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Steven Kou

Risk Management Institute, NUS

Director

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

  • Risk Management Institute, NUS

SCHOLARLY PAPERS

12

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CITATIONS
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309

Scholarly Papers (12)

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1.

A Jump Diffusion Model For Option Pricing

AFA 2001 New Orleans Meetings
Number of pages: 36 Posted: 16 Sep 2000
Steven Kou
Risk Management Institute, NUS
Downloads 2,476 (3,654)
Citation 149

Abstract:

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
Risk Management Institute, NUS and Brown University
Downloads 1,290 (10,934)
Citation 135

Abstract:

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 Risk Management Institute, NUS
Downloads 552 (38,811)
Citation 22

Abstract:

4.

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 Risk Management Institute, NUS
Downloads 291 (64,864)

Abstract:

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

5.

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, Risk Management Institute, NUS and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 256 (53,006)

Abstract:

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

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 Risk Management Institute, NUS
Downloads 216 (112,206)

Abstract:

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
Risk Management Institute, NUS, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Columbia University (Deceased)
Downloads 160 (140,569)
Citation 3

Abstract:

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
Risk Management Institute, NUS and Hong Kong University of Science & Technology (HKUST) - Department of Mathematics
Downloads 85 (144,110)

Abstract:

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 Risk Management Institute, NUS
Downloads 0 (460,029)

Abstract:

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
Risk Management Institute, NUS, Hong Kong University of Science & Technology (HKUST) - Department of Mathematics and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 0 (362,806)

Abstract:

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

11.

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 Risk Management Institute, NUS

Abstract:

12.

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 Risk Management Institute, NUS

Abstract:

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