Thomas J Emmerling Baruch College Zicklin School of Business Department of Real Estate 137 E. 22nd Street Box C-403 New York, NY 10010
Phone: Fax: 646 312-6931 Email: Homepage:
(646) 312-6922
[email protected] http://www-personal.umich.edu/∼the
Education Ph.D. Financial Mathematics and Statistics, Boston University, 2009. Dissertation: Essays in American and Game-type Options. Advisor: Jérôme B. Detemple PhD M.A. Financial Mathematics and Statistics, Boston University, 2004. A.B., Summa Cum Laude, Mathematics (Major) and Computer Science (Minor), College of the Holy Cross, 2002.
Employment Baruch College, August 2015–Present, Research Associate Syracuse University, June 2012–July 2015, Post-doctorate Faculty Member. University of Michigan, August 2009–May 2012, Post-doctorate Assistant Professor
Research Interests Asset Pricing, Real Estate, Financial Economics, Interest Rate Modelling, Econometrics.
Publications American Chooser Options (with Jérôme B. Detemple), Journal of Economic Dynamics and Control, Vol. 33, January 2009, 128-153. Perpetual Cancellable American Call Option, Mathematical Finance, Vol. 22 No. 4, October 2012, 645-666. On the Impulse Control of Jump Diffusions (with José-Luis Menaldi and Erhan Bayraktar), SIAM Journal of Control and Optimization, 51(3), 2612-2637, 2013.
Thomas J Emmerling
2
Works in Progress “Equity Returns and the Supply of Bonds" (with Robert Jarrow and Yildiray Yildirim), in preparation “Portfolio Balance and the Equity Market" (with Robert Jarrow and Yildiray Yildirim), in preparation “Portfolio Balance Effects and the Federal Reserve’s Large-Scale Asset Purchases" (with Robert Jarrow, and Yildiray Yildirim), submitted. “Counterparty Risk and Capital Structure" (with Brent Ambrose, Henry Huang, and Yildiray Yildirim), submitted. “To Accept or Not to Accept: Optimal Strategy for Sellers in Real Estate" (with Abdullah Yavas and Yildiray Yildirim), submitted.
Other Publications A Forward-Looking Assessment of Interest Rate Risk (with Jared Kizer), The BAM Alliance, June 2014.
Honors and Achievements Phi Beta Kappa, 2002. Valedictorian Finalist–Top 5% of graduating class, College of the Holy Cross, 2002. The Gertrude McBrein Mathematics Prize Recipient Holy Cross (ex aequo), 2002. Dean’s List High Honor’s, Sept. 1998 - May 2002 (every semester). College of the Holy Cross Honor’s Program Graduate, 2002. College of the Holy Cross Mathematics Dept. Honors Graduate, 2002. Pi Mu Epsilon. National Mathematics Honor Society, 2001. National Society of Collegiate Scholars, April 2001. Research Asstnt, Comm. Mortgs and Credit Tenant Leases, JP Morgan Chase & Co., 2012-2013. SIAM Post-doc/Early Career Travel Support, 2010. Post-Doctorate Summer Research Grant, Dept of Mathematics, University of Michigan, 2010. Teaching Fellow, Boston University, Sept. 2003 - 2009. GAANN Fellowship. Boston University Dept. of Math and Statistics, Sept. 2002 - Aug. 2003. Student Recipient (Faculty Awarded) of NSF Grant (NSF Grant No. DMS-0071390), Summer 2001.
Thomas J Emmerling
3
Conference and Seminar Presentations Stochastics and Finance Seminar Speaker, Mathematics Department, Worcester Polytechnic Institute, October 27, 2014. Seminar Speaker, Finance Department, Whitman School of Management, Syracuse University, April 30, 2014. Contributed Paper, American Financial Association (AFA), ASSA Meetings, Philadelphia, January 3-5, 2014. Contributed Talk, Financial Management Association (FMA), Chicago, October 17, 2013. Seminar Speaker, Finance Department, Whitman School of Management, Syracuse University, April 12, 2013. Contributed Talk, Special Session on Financial Mathematics, AMS Eastern Sectional Meeting, Boston College, April 6-7, 2013. Poster Presenter, Probability Control and Finance–Conference in honor of Ioannis Karatzas, Columbia University, June 4-8, 2012. Seminar Speaker, Department of Mathematical Sciences, Carnegie Mellon University, Probability and Computational Finance Seminar, February 20, 2012. Seminar Speaker, Department of Mathematics, Rutgers University, Mathematical Finance and Probability Seminar, April 5, 2011. Conference Speaker, SIAM Conference on Financial Mathematics and Engineering, Optimal Stopping and Related Results, San Francisco, November 19, 2010. Conference Speaker, Sixth World Congress, Bachelier Finance Society, Toronto, June 2010 Participant at Thematic Program in Quantitative Finance, Workshop on Foundations of Mathematical Finance, Fields Institute, Toronto, January 2010. Seminar Speaker, University of Michigan, Department of Mathematics, Financial/Actuarial Seminar, October 1, 2009. Seminar Speaker, Princeton University, Operations Research and Financial Engineering (ORFE), Stochastic Analysis Seminar, February, 17, 2009. Participant in Workshop in Optimization at Mathematical Sciences Research Institute (MSRI) July 2007, Berkeley, CA.
Professional Activities Ad-hoc Reviewer for Journal of Money, Credit, and Banking, Finance Research Letters, Real Estate Economics, International Journal of Theoretical and Applied Finance, Mathematical Finance, Applied Stochastic Models in Business and Industry, Journal of Applied Mathematics and Computing, SIAM Journal on Control and Optimization (SICON). Member, Phi Beta Kappa Society. Member, American Economic Association (AEA).
Thomas J Emmerling
4
Member, Financial Management Association (FMA). Member, American Mathematical Society (AMS). Professional Development: ARGUS certification training (Nov 2014), Matlab Programming Techniques 2014 (online completion (Jun 2014)).
Teaching Syracuse University Fixed Income Securities FIN 660 (Masters Finance): Fall 2014. Fixed Income Securities FIN 400 (Undergraduate): Spring 2015. Regression Analysis MAS 362: Spring 2015 Fall 2014, Spring 2013, Fall 2013.
University of Michigan Computational Finance (Graduate–Financial Engineering Program): Fall 2009. Mathematics of Finance Math 423: Winter 2010, Fall 2010, Winter 2011, Winter 2012, Spring 2012. Numerical Analysis with Financial Applications Math 472: Fall 2010, Fall 2011.
Boston University Calculus I: Summer 2008. Differential Equations MA 226: Fall 2003, Teaching Assistant. Elementary Probability MA 381: Spring 2004, Fall 2004, Teaching Assistant. Multivariable Calc. MA 226: Fall 2004, Fall 2006, Teaching Assistant. Comp. Methods of Math Fin. MA 796: Spring 2005, Spring 2006 Teaching Assistant. Stat. Analysis Fin. Data MA 593: Fall 2005, Teaching Assistant. Intro. to Math Fin. Fall 2005, Teaching Assistant. FE 828 Fixed Income Derivatives FE 828: Spring 2007, Teaching Assistant. Statistics I MA 115: Fall 2007, Spring 2008, Fall 2008, Teaching Assistant. Enriched Calculus MA 127: Fall 2008, Teaching Assistant. Statistics II MA 116: Spring 2009, Teaching Assistant.
Miscellaneous Programming: Matlab, Mathematica, Minitab, LATEX, SAS, Excel with Visual Basic.
Thomas J Emmerling
5
Working Paper Abstracts “Equity Returns and the Supply of Bonds", with Robert Jarrow, and Yildiray Yildirim. Abstract: Within an equilibrium model for bonds and equity, we analyze how changes to the supply of bonds affect the expected return for equities. For a given change in the bond supply, the direction of impact upon equity returns depends upon the growth rate of the aggregate equity dividend. Cross sectionally, the model implies that changes in the bond supply affect growth firms more than values firms. An empirical analysis supports an equilibrium model for which the bond supply is positively related to all equity returns and its effect on growth firms is greater than for value firms.
“Portfolio Balance and the Equity Market", with Robert Jarrow, and Yildiray Yildirim. Abstract: Through a simple general equilibrium model, we motivate how changes in the bond supply may affect the equity market through the portfolio balance channel. The model predicts that exogenous increases (decreases) in the bond supply coincide with a lower (higher) equity price. A historical investigation from 1952-2014 provides evidence for this theoretical result with (downside) asymmetric effects. This analysis offers insight into the efficacy of the portfolio balance channel by which changes in the bond supply may impact equities.
“Portfolio Balance Effects and the Federal Reserve’s Large-Scale Asset Purchases", with Robert Jarrow, and Yildiray Yildirim. Abstract: Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve’s large-scale asset purchases (LSAPs), we study the changes to expected returns. Our empirical investigation offers support for changes to risk premia coincident with LSAPs. For both equity and bonds, we find evidence for supply/demand LSAPs effects; the equity effects are consistent with a substitution effect from bonds to equities, whereas the bond effects appear to be an anomaly. Such findings represent new insight for weighing the efficacy and identifying the scope of LSAPs.
“Counterparty Risk and Capital Structure", with Brent Ambrose, Henry Huang, and Yildiray Yildirim. Abstract: The 2007-2009 financial crisis and recession highlighted the role of counterparty risk in financial contracts, many once thought immune to such problems. However, counterparty risk can be significant in a wide variety of contracting situations and can impact capital structure decisions. Using commercial real estate leases as an example, this paper presents a new model that endogenizes the capital structure of both parties to a contract. We examine the interaction between firm capital structures and equilibrium contract pricing. Moreover, in a commercial lease setting, our model demonstrates that consideration of credit risk is instrumental to confirm the complementarity between lease and debt.
“To Accept or Not to Accept: Optimal Strategy for Sellers in Real Estate", with Abdullah Yavas and Yildiray Yildirim. Abstract: We consider the problem of a seller who faces an unknown number of offers where each offer is a random draw from a known distribution. The objective of the seller is to maximize the probability that the highest offer is chosen. This is equivalent to maximizing expected utility when one assigns preferences to
Thomas J Emmerling
6
rankings of offers. We identify the optimal selling strategy use general optimal stopping theory. We show that the optimal strategy is characterized by a non-increasing stochastic set of reservation prices. This is in contrast to the classical search theory models where reservation prices are deterministic. Our analysis also provides theoretical support to the observation that first offers in residential real estate markets should be accepted more often since they tend to be higher than subsequent offers.
References Prof. Robert Jarrow PhD Professor of Finance Samuel Curtis Johnson Graduate School of Management Cornell University Ithaca, NY 14853-6201
[email protected] 607-255-4729 Prof. Yildiray Yildirim PhD Professor of Finance Syracuse University Whitman School of Management 721 University Avenue Syracuse, NY 13244
[email protected] 315-443-4885 Prof. Erhan Bayraktar PhD Professor of Mathematics University of Michigan 530 Church Street Ann Arbor, MI 48109
[email protected] 734-764-9402
Last updated: September 3, 2015
