Stephen Michael Taylor

New Jersey Institute of Technology

Assistant Professor

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 49,258

SSRN RANKINGS

Top 49,258

in Total Papers Downloads

788

CITATIONS

0

Scholarly Papers (8)

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 222 (134,409)

Abstract:

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2.

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 192 (154,099)

Abstract:

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Bayesian Inference, Value at Risk, Burr Distribution

3.

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 University of Minnesota - Minneapolis
Downloads 122 (224,991)

Abstract:

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

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 73 (314,671)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

5.

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 69 (324,503)

Abstract:

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Information Geometry, Extreme Value Theory, Quantitative Risk

6.

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 66 (332,297)

Abstract:

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

7.

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 41 (411,003)

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

8.

Pricing Discretely Monitored Barrier Options under Markov Processes using a Markov Chain Approximation

Number of pages: 44
Zhenyu Cui and Stephen Michael Taylor
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 3

Abstract:

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discrete barrier options, continuous-time Markov chains, integral equations,Z−transform, Markov process