Stephen Michael Taylor

New Jersey Institute of Technology

Assistant Professor

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 31,081

SSRN RANKINGS

Top 31,081

in Total Papers Downloads

1,677

SSRN CITATIONS

1

CROSSREF CITATIONS

4

Scholarly Papers (14)

1.

Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

Number of pages: 16 Posted: 02 Apr 2011
Stephen Michael Taylor
New Jersey Institute of Technology
Downloads 230 (148,499)
Citation 1

Abstract:

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2.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Zhenyu Cui, Wenhan Qian, Stephen Michael Taylor and Lingjiong Zhu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and Florida State University
Downloads 222 (153,675)
Citation 1

Abstract:

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Foreign Exchange, Toxic Arbitrage, Triangular Arbitrage, Perron-Frobenius Theorem

3.

Bayesian Value at Risk Metrics for Equity Portfolios

Number of pages: 17 Posted: 05 Sep 2014 Last Revised: 10 Mar 2017
Independent, Independent, Independent, Independent, CME Group, Independent, New Jersey Institute of Technology and Independent
Downloads 202 (167,830)

Abstract:

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Bayesian Inference, Value at Risk, Burr Distribution

4.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 188 (179,315)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

5.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Zhenyu Cui, Justin Kirkby, Duy Nguyen and Stephen Michael Taylor
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 167 (202,988)

Abstract:

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Dirac Delta function, delta sequence, implied volatility, model-free, SVI, SABR, Heston

6.

Sector Categorization Using Gradient Boosted Trees Trained on Fundamental Firm Data

Number of pages: 8 Posted: 20 Jun 2019 Last Revised: 03 Dec 2019
Ming Fang, Lilian Kuo, Frank Shi and Stephen Michael Taylor
Martin Tuchman School of Management, New Jersey Institute of Technology, New Jersey Institute of Technology, New Jersey Institute of Technology and New Jersey Institute of Technology
Downloads 101 (292,482)

Abstract:

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GICS Sector, Gradient Boosted Trees, Fundamental Data, Financial Ratios

7.

Graph Theoretical Representations of Equity Indices and their Centrality Measures

Number of pages: 19 Posted: 05 Nov 2019
Stephen Michael Taylor and Luca Di Cerbo
New Jersey Institute of Technology and affiliation not provided to SSRN
Downloads 87 (321,695)

Abstract:

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market centrality, market graph, degree centrality, minimum spanning tree

8.

Clustering Financial Return Distributions Using the Fisher Information Metric

Number of pages: 14 Posted: 04 Jun 2018 Last Revised: 27 Jan 2019
Stephen Michael Taylor
New Jersey Institute of Technology
Downloads 84 (328,732)

Abstract:

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Information Geometry, Extreme Value Theory, Quantitative Risk

9.

Social Security Benefit Valuation, Risk, and Optimal Retirement

Number of pages: 29 Posted: 16 Aug 2019 Last Revised: 02 Sep 2019
New Jersey Institute of Technology - Martin Tuchman School of Management, New Jersey Institute of Technology - Martin Tuchman School of Management, New Jersey Institute of Technology, New Jersey Institute of Technology and New Jersey Institute of Technology - Martin Tuchman School of Management
Downloads 80 (338,391)

Abstract:

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social security, principal component analysis, pension risk

10.

An Explicative and Predictive Study of Employee Attrition using Tree-based Models

Number of pages: 10 Posted: 13 Jun 2019
Nesreen El-rayes, Michael Smith and Stephen Michael Taylor
New Jersey Institute of Technology, New Jersey Institute of Technology - Martin Tuchman School of Management and New Jersey Institute of Technology
Downloads 80 (338,391)

Abstract:

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Attrition, Human Resources, Gradient Boosted Trees

11.

The Premium Reduction of European, American, and Perpetual Log Return Options

Number of pages: 19 Posted: 22 Oct 2019 Last Revised: 05 Aug 2020
Stephen Michael Taylor and Jan Vecer
New Jersey Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 75 (351,307)

Abstract:

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Long Term Portfolio Protection, Option Pricing, Hedging

12.

A Novel Reduction of the Simple Asian Option and Lie-Group Invariant Solutions

International Journal of Theoretical and Applied Finance, Vol. 12, No. 8, p. 1197, 2009
Number of pages: 10 Posted: 02 Apr 2011
Stephen Michael Taylor and Scott Alan Glasgow
New Jersey Institute of Technology and Brigham Young University
Downloads 72 (359,467)

Abstract:

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Asian Options, PDE Reductions, Vecer Reduction, Lie Symmetry Analysis

13.

Unbiased Weighted Variance and Skewness Estimators for Overlapping Returns

Number of pages: 10 Posted: 17 Jul 2017 Last Revised: 01 Jun 2018
Stephen Michael Taylor and Ming Fang
New Jersey Institute of Technology and Martin Tuchman School of Management, New Jersey Institute of Technology
Downloads 54 (415,422)

Abstract:

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overlapping returns, unbiased skewness, asset returns, weighted estimator, variance ratio test

14.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 35 (492,367)
Citation 2

Abstract:

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Discrete Barrier Options, Continuous-Time Markov Chains, Integral Equations, Z−Transform, Markov Process