Steven Kou

Risk Management Institute, NUS

Director

21 Heng Mui Keng Terrace

Level 4

Singapore, 119613

Singapore

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 5,997

SSRN RANKINGS

Top 5,997

in Total Papers Downloads

5,873

CITATIONS
Rank 1,812

SSRN RANKINGS

Top 1,812

in Total Papers Citations

309

Scholarly Papers (11)

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 (3,594)
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 (10,695)
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 (38,383)
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 (66,335)

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 (53,458)

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 (110,301)

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 (138,341)
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 (144,124)

Abstract:

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

9.

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 (362,690)

Abstract:

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

10.

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:

11.

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: