| Year |
Citation |
Score |
| 2018 |
Nian K, Coleman TF, Li Y. Learning minimum variance discrete hedging directly from the market Quantitative Finance. 18: 1115-1128. DOI: 10.1080/14697688.2017.1413245 |
0.424 |
|
| 2018 |
Xu W, Chen Y, Coleman C, Coleman TF. Moment matching machine learning methods for risk management of large variable annuity portfolios Journal of Economic Dynamics and Control. 87: 1-20. DOI: 10.1016/J.Jedc.2017.11.002 |
0.361 |
|
| 2018 |
Tayal A, Coleman TF, Li Y. Bounding the difference between RankRC and RankSVM and application to multi-level rare class kernel ranking Data Mining and Knowledge Discovery. 32: 417-452. DOI: 10.1007/S10618-017-0540-Z |
0.349 |
|
| 2018 |
Coleman TF, LaPlante A, Rubtsov A. Analysis of the SRISK measure and its application to the Canadian banking and insurance industries Annals of Finance. 14: 547-570. DOI: 10.1007/S10436-018-0326-3 |
0.372 |
|
| 2016 |
Nian K, Zhang H, Tayal A, Coleman T, Li Y. Auto insurance fraud detection using unsupervised spectral ranking for anomaly The Journal of Finance and Data Science. 2: 58-75. DOI: 10.1016/J.Jfds.2016.03.001 |
0.351 |
|
| 2016 |
Moazeni S, Coleman TF, Li Y. Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy Annals of Operations Research. 237: 99-120. DOI: 10.1007/S10479-013-1391-7 |
0.47 |
|
| 2015 |
Tayal A, Coleman TF, Li Y. RankRC: Large-Scale Nonlinear Rare Class Ranking Ieee Transactions On Knowledge and Data Engineering. 27: 3347-3359. DOI: 10.1109/Tkde.2015.2453171 |
0.343 |
|
| 2014 |
Xu W, Coleman TF. Solving nonlinear equations with the Newton-Krylov method based on automatic differentiation Optimization Methods and Software. 29: 88-101. DOI: 10.1080/10556788.2012.733004 |
0.327 |
|
| 2014 |
Tayal A, Coleman TF, Li Y. Primal explicit max margin feature selection for nonlinear support vector machines Pattern Recognition. 47: 2153-2164. DOI: 10.1016/J.Patcog.2014.01.003 |
0.373 |
|
| 2014 |
Xi J, Coleman TF, Li Y, Tayal A. A gradual nonconvexification method for minimizing value-at-risk Journal of Risk. 16: 23-47. |
0.342 |
|
| 2013 |
Moazeni S, Coleman TF, Li Y. Optimal execution under jump models for uncertain price impact Journal of Computational Finance. 16: 35-78. DOI: 10.21314/Jcf.2013.267 |
0.422 |
|
| 2013 |
Xu W, Coleman TF. Efficient (partial) determination of derivative matrices via automatic differentiation Siam Journal On Scientific Computing. 35. DOI: 10.1137/11085061X |
0.332 |
|
| 2013 |
Coleman TF, Li Y, Wang C. Stable local volatility function calibration using spline kernel Computational Optimization and Applications. 55: 675-702. DOI: 10.1007/S10589-013-9543-X |
0.378 |
|
| 2013 |
Moazeni S, Coleman TF, Li Y. Regularized robust optimization: The optimal portfolio execution case Computational Optimization and Applications. 55: 341-377. DOI: 10.1007/S10589-012-9526-3 |
0.378 |
|
| 2012 |
Xu W, Coleman TF, Liu G. A secant method for nonlinear least-squares minimization Computational Optimization and Applications. 51: 159-173. DOI: 10.1007/S10589-010-9336-4 |
0.351 |
|
| 2011 |
Levchenkov D, Coleman TF, Li Y. Risk-minimization hedging under nonoptimal exercising Journal of Risk. 13: 63-93. DOI: 10.21314/Jor.2011.229 |
0.727 |
|
| 2011 |
Draviam T, Coleman TF, Li Y. Dynamic liquidation under market impact Quantitative Finance. 11: 69-80. DOI: 10.1080/14697681003785934 |
0.411 |
|
| 2010 |
Coleman T, He C, Li Y. Calibrating volatility function bounds for an uncertain volatility model Journal of Computational Finance. 13: 63-93. DOI: 10.21314/Jcf.2010.219 |
0.564 |
|
| 2009 |
Levchenkov D, Coleman TF, Li Y. Estimating a hedge fund return model based on a small number of samples Infor. 47: 43-58. DOI: 10.3138/Infor.47.1.43 |
0.732 |
|
| 2009 |
Moazeni S, Coleman TF, Li Y. Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters Siam Journal On Optimization. 20: 1620-1654. DOI: 10.1137/080715901 |
0.43 |
|
| 2008 |
Coleman TF, Wei XU. Fast (Structured) newton computations Siam Journal On Scientific Computing. 31: 1175-1191. DOI: 10.1137/070701005 |
0.314 |
|
| 2008 |
He C, Coleman TF, Li Y. Computation and analysis for a constrained entropy optimization problem in finance Journal of Computational and Applied Mathematics. 222: 159-174. DOI: 10.1016/J.Cam.2007.10.016 |
0.622 |
|
| 2007 |
Coleman TF, Kim Y, Li Y, Patron M. Robustly hedging variable annuities with guarantees under jump and volatility risks Journal of Risk and Insurance. 74: 347-376. DOI: 10.1111/J.1539-6975.2007.00216.X |
0.729 |
|
| 2007 |
Coleman TF, Li Y, Patron MC. Chapter 14 Total Risk Minimization Using Monte Carlo Simulations Handbooks in Operations Research and Management Science. 15: 593-635. DOI: 10.1016/S0927-0507(07)15014-3 |
0.735 |
|
| 2007 |
Coleman TF, Levchenkov D, Li Y. Discrete hedging of American-type options using local risk minimization Journal of Banking and Finance. 31: 3398-3419. DOI: 10.1016/J.Jbankfin.2007.04.020 |
0.756 |
|
| 2006 |
Coleman T, Li Y, Henniger J. Minimizing tracking error while restricting the number of assets Journal of Risk. 8: 33-55. DOI: 10.21314/Jor.2006.134 |
0.317 |
|
| 2006 |
Alexander S, Coleman TF, Li Y. Minimizing CVaR and VaR for a portfolio of derivatives Journal of Banking and Finance. 30: 583-605. DOI: 10.1016/J.Jbankfin.2005.04.012 |
0.682 |
|
| 2006 |
Coleman TF, Li Y, Patron MC. Hedging guarantees in variable annuities under both equity and interest rate risks Insurance: Mathematics and Economics. 38: 215-228. DOI: 10.1016/J.Insmatheco.2005.06.002 |
0.725 |
|
| 2006 |
He C, Kennedy JS, Coleman TF, Forsyth PA, Li Y, Vetzal KR. Calibration and hedging under jump diffusion Review of Derivatives Research. 9: 1-35. DOI: 10.1007/S11147-006-9003-1 |
0.414 |
|
| 2003 |
Coleman TF, Li Y, Patron M. Discrete Hedging Under Piecewise Linear Risk Minimization Journal of Risk. 5: 39-65. DOI: 10.21314/Jor.2003.079 |
0.73 |
|
| 2003 |
Boyle KA, Coleman TF, Li Y. Hedging a portfolio of derivatives by modeling cost Ieee/Iafe Conference On Computational Intelligence For Financial Engineering, Proceedings (Cifer). 2003: 63-70. DOI: 10.1109/CIFER.2003.1196243 |
0.651 |
|
| 2003 |
Windcliff H, Vetzal KR, Forsyth PA, Verma A, Coleman TF. An object-oriented framework for valuing shout options on high-performance computer architectures Journal of Economic Dynamics and Control. 27: 1133-1161. DOI: 10.1016/S0165-1889(02)00058-1 |
0.311 |
|
| 2002 |
Coleman TF, Li Y, Verma A. A Newton Method for American Option Pricing Journal of Computational Finance. 5: 51-78. DOI: 10.21314/Jcf.2002.085 |
0.397 |
|
| 2002 |
Coleman TF, Liu J, Yuan W. A new trust-region algorithm for equality constrained optimization Computational Optimization and Applications. 21: 177-199. DOI: 10.1023/A:1013764800871 |
0.358 |
|
| 2001 |
Coleman T, Kim Y, Li Y, Verma A. Dynamic hedging with a deterministic local volatility function model The Journal of Risk. 4: 63-89. DOI: 10.21314/Jor.2001.054 |
0.386 |
|
| 2001 |
Coleman TF, Verma A. A preconditioned conjugate gradient approach to linear equality constrained minimization Computational Optimization and Applications. 20: 61-72. DOI: 10.1023/A:1011271406353 |
0.36 |
|
| 2000 |
Coleman TF, Liu J. Exterior Newton method for strictly convex quadratic programming Computational Optimization and Applications. 15: 5-32. DOI: 10.1023/A:1008773230148 |
0.371 |
|
| 2000 |
Coleman TF, Liu J, Yuan W. Quasi-Newton quadratic penalty method for minimization subject to nonlinear equality constraints Computational Optimization and Applications. 15: 103-123. DOI: 10.1023/A:1008730909894 |
0.377 |
|
| 2000 |
Coleman TF, Li Y. A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints Mathematical Programming, Series B. 88: 1-31. DOI: 10.1007/Pl00011369 |
0.317 |
|
| 2000 |
Coleman TF, Santosa F, Venna A. Efficient calculation of jacobian and adjoint vector products in the wave propagational inverse problem using automatic differentiation Journal of Computational Physics. 157: 234-255. DOI: 10.1006/Jcph.1999.6373 |
0.343 |
|
| 1999 |
Coleman TF, Jonsson GF. Efficient computation of structured gradients using automatic differentiation Siam Journal On Scientific Computing. 20: 1430-1437. DOI: 10.1137/S1064827597320794 |
0.327 |
|
| 1999 |
Branch MA, Coleman TF, Li Y. Subspace, interior, and conjugate gradient method for large-scale bound-constrained minimization problems Siam Journal On Scientific Computing. 21: 1-23. DOI: 10.1137/S1064827595289108 |
0.363 |
|
| 1999 |
Coleman TF, Liu J. An interior Newton method for quadratic programming Mathematical Programming, Series B. 85: 491-523. DOI: 10.1007/S101070050069 |
0.369 |
|
| 1996 |
Coleman TF, Li Y. A reflective Newton method for minimizing a quadratic function subject to bounds on some of the variables Siam Journal On Optimization. 6: 1040-1058. DOI: 10.1137/S1052623494240456 |
0.382 |
|
| 1996 |
Coleman TF, Li Y. An interior trust region approach for nonlinear minimization subject to bounds Siam Journal On Optimization. 6: 418-445. DOI: 10.1137/0806023 |
0.367 |
|
| 1995 |
Chinchalkar S, Coleman TF. Parallel structural optimization applied to bone remodeling on distributed memory machines Computational Optimization and Applications. 4: 375-392. DOI: 10.1007/Bf01300863 |
0.351 |
|
| 1995 |
Coleman TF, Liao A. An efficient trust region method for unconstrained discrete-time optimal control problems Computational Optimization and Applications. 4: 47-66. DOI: 10.1007/Bf01299158 |
0.39 |
|
| 1994 |
Coleman TF, Li Y. On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds Mathematical Programming. 67: 189-224. DOI: 10.1007/Bf01582221 |
0.366 |
|
| 1994 |
Coleman T, Shalloway D, Wu Z. A parallel build-up algorithm for global energy minimizations of molecular clusters using effective energy simulated annealing Journal of Global Optimization. 4: 171-185. DOI: 10.1007/Bf01096721 |
0.322 |
|
| 1994 |
Coleman TF, Wu Z. Parallel Continuation-Based Global Optimization for Molecular Conformation and Protein Folding Journal of Global Optimization. 8: 49-65. DOI: 10.1007/Bf00229301 |
0.361 |
|
| 1993 |
Coleman TF, Hulbert LA. A Globally and Superlinearly Convergent Algorithm for Convex Quadratic Programs with Simple Bbounds Siam Journal On Optimization. 3: 298-321. DOI: 10.1137/0803014 |
0.374 |
|
| 1993 |
Coleman TF, Liao AP. The local convergence of the Byrd-Schnabel algorithm for constrained optimization Applied Mathematics Letters. 6: 37-42. DOI: 10.1016/0893-9659(93)90030-Q |
0.337 |
|
| 1992 |
Coleman TF, Plassmann PE. A parallel nonlinear least-squares solver: theoretical analysis and numerical results Siam Journal On Scientific and Statistical Computing. 13: 771-793. DOI: 10.1137/0913046 |
0.337 |
|
| 1992 |
Coleman TF, Li Y. A global and quadratically convergent method for linear l ∞ problems Siam Journal On Numerical Analysis. 29: 1166-1186. DOI: 10.1137/0729071 |
0.345 |
|
| 1992 |
Coleman TF, Fenyes PA. Partitioned quasi-Newton methods for nonlinear equality constrained optimization Mathematical Programming. 53: 17-44. DOI: 10.1007/Bf01585692 |
0.364 |
|
| 1992 |
Coleman TF, Li Y. A globally and quadratically convergent affine scaling method for linear ℓ1 problems Mathematical Programming. 56: 189-222. DOI: 10.1007/Bf01580899 |
0.328 |
|
| 1990 |
Coleman TF, Hempel C. Computing a trust region step for a penalty function Siam Journal On Scientific and Statistical Computing. 11: 180-201. DOI: 10.1137/0911012 |
0.321 |
|
| 1989 |
Li G, Coleman TF. A New Method for Solving Triangular Systems on Distributed Memory Message-Passing Multiprocessors Siam Journal On Scientific and Statistical Computing. 10: 382-396. DOI: 10.1137/0910025 |
0.318 |
|
| 1989 |
Coleman TF, Hulbert LA. A direct active set algorithm for large sparse quadratic programs with simple bounds Mathematical Programming. 45: 373-406. DOI: 10.1007/Bf01589112 |
0.377 |
|
| 1988 |
Li G, Coleman TF. A parallel triangular solver for distributed-memory multiprocessor Siam Journal On Scientific and Statistical Computing. 9: 485-502. DOI: 10.1137/0909032 |
0.323 |
|
| 1988 |
Coleman TF. A chordal preconditioner for large-scale optimization Mathematical Programming. 40: 265-287. DOI: 10.1007/Bf01580736 |
0.355 |
|
| 1987 |
Coleman TF, Pothen A. The null space problem II. Algorithms Siam Journal On Algebraic and Discrete Methods. 8: 544-563. DOI: 10.1137/0608045 |
0.32 |
|
| 1986 |
Coleman TF, Edenbrandt A, Gilbert JR. Predicting fill for sparse orthogonal factorization Journal of the Acm (Jacm). 33: 517-532. DOI: 10.1145/5925.5932 |
0.338 |
|
| 1986 |
Coleman TF, Cai JY. The cyclic coloring problem and estimation of spare hessian matrices Siam Journal On Algebraic and Discrete Methods. 7: 221-235. DOI: 10.1137/0607026 |
0.381 |
|
| 1985 |
Coleman TF, Garbow BS, Moré JJ. Software for estimating sparse Hessian matrices Acm Transactions On Mathematical Software (Toms). 11: 363-377. DOI: 10.1145/6187.6190 |
0.337 |
|
| 1984 |
Coleman TF, Conn AR. On the Local Convergence of a Quasi-Newton Method for the Nonlinear Programming Problem Siam Journal On Numerical Analysis. 21: 755-769. DOI: 10.1137/0721051 |
0.358 |
|
| 1984 |
Coleman TF, Moré JJ. Estimation of sparse hessian matrices and graph coloring problems Mathematical Programming. 28: 243-270. DOI: 10.1007/Bf02612334 |
0.349 |
|
| 1983 |
Coleman TF, Moré JJ. Estimation of sparse jacobian matrices and graph coloring problems Siam Journal On Numerical Analysis. 20: 187-209. DOI: 10.1137/0720013 |
0.343 |
|
| 1982 |
Coleman TF, Conn AR. NONLINEAR PROGRAMMING VIA AN EXACT PENALTY FUNCTION: GLOBAL ANALYSIS Mathematical Programming. 24: 137-161. DOI: 10.1007/Bf01585101 |
0.343 |
|
| 1982 |
Coleman TF, Conn AR. Nonlinear programming via an exact penalty function: Asymptotic analysis Mathematical Programming. 24: 123-136. DOI: 10.1007/Bf01585100 |
0.312 |
|
| 1980 |
Coleman TF, Conn AR. Second-order conditions for an exact penalty function Mathematical Programming. 19: 178-185. DOI: 10.1007/Bf01581639 |
0.325 |
|
| 1978 |
Coleman TF. A note on 'new algorithms for constrained minimax optimization' Mathematical Programming. 15: 239-242. DOI: 10.1007/Bf01609026 |
0.311 |
|
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