Steven Kou

Boston University

595 Commonwealth Avenue

Boston, MA 02215

United States

SCHOLARLY PAPERS

23

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7,797

SSRN CITATIONS
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SSRN RANKINGS

Top 6,903

in Total Papers Citations

139

CROSSREF CITATIONS

33

Scholarly Papers (23)

1.

A Jump Diffusion Model for Option Pricing

Number of pages: 36 Posted: 16 Sep 2000
Steven Kou
Boston University
Downloads 2,884 (4,415)
Citation 45

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 1,438 (13,893)
Citation 74

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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 579 (50,812)
Citation 18

Abstract:

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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: 16 May 2020
Ningyuan Chen, Steven Kou and Chun Wang
University of Toronto at Mississauga - Department of Management, Boston University and Tsinghua University, School of Economics and Management
Downloads 498 (61,396)
Citation 6

Abstract:

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

5.
Downloads 452 ( 69,204)
Citation 8

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 449 (69,116)

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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 3 (716,422)
Citation 5
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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, firstā€loss scheme

6.

Pi Portfolio Management: Reaching Goals While Avoiding Drawdowns

Number of pages: 24 Posted: 07 Sep 2019
California Institute of Technology - Division of the Humanities and Social Sciences, Boston University, Shanghai Jiao Tong University - Antai College of Economics & Management and Hightree Advisors LLC
Downloads 281 (118,753)
Citation 1

Abstract:

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7.

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 238 (140,738)

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

8.

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 222 (150,553)
Citation 9

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

9.

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 205 (162,185)
Citation 15

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

10.

A Dynamic Mean-Variance Analysis for Log Returns

Number of pages: 54 Posted: 19 Aug 2019 Last Revised: 09 Sep 2019
Min Dai, Hanqing Jin, Steven Kou and Yuhong Xu
National University of Singapore (NUS) - Department of Mathematics, Mathematical Institute, Boston University and Soochow university
Downloads 186 (178,194)
Citation 3

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portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery

11.

Self-Consistency, Subjective Pricing, and a Theory of Credit Rating

Number of pages: 47 Posted: 01 Jan 2020 Last Revised: 26 Jan 2020
Nan Guo, Steven Kou, Bin Wang and Ruodu Wang
China Bond Rating Co. Ltd., Boston University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 181 (181,778)

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Credit ratings, Structured finance, Dodd-Frank, Axiomatic characterization

12.

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 155 (207,625)
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

13.

Does the Prohibition of Trade-Through Hurt Liquidity Demanders?

Number of pages: 31 Posted: 24 Jul 2017
Ningyuan Chen and Steven Kou
University of Toronto at Mississauga - Department of Management and Boston University
Downloads 87 (315,513)

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Optimal order execution, order routing, dynamic programming

14.

Dealership or Marketplace: A Dynamic Comparison

Number of pages: 64 Posted: 29 Oct 2019 Last Revised: 06 Apr 2020
University of Toronto at Mississauga - Department of Management, HKUST, Department of Industrial Engineering and Decision Analytics, HKUST and Boston University
Downloads 85 (320,085)

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dynamic pricing, business models, dynamic game, Markov perfect equilibrium, structural properties

15.

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 85 (320,085)

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

16.

Non-Concave Utility Maximization without the Concavification Principle

Number of pages: 64 Posted: 19 Jul 2019 Last Revised: 03 Sep 2019
National University of Singapore (NUS) - Department of Mathematics, Boston University, National University of Singapore (NUS) and Shanghai Jiao Tong University - Antai College of Economics & Management
Downloads 72 (355,255)
Citation 1

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Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution

17.

Top Incomes and Income Inequality Indices: A Unified Framework Based on Inequality Index Curves

Number of pages: 53 Posted: 08 Aug 2017 Last Revised: 28 Sep 2019
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 44 (444,540)
Citation 1

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

18.

Exhaustible Resources with Adjustment Costs: Spot and Futures Prices

Number of pages: 73 Posted: 26 Sep 2019
Min Dai, Steven Kou and Cong Qin
National University of Singapore (NUS) - Department of Mathematics, Boston University and Center for Financial Engineering
Downloads 33 (492,696)

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Exhaustible Resources, Exploration, Production Adjustment Costs

19.

The Wisdom of the Crowd and Prediction Markets

Journal of Econometrics, Forthcoming
Number of pages: 86 Posted: 16 Jun 2020
Min Dai, Yanwei Jia and Steven Kou
National University of Singapore (NUS) - Department of Mathematics, National University of Singapore and Boston University
Downloads 32 (497,604)

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prediction markets, public opinion polls, information aggregation

20.

A Stochastic Representation for Nonlocal Parabolic PDEs with Applications

Mathematics of Operations Research, Forthcoming
Number of pages: 32 Posted: 21 Apr 2020
Min Dai, Steven Kou and Chen Yang
National University of Singapore (NUS) - Department of Mathematics, Boston University and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 30 (507,732)

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Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs

21.

Portfolio Selection under Median and Quantile Maximization

Number of pages: 71
Xue Dong He, Zhao Li Jiang and Steven Kou
The Chinese University of Hong Kong - Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management and Boston University
Downloads 10

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quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance

22.

Connecting Discrete and Continuous Path-Dependent Options

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

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23.

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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