Thomas F. Coleman

Director: Cornell Theory Center
Director: Financial Industry Solutions Center (FISC)
Ph.D. University of Waterloo, 1979

Our research is concerned with the design and understanding of practical and efficient numerical algorithms for continuous optimization problems. Our primary emphasis is the development of algorithms for large-scale optimization especially as applied to the area of computational finance.

With colleagues Yuying Li, Peter Mansfield, Arun Verma, and Jacqueline Huang, we are developing a variety of tools and methods for computational finance in the areas of portfolio management and options pricing (and hedging). Several CAM Ph.D. students are also involved in this work: Cristina Patron, Yohan Kim, and Changhong He.

University Activities

Director: Cornell Theory Center.

Director: Cornell Computational Finance Institute (55 Broad Street, New York City).

Member: Computing and Information Sciences Task Force; Cornell Task Force on Genomics; Center for Applied Mathematics.

Professional Activities

Chair: SIAM Activity Group on Optimization.

Program Committee: Automatic Differentiation 2000, INRIA, France.

Member: Advisory Board, Brookhaven Center for Data Intensive Computing; Scientific Program Committee, Thematic year proposal at the Fields Institute: Numerical and Computational Challenges in Science and Engineering (2001-2002).

Organizer: FISC Spring 2000 Workshop Series, New York, NY, May 10-11, 2000; Proposal for an IMA Special Year on Optimization (2002-2003), Minneapolis, MN; Seventh SIAM Conference on Optimization (2002), Toronto, Ontario.

Editorial Board: Applied Mathematics Letters; SIAM Journal Scientific Computing; Computational Optimization and Applications, Comm. on Applied Non-linear Analysis, Mathematical Modeling and Scientific Computing.

Referee/Reviewer: Mathematical Programming; Computational Optimization and Applications; SIAM Journal Optimization; SIAM Journal Scientific Computing; Department of Energy, NSF.


Dynamic hedging and a local implied volatility function. RISK 2000, Boston, MA, June 2000.

Computing a smooth volatility function. 9th Annual Optimization Days, Stockholm, Sweden, June 2000.

Dynamic hedging using a smooth implied volatility surface. FISC seminar, New York, NY, November, 1999.

Dynamic hedging in a volatile market. 1999 IAFE Conference, New York, NY, October 1999.

A Newton method for option valuation. International Conference on Optimization and Numerical Algebra, Nanjing Normal University, China, September 1999.

—. Numerical Analysis Seminar, University of Toronto, Toronto, Ontario, July 1999.


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

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

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

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

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

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