Stephen Michael Taylor

Stevens Institute of Technology

Associate Professor

1 Castle Point Terrace

Hoboken, NJ 07030

United States

  • Stevens Institute of Technology

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 18,467

SSRN RANKINGS

Top 18,467

in Total Papers Downloads

4,478

SSRN CITATIONS
Rank 44,921

SSRN RANKINGS

Top 44,921

in Total Papers Citations

11

CROSSREF CITATIONS

5

Scholarly Papers (21)

Actions:
Email selected abstracts
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 Stevens Institute of Technology
Downloads 994 (37,091)

Abstract:

Loading...

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 Stevens Institute of Technology
Downloads 536 (83,958)

Abstract:

Loading...

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, Stevens Institute of Technology and Florida State University
Downloads 367 (131,323)
Citation 2

Abstract:

Loading...

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

4.

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, Stevens Institute of Technology and Independent
Downloads 257 (190,914)

Abstract:

Loading...

Bayesian Inference, Value at Risk, Burr Distribution

5.

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 Stevens Institute of Technology
Downloads 253 (193,879)

Abstract:

Loading...

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

6.

Explicit Density Approximations for Local Volatility Models Using Heat Kernel Expansions

Number of pages: 16 Posted: 02 Apr 2011
Stephen Michael Taylor
Stevens Institute of Technology
Downloads 249 (196,972)
Citation 1

Abstract:

Loading...

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
Stevens Institute of Technology and affiliation not provided to SSRN
Downloads 225 (217,273)
Citation 1

Abstract:

Loading...

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

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, Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 191 (252,468)

Abstract:

Loading...

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

9.

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 Stevens Institute of Technology
Downloads 161 (292,948)
Citation 1

Abstract:

Loading...

Attrition, Human Resources, Gradient Boosted Trees

10.

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 Stevens Institute of Technology
Downloads 159 (296,054)

Abstract:

Loading...

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

11.

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
Stevens Institute of Technology and Martin Tuchman School of Management, New Jersey Institute of Technology
Downloads 142 (324,670)

Abstract:

Loading...

anomaly portfolios, asset pricing, factor models, machine learning

12.

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
Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 133 (341,717)

Abstract:

Loading...

Long Term Portfolio Protection, Option Pricing, Hedging

13.

Social Security Benefit Valuation, Risk, and Optimal Retirement

Number of pages: 29 Posted: 16 Aug 2019 Last Revised: 02 Sep 2019
Yassmin Ali, Pablo Andreas Arrutia Sota, Ming Taylor, Stephen Michael Taylor and Xun Wang
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, Stevens Institute of Technology and New Jersey Institute of Technology - Martin Tuchman School of Management
Downloads 117 (375,720)

Abstract:

Loading...

social security, principal component analysis, pension risk

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 Stevens Institute of Technology
Downloads 114 (382,712)
Citation 3

Abstract:

Loading...

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

15.

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
Stevens Institute of Technology
Downloads 107 (400,412)

Abstract:

Loading...

Information Geometry, Extreme Value Theory, Quantitative Risk

16.

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, Stevens Institute of Technology and New Jersey Institute of Technology - Martin Tuchman School of Management
Downloads 104 (408,470)

Abstract:

Loading...

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

17.

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
Stevens Institute of Technology and Brigham Young University
Downloads 94 (437,202)

Abstract:

Loading...

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

18.

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
Stevens Institute of Technology and Martin Tuchman School of Management, New Jersey Institute of Technology
Downloads 91 (446,275)
Citation 1

Abstract:

Loading...

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

19.

Portfolio Optimization in Driftless Markets

Number of pages: 29 Posted: 11 Dec 2022 Last Revised: 08 Mar 2023
Jan Vecer, Mark Richard and Stephen Michael Taylor
Charles University in Prague - Faculty of Mathematics and Physics, Frankfurt School of Finance & Management and Stevens Institute of Technology
Downloads 68 (528,198)

Abstract:

Loading...

Likelihood Ratio, Utility Maximization, Relative Entropy, Bayesian Market

20.

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, Stevens Institute of Technology and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 58 (572,242)

Abstract:

Loading...

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

21.

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 Stevens Institute of Technology
Downloads 58 (572,242)

Abstract:

Loading...

integral transform, inverse transform method, orthogonal polynomial, sampling