Thomas Cosimano


Professor Emeritus

Thomas  Cosimano

Contact Information

Biography

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

Banking

Asset Pricing

Computational Methods

Monetary Policy

Education

Ph D, State University of New York at Buffalo

Publications

"An Analytic Approach for Stochastic Differential Utility for Endowment and Production Economies", (with Yu Chen, Alex Himonas, Peter Kelly), Computational Economics, 44, 2014.

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

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

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

"Solving an Asset Pricing Model with Hybrid Internal and External Habits, and Autocorrelated Gaussian Shocks", (with Yu Chen, Alex Himonas), Annals of Finance, 4, 2008.

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

Books

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

"Macroeconomic Consequences of Remittances", (with Ralph Chami, Adolfo Barajas, Connel Fullenkamp, Michael Gapen, Peter Montiel), International Monetary Fund Occasional Paper, February 2008