Stephen Michael Taylor

New Jersey Institute of Technology

Assistant Professor

University Heights

Newark, NJ 07102

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 20,371

SSRN RANKINGS

Top 20,371

in Total Papers Downloads

3,463

SSRN CITATIONS

6

CROSSREF CITATIONS

5

Scholarly Papers (20)

1.

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 739 (47,487)

Abstract:

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

2.

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 390 (104,631)

Abstract:

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Foreign Exchange, Arbitrage, Triangular Arbitrage, Max Plus Product

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 Florida State University
Downloads 311 (133,936)
Citation 2

Abstract:

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

4.

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 237 (176,351)
Citation 1

Abstract:

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5.

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 226 (184,423)

Abstract:

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Bayesian Inference, Value at Risk, Burr Distribution

6.

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 189 (217,456)
Citation 1

Abstract:

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

7.

Peer-to-Peer Risk Sharing with an Application to Flood Risk Pooling

Number of pages: 42 Posted: 18 Feb 2021
Runhuan Feng, Chongda Liu and Stephen Michael Taylor
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Mathematics and New Jersey Institute of Technology
Downloads 177 (230,050)

Abstract:

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peer-to-peer insurance, risk sharing, Pareto optimality

8.

On Equity Market Inefficiency During the COVID-19 Pandemic

Number of pages: 16 Posted: 15 Jan 2021
Robert Navratil, Stephen Michael Taylor and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics, New Jersey Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 171 (236,947)

Abstract:

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Utility Maximization, Merton’s Optimal Portfolio, Efficient Market Hypothesis

9.

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 134 (288,491)

Abstract:

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

10.

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 120 (313,120)

Abstract:

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Long Term Portfolio Protection, Option Pricing, Hedging

11.

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 116 (320,613)
Citation 1

Abstract:

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Attrition, Human Resources, Gradient Boosted Trees

12.

A Machine Learning Based Asset Pricing Factor Model Extension Comparison On Anomaly Portfolios

Number of pages: 7 Posted: 23 Feb 2021 Last Revised: 25 Feb 2021
Stephen Michael Taylor and Ming Fang
New Jersey Institute of Technology and Martin Tuchman School of Management, New Jersey Institute of Technology
Downloads 102 (350,000)

Abstract:

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anomaly portfolios, asset pricing, factor models, machine learning

13.

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 93 (371,347)

Abstract:

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social security, principal component analysis, pension risk

14.

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 91 (376,423)

Abstract:

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Information Geometry, Extreme Value Theory, Quantitative Risk

15.

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 78 (412,392)

Abstract:

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

16.

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 75 (421,509)
Citation 3

Abstract:

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

17.

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 66 (451,245)
Citation 1

Abstract:

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

18.

The Network Structure of Overnight Index Swap Rates

Number of pages: 16 Posted: 18 Feb 2021
Ming Fang, Stephen Michael Taylor and Ajim Uddin
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 60 (473,153)

Abstract:

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overnight index swap rates, graph centrality, fixed income, principal component analysis

19.

On the Utility Maximization of the Discrepancy between a Perceived and Market Implied Risk Neutral Distribution

Number of pages: 28 Posted: 07 Sep 2021
Robert Navratil, Stephen Michael Taylor and Jan Vecer
Charles University in Prague - Faculty of Mathematics and Physics, New Jersey Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 44 (540,736)

Abstract:

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Portfolio optimization, Kelly Betting, Merton’s Problem, integer programming

20.

A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications

Number of pages: 20 Posted: 10 Jun 2021
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 44 (540,736)

Abstract:

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integral transform, inverse transform method, orthogonal polynomial, sampling