CONTACT INFORMATION
Office:	217 Kalkin  FIND OFFICE
Phone:	656-8270
E-Mail:	mtomas@bsad.uvm.edu
Office Hours:	Tuesdays and Thursdays 3:45 p.m. - 4:45 p.m. or by appointment

• BSAD 180 - Managerial Finance
  Section C, 002 Kalkin 11:30-12:45 TR - ON-LINE SYLLABUS
  Section Z3, 002 Kalkin 11:30-12:45 TR - ON-LINE SYLLABUS
   
• BSAD 285 - Options and Futures
  Section A, 002 Kalkin 2:30-3:45 TR - ON-LINE SYLLABUS
  Section Z1, 002 Kalkin 2:30-3:45 TR - ON-LINE SYLLABUS

Publication History

Journal Article, Academic Journal

• Tomas III, M. J.; Bouriaux, S. - "Use of Interest Rate Derivatives by U.S. Based Domestic and Global Bond Mutual Funds" (Refereed) - Journal of Management Research - 2009 - v. 1, no. 2, pp. 17 [View publication] [Show/Hide Abstract]
  Abstract: We investigate the use of interest rate derivatives by U.S. based domestic and global bond mutual funds. Using SEC filings and monthly return data, we document the use of derivatives across subcategories of bond funds and examine differences in returns between users and non-users of derivatives. Compared with previous studies on equity mutual funds, our bond mutual fund sample shows a wider use of derivatives. However, as with previous studies on equity funds, our results show no overall difference in fund returns for non-users and users of derivatives. One exception is the Global Bonds fund subcategory.
  
• Tomas III, M. J.; Krishnan, H. P. - "An Extension to Fitting Discrete Time Term Structure Models When Rates Are Outcomes of Bernoulli Trials" (Refereed) - Review of Futures Markets - 2006 - v. 15, no. 2, [View publication] [Show/Hide Abstract]
  Abstract: This paper specifies the proper drift adjustment terms for the single factor Heath Jarrow Morton term structure model, using the standard binomial framework. Unlike previous work, which was based on normal distribution assumptions, this derivation is done purely in discrete time under the assumption that the random variable is the outcome of a Bernoulli trial (a binomial distribution). This paper provides the first rigorous derivation of drift adjustment terms for the single factor Heath Jarrow Morton equation in discrete space and time.
  
• Frino, A.; Harris, F. H.; McInish, T. H.; Tomas III, M. J. - "Price Discovery in the Pits: The Role of Market Makers on the CBOT and the Sydney Futures Exchange" (Refereed) - Journal of Futures Markets - 2004 - v. 24, no. 8, [View publication] [Show/Hide Abstract]
  Abstract: This paper uses the methods of error correction and common factor analysis to estimate the contribution of locals (market makers who may participate directly by trading for their own account) and non-local traders to price discovery on the floor of the Chicago Board of Trade (CBOT) and the Sydney Futures Exchange (SFE) during a period when open outcry trading was used on both exchanges. We examine these two execution channels for the CBOT's U.S. Treasury bond contract and the SFE's three-year bonds, ten-year bonds, ninety-day bankers' accepted bills, and stock index contracts. For each of the futures contracts, the trade price series of local and non-local traders are cointegrated. VAR analysis reveals lag structures eight to fifteen trades long in the dynamic adjustment of equilibrium prices in these markets, but time spans of only one to three seconds within synchronous trades. We find evidence of multilateral price discovery by the two execution channels for each of the five contracts. Locals account for 44 to 73% of the price discovery in the four SFE contracts and for 58% of the price discovery in the CBOT's T-bond contract.
  
• Holder, M. E.; Pace, R. D.; Tomas III, M. J. - "Complements or Substitutes? Equivalent Futures Contract Markets? The Case of Corn and Soybean Futures on U.S. and Japanese Exchanges." (Refereed) - Journal of Futures Markets - 2002 - v. 22, no. 4, [View publication] [Show/Hide Abstract]
  Abstract: This article examines the relationship between corn and soybean futures volumes for contracts traded in the United States and Japan. Because the contract specifications for corn and soybeans futures traded on the Chicago Board of Trade (CBOT), the Tokyo Grain Exchange (TGE), and the Kanmon Commodity Exchange (KCE) are highly similar, the existence of interactions might be expected. Previous research has identified price relationships between these similar contracts. With the advent of agricultural trading on the CBOT's Project A overnight electronic trading system, an overlap of trading times of the U.S. and Japanese exchanges for these commodity contracts resulted. An analysis of TGE and KCE corn and soybean futures volumes indicates that these contracts, rather than acting as substitutes, exhibit a complementary relationship.
  
• Tomas III, M. J.; Yalamanchili, K. K. - "An Application of Finite Elements to Option Pricing." (Refereed) - Journal of Futures Markets - 2000 - v. 21, no. 1, pp. 19-42 [View publication] [Show/Hide Abstract]
  Abstract: This study applied the finite element method (FEM) to pricing options. The FEM estimates the function that satisfies a governing differential equation through the assembly of piecewise continuous functions over the domain of the problem. Two common representations, a variational functional representation, and a weighted residual representation are used in the application of the method. The FEM is a versatile alternative to other popular lattice methods used in option pricing. Advantages include the abilities to directly estimate the Greeks of the option and allow nonuniform mesh construction. As an illustration of the advantages that the FEM offers, the method was used to price European put options and discrete barrier knock-out put options.
  
• Kim, M.; Ravi, S.; Tomas III, M. J. - "Mutual Fund Objective Misclassification" (Refereed) - Journal of Economics and Business - 2000 - v. 52, no. 4, pp. 309-323 [View publication] [Show/Hide Abstract]
  Abstract: Mutual funds are usually classified based on their stated objectives. If the stated objectives are not the actual objectives the funds pursue, conclusions drawn by investors and researchers based on the stated objectives will be misleading. This study classifies funds based on their attributes (characteristics, investment style, and risk/return measures). We find that the stated objectives of more than half the funds differ from their attributes-based objectives, and over one third of the funds are severely misclassified. However, contrary to the reports in the financial press, we do not find that mutual funds are gaming their objectives, i.e., deviating from their stated objectives to earn a higher relative performance ranking.
  
• Holder, M. E.; Tomas III, M. J.; Webb, R. I. - "Winners and Losers: Recent Competition Among Futures Exchanges for Equivalent Financial Contract Markets" (Refereed) - Derivatives Quarterly - 1999 - v. 14, no. 2, pp. 151-164 [View publication] [Show/Hide Abstract]
  Abstract: Since, the early 1990s, emerging markets have started to play an important role in the trading of derivatives products. Despite the fact that these markets are characterized in general as illiquid, segmented, politically unstable, with lack of regulations and historical financial databases, they do have some advantages for markets' participants. This paper aims to discuss some of the main obstacles to the inception of successful derivative products in emerging economies and to provide a number of viable solutions.
  
• Tomas III, M. J. - "A Note on Pricing PCS Single-Event Options" (Refereed) - Derivatives Quarterly - 1998 - v. 4, no. 3,
• Holder, M. E.; Tomas III, M. J. - "A Simple Model for Pricing Inflation-Indexed Futures" (Refereed) - Derivatives Quarterly - 1997 - v. 4, no. 1,
• Finucane, T. J.; Tomas III, M. J. - "American Stochastic Volatility Call Option Pricing: A Lattice Based Approach" (Refereed) - Review of Derivatives Research,Springer Netherlands - 1996 - v. 1, no. 2, pp. 183-201 [View publication] [Show/Hide Abstract]
  Abstract: This study presents a new method of pricing options on assets with stochastic volatility that is lattice based, and can easily accommodate early exercise for American options. Unlike traditional lattice methods, recombination is not a problem in the new model, and it is easily adapted to alternative volatility processes. Approximations are developed for European C.E.V. calls and American stochastic volatility calls. The application of the pricing model to exchange traded calls is also illustrated using a sample of market prices. Modifying the model to price American puts is straightforward, and the approach can easily be extended to other non-recombining lattices.
  
• Tomas III, M. J.; Howard, D. G. - "The Export Trading Company Act: An Update" (Refereed) - Journal of Marketing Channels - 1992 - v. 2, no. 1, pp. 105-119 [View publication] [Show/Hide Abstract]
  Abstract: The Export Trading Company Act (ETCA) was signed into law in 1982 by then President Ronald Reagan. The goal of this legislation was to promote U.S. exports by allowing U.S. banks to hold an equity U.S. exports by allowing U.S. banks to hold an equity position in Export Trading Companies (ETCs) and by exempting the overseas activities of these organiziations from U.S. antitrust laws. The writers of this legislation hoped that the American ETCs would eventually grow to rival the Japanese General Export Trading Cmopanies known as sogo shosha's. This paper focuses on the history of the ETCA, its problems, and the current state of Export Trading Companies (ETCs) in the U.S. When the ETCA was established, the dollar was on an upward trend and was relatively high compared to other major currencies, such as the Deutsche mark, Japanese yen, and pound sterling. The legislation had a somewhat minor effect of exports, as few companies came together to form ETCs. With the fall of the dollar, an important question to ask is: Has the drop of the dollar contributed to a rise in interest in forming ETCs?
  

Magazine/Trade Publication

• Tomas III, M. J. - "CBOT Innovates on U.S. Innovation With Inflation-Indexed Futures and Options" - Financial Exchange - 1997

Conference Proceeding

• Tomas III, M. J. - "Globalization of Asset Allocation: Applications to International Equity Markets." (Refereed) - Proceedings of the Conference on Global Equity Indexing - 1997

Book, Chapter in Scholarly Book-New

• Shukla, R. K.; Tomas III, M. J. - "Complete Derivation of Black-Scholes Option Pricing Formula - Chapter 9 Appendix" - Financial Derivatives - 2007 , Prentice Hall of India
• Tomas III, M. J. - "A Note on Pricing PCS Single-Event Options (reprint)" (Refereed) - Insurance and Weather Derivatives, Risk Books - 1999 - pp. Chapter 14 [View publication]

Research Report

• Tomas III, M. J. - "White Paper - OTC Derivatives Survey" - Chicago Mercantile Exhange, Financial Research Department - 1995