Stephen Michael Taylor

New Jersey Institute of Technology

Assistant Professor

University Heights

Newark, NJ 07102

United States

  • New Jersey Institute of Technology

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

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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)

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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
Eric Hendries, Jun Huang, Rachel Li, Xiao Li, Yiyang Qi, Helene Sajer, Stephen Michael Taylor and John Zerolis
Independent, Independent, Independent, Independent, CME Group, Independent, New Jersey Institute of Technology and Independent
Downloads 192 (154,099)

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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)

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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)

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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)

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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)

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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

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