Steven Kou

Boston University

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

14

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6,550

CITATIONS
Rank 12,785

SSRN RANKINGS

Top 12,785

in Total Papers Citations

41

Scholarly Papers (14)

1.

A Jump Diffusion Model for Option Pricing

AFA 2001 New Orleans Meetings
Number of pages: 36 Posted: 16 Sep 2000
Steven Kou
Boston University
Downloads 2,809 (4,008)
Citation 278

Abstract:

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Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction

2.

Option Pricing Under a Double Exponential Jump Diffusion Model

Number of pages: 21 Posted: 24 Sep 2001
Steven Kou and Hui Wang
Boston University and Brown University
Downloads 1,398 (12,797)
Citation 76

Abstract:

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3.

The Term Structure of Simple Forward Rates with Jump Risk

Number of pages: 37 Posted: 07 Jun 2000
Paul Glasserman and Steven Kou
Columbia Business School and Boston University
Downloads 575 (45,750)
Citation 21

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4.

A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure

Forthcoming in Management Science
Number of pages: 44 Posted: 29 Nov 2013 Last Revised: 21 Feb 2017
Ningyuan Chen, Steven Kou and Chun Wang
Hong Kong University of Science & Technology (HKUST) - Department of Industrial and Engineering and Logistics Management, Boston University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 477 (57,984)
Citation 5

Abstract:

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Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming

5.
Downloads 441 ( 63,805)
Citation 3

Profit Sharing in Hedge Funds

Number of pages: 34 Posted: 19 Sep 2011 Last Revised: 21 Jun 2016
Xue Dong He and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Boston University
Downloads 439 (63,538)

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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme

Profit Sharing in Hedge Funds

Mathematical Finance, Vol. 28, Issue 1, pp. 50-81, 2018
Number of pages: 32 Posted: 17 Jan 2018
Xue Dong He and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management and Boston University
Downloads 2 (660,070)
Citation 3
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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, firstā€loss scheme

6.

Modeling Growth Stocks Via Size Distribution

Number of pages: 30 Posted: 22 Feb 2002
Samuel C. Kou and Steven Kou
Harvard University - Department of Statistics and Boston University
Downloads 234 (128,979)

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biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.

7.

External Risk Measures and Basel Accords

Kou, S. G., Peng, X., Heyde, C. C., 2013. Mathematics of Operations Research 38 (3), 393-417.
Number of pages: 27 Posted: 12 May 2012 Last Revised: 03 Aug 2013
Steven Kou, Xianhua Peng and Chris Heyde
Boston University, Peking University - HSBC School of Business and Columbia University (Deceased)
Downloads 201 (149,090)
Citation 25

Abstract:

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financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation

8.

On the Measurement of Economic Tail Risk

Number of pages: 51 Posted: 21 Jan 2014 Last Revised: 17 Aug 2015
Steven Kou and Xianhua Peng
Boston University and Peking University - HSBC School of Business
Downloads 195 (153,434)
Citation 17

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comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest

9.

Does the Prohibition of Trade-Through Hurt Liquidity Demanders?

Number of pages: 31 Posted: 24 Jul 2017
Ningyuan Chen and Steven Kou
Hong Kong University of Science & Technology (HKUST) - Department of Industrial and Engineering and Logistics Management and Boston University
Downloads 72 (319,955)

Abstract:

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Optimal order execution, order routing, dynamic programming

10.

EM Algorithm and Stochastic Control in Economics

Number of pages: 46 Posted: 07 Nov 2016
Steven Kou, Xianhua Peng and Xingbo Xu
Boston University, Peking University - HSBC School of Business and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 71 (322,420)

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EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation

11.

A Unified Framework for Regime-Switching Models

Number of pages: 61 Posted: 15 Jan 2019 Last Revised: 01 May 2019
Ning Cai, Steven Kou and Yingda Song
Department of Industrial Engineering and Decision Analytics, Hong Kong University of Science and Technology, Boston University and Shanghai Jiao Tong University
Downloads 62 (346,207)
Citation 1

Abstract:

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Regime-Switching Markov Models; Continuous-Time Markov Chains; First Passage Times; Time Integrals; Generalized Phase-Type Distributions; EM Algorithm

12.

Gini Curve and Top Incomes

Number of pages: 47 Posted: 08 Aug 2017
Min Dai, Steven Kou and Hui Shao
National University of Singapore (NUS) - Department of Mathematics, Boston University and National University of Singapore (NUS) - Risk Management Institute
Downloads 15 (543,568)
Citation 1

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income inequality, top incomes, Gini coefficient, weighted expected utility theory

13.

Connecting Discrete and Continuous Path-Dependent Options

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 25 Nov 1998
Mark Broadie, Paul Glasserman and Steven Kou
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School and Boston University

Abstract:

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14.

Hedging American Contingent Claims with Constrained Portfolios

Finance and Stochastics, Vol. 2, No. 3 (1998)
Posted: 09 Jun 1998
Ioannis Karatzas and Steven Kou
Columbia University - Department of Statistics and Boston University

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