financial economics. He has a doctoral degree in Economics from the State University of New York at Buffalo.

AREAS OF EXPERTISE

EDUCATION

TEACHING

  • Mathematical Methods in Financial Economics
  • Macroeconomcic analysis
  • Macroeconomic analysis
  • Macroeconomic Analysis
  • Macroeconomic Analysis

HOMEPAGE

PUBLICATIONS

"An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies," (with Yu Chen, Alex Himonas, Peter Kelly),  Computational Economics, August31, 2014, Currently on line .

"Monetary Policy with a Touch of Basel," (with Ralph Chami, ),  Journal of Economics and Business, 62, May, 2010, 161-175.

"Continuous time one-dimensional asset pricing models with analytic price-dividend functions," (with Yu Chen, Alex Himonas),  Economic Theory, 42, March, 2010, 461-503.

"Analytic Solving of Asset Pricing Models: The by Force of Habit Case," (with Yu Chen, Alex Himonas),  Journal of Economic Dynamics and Control, 32, November, 2008, 37.

"Solving an Asset Pricing Model with Hybrid Internal and External Habits, and Autocorrelated Gaussian Shocks," (with Yu Chen, Alex A Himonas),  Annals of Finance, 4, July (3rd Quarter/Summer), 2008, 305-344.

"Optimal Experimentation and the Perturbation Method in the Neighborhood of the Augmented Linear Regulator Problem.,"  Journal of Economic Dynamics and Control, 32, June, 2008, 1857-1894.

"Did the Basel Accord Cause a Credit Slowdown in Latin America?" (with Adolfo Barajas, Ralph Chami),  Brookings Institution Press, 5, 2005, 135-175.

"Solving Asset Pricing Models when the Price-Dividend Function is Analytic," (with Ovidiu Calin, Yu Chen, Alex Himonas),  Econometrica, 73, 2005, 961-982.

"Solving Ramsey Problems with Nonlinear Project Methods," (with Michael Gapen),  Studies in Nonlinear Dynamics & Econometrics, Forthcoming, 2005.

"Financial Institutions and Trustworthy Behavior in Business Transactions,"  Journal of Business Ethics, 52(2), 2004, 179-188.

"Capital Trading, Stock Trading, and the Inflation Tax on Equity: A Note," (with Scott Baier, Charles T. Carlstrom, Ralph Chami, Timothy S. Fuerst, Connel Fullenkamp),  Review of Economic Dynamics, 6, 2003, 987-990.

"Introduction to Managing Ethical Risk: How Investing in Ethics Adds Value," (with Ralph Chami, Connel Fullenkamp),  Journal of Banking and Finance, 26, 2002, 1697-1718.

"Capital Trading, Stock Trading and the Inflation Tax on Equity," (with Ralph Chami, Connel Fullenkamp),  Review of Economic Dynamics, 4, 2001, 575-606.

"Risk Averse Behavior and Normal Employment," (with G. Subrahmanyam),  Perspectives on Money, 1999.

"What's Different Among Banks?" (with Bill McDonald),  Journal of Monetary Economics, 1998.

"Intermediation,"  Economica , 1996.

"Inflation Variability and Gradualist Monetary Policy," (with Ronald J. Balvers),  Review of Economic Studies, 1994.

"Is the Conventional View of Discount Window Borrowing Consistent with the Behavior of Weekly Reporting Banks?" (with Richard G. Sheehan),  Review of Economics and Statistics, 1994.

Book Articles and Chapters

On Formulating and Solving Portfolio Decision and Asset Pricing Problems, (with Yu Chen, Alex Himonas), Handbook of Computational Economics (January (1st Quarter/Winter)2014).

Books

Macroeconomic Consequences of Remittances, (with Ralph Chami, Adolfo Barajas, Connel Fullenkamp, Michael Gapen, Peter Montiel), International Monetary Fund Occasional Paper (February2008).