Steven Kou

Cao, Y., Dai, M., Kou, S., Li, L., Yang, C. (In Press). “Designing Stablecoins”, Mathematical Finance

Li, G., Chen, N., Gallego, G., Gao, P., Kou, S. (In Press). “Dealership or Marketplace with Fulfillment Services: A Dynamic Comparison”, Manufacturing and Service Operations Management

Guo, N., Kou, S., Wang, B., Wang, R. (In Press). “A Theory of Credit Rating Criteria”, Management Science

Chen, N., Gao, P., Kou, S. (2023). “Does the Prohibition of Trade-Through Hurt Liquidity Demanders?”, Operations Research, 71 (5), 1458-1471

Dai, M., Kou, S., Soner, H., Yang, C. (2023). “Leveraged Exchange-Traded Funds with Market Closure and Frictions”, Management Science, 69 (4), 2517-2535

Dai, M., Kou, S., Qian, S., Wan, X. (2022). “Non-Concave Utility Maximization with Portfolio Bounds”, Management Science, 68 (11), 8368-8385

Dai, M., Kou, S., Yang, C. (2022). “A Stochastic Representation for Nonlocal Parabolic PDEs with Applications”, Mathematics of Operations Research, 47 (3), 1707-1730

Kou, S. (2022). FinTech Econometrics: Privacy Preservation and the Wisdom of the Crowd. In Volodymyr, Babich., John, Birge., Gilles, Hilary. (Eds.), “Innovative Technology at the Interface of Finance and Operations, Vol 2”, Springer 245-272

He, X., Kou, S., Peng, X. (2022). “Risk Measures: Robustness, Elicitability, and Backtesting”, Annual Review of Statistics and Its Application, 9 (1), 141-166

Xu, X., Chen, Y., Kou, S. (2021). “Discussion on “Text Selection””, Journal of Business and Economic Statistics, 39 (4), 883-887

Jiang, W., Kou, S. (2021). “Simulating Risk Measures via Asymptotic Expansions for Relative Errors”, Mathematical Finance, 31 (3), 907-942

Dai, M., Jin, H., Kou, S., Xu, Y. (2021). “Robo-Advising: A Dynamic Mean-Variance Approach”, Digital Finance, 3 (2), 81-97

Dai, M., Jin, H., Kou, S., Xu, Y. (2021). “Robo-advising: a dynamic mean-variance approach”, Digital Finance, 3 (2), 81-97

Dai, M., Jia, Y., Kou, S. (2021). “The Wisdom of the Crowd and Prediction Markets”, Journal of Econometrics, 222 (1), 561-578

Dai, M., Jin, H., Kou, S., Xu, Y. (2021). “A Dynamic Mean-Variance Analysis for Log Returns”, Management Science, 67 (2), 1093-1108

Cai, N., Kou, S. (2019). “Econometrics with Privacy Preservation”, Operations Research, 47 (4), 905-926

Song, Y., Cai, N., Kou, S. (2018). “Computable Error Bounds of Laplace Inversion for Pricing Asian Options”, INFORMS Journal on Computing, 30 (4), 634-645

Cui, W., Dai, M., Kou, S., Zhang, Y., Zhang, C., Zhu, X. (2018). “Interest Rate Swap Valuation in the Chinese Market”, Innovations in Insurance, Risk- and Asset Management 349-365

Kou, S., Peng, X., Zhong, H. (2018). “Asset Pricing with Spatial Interaction”, Management Science, 64 (5), 2083-2101

Chen, N., Kou, S., Wang, C. (2018). “A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure”, Management Science, 64 (2), 784-803

Kou, S., He, X. (2018). “Profit Sharing in Hedge Funds”, Mathematical Finance, 28 (1), 50-81

Kou, S., Yu, C., Zhong, H. (2017). “Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis”, Management Science, 63 (4), 988-1010

Kou, S., Zhong, H. (2016). “First-passage times of two-dimensional Brownian motion”, Advances in Applied Probability, 48 (4), 1045-1060

Kou, S., Peng, X. (2016). “On the Measurement of Economic Tail Risk”, Operations Research, 64 (5), 1056-1072

Cai, N., Song, Y., Kou, S. (2015). “A General Framework for Pricing Asian Options Under Markov Processes”, Operations Research, 63 (3), 540-554

Cai, N., Kou, S., Liu, Z. (2014). “A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering”, Advances in Applied Probability, 46 (3), 766-789

Kou, S., Peng, X. (2014). “Expected shortfall or median shortfall”, Journal of Financial Engineering, 01 (01), 1450007-1450007

Kou, S., Peng, X., Heyde, C. (2013). “External Risk Measures and Basel Accords”, Mathematics of Operations Research, 38 (3), 393-417

Cai, N., Kou, S. (2012). “Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model”, Operations Research, 60 (1), 64-77

Broadie, M., Derman, E., Glasserman, P., Kou, S. (2012). “Financial engineering at Columbia University”, Quantitative Finance, 12 (1), 11-14

Cai, N., Kou, S. (2011). “Option Pricing Under a Mixed-Exponential Jump Diffusion Model”, Management Science, 57 (11), 2067-2081

Chen, N., Kou, S. (2009). “Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk”, Mathematical Finance, 19 (3), 343-378

Peng, X., Kou, S. (2008). “Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model”, 2008 Winter Simulation Conference, 1 578-586

Gallego, G., Kou, S., Phillips, R. (2008). “Revenue Management of Callable Products”, Management Science, 54 (3), 550-564

Kou, S. (2008). Discrete Barrier and Lookback Options. In John, Birge., Vadim, Linetsky. (Eds.), “Handbooks in OR and MS”, Elsevier

Kou, S. (2008). Lévy Processes in Asset Pricing. In B, Everitt., E, Melnick. (Eds.), “Encyclopedia of Quantitative Risk Analysis and Assessment”, John Wiley & Sons

Kou, S. (2008). Jump Diffusion Models for Asset Pricing in Financial Engineering. In John, Birge., Vadim, Linetsky. (Eds.), “Handbooks in OR and MS”, Elsevier

Kou, S., Ying, Z. (2006). “Analysis of a sequence of dependent 2 × 2 tables”, Random Walk, Sequential Analysis and Related Topics

Glasserman, P., Kou, S. (2006). “A Conversation with Chris Heyde”, Statistical Science, 21 (2)

Kou, S., Petrella, G., Wang, H. (2005). “Pricing path-dependent options with jump risk via Laplace transforms”, Kyoto Economic Review, 74 (1), 1-23

Heyde, C., Kou, S. (2004). “On the controversy over tailweight of distributions”, Operations Research Letters, 32 (5), 399-408

Kou, S., Wang, H. (2004). “Option Pricing Under a Double Exponential Jump Diffusion Model”, Management Science, 50 (9), 1178-1192

Kou, S., Kou, S. (2004). “A Diffusion Model for Growth Stocks”, Mathematics of Operations Research, 29 (2), 191-212

Kou, S., Sobel, M. (2004). “Forecasting the Vote: A Theoretical Comparison of Election Markets and Public Opinion Polls”, Political Analysis, 12 (3), 277-295

Petrella, G., Kou, S. (2004). “Numerical pricing of discrete barrier and lookback options via Laplace transforms”, The Journal of Computational Finance, 8 (1), 1-37

Kou, S., Kou, S. (2003). “Modeling growth stocks via birth-death processes”, Advances in Applied Probability, 35 (3), 641-664

Glasserman, P., Kou, S. (2003). “The Term Structure of Simple Forward Rates with Jump Risk”, Mathematical Finance, 13 (3), 383-410

Kou, S. (2003). “On pricing of discrete barrier options”, Statistica Sinica, 13 955-964

Kou, S., Wang, H. (2003). “First passage times of a jump diffusion process”, Advances in Applied Probability, 35 (02), 504-531

Kou, S., Kou, S. (2002). “Modeling growth stocks (part II)”, Proceedings of the Winter Simulation Conference

Kou, S. (2002). “A Jump-Diffusion Model for Option Pricing”, Management Science, 48 (8), 1086-1101

Kou, S., Kou, S. (2001). “Modeling growth stocks”, Risk S34-S37

Kou, S., Sobel, M. (2001). “Hedging electoral risk”, Risk 95-98

Broadie, M., Glasserman, P., Kou, S. (1999). “Connecting discrete and continuous path-dependent options”, Finance and Stochastics, 3 (1), 55-82

Karatzas, I., Kou, S. (1998). “Hedging American contingent claims with constrained portfolios”, Finance and Stochastics, 2 (3), 215-258

Broadie, M., Glasserman, P., Kou, S. (1997). “A Continuity Correction for Discrete Barrier Options”, Mathematical Finance, 7 (4), 325-349

Kou, S., Chow, Y. (1997). “A central limit theorem for the number of success runs: an example of regenerative processes”, Statistica Sinica 157-166

Kou, S., Ying, Z. (1996). “Asymptotics for a 2×2 table with fixed margins”, Statistica Sinica, 6 809-829

Karatzas, I., Kou, S. (1996). “On the pricing of contingent claims under constraints”, The Annals of Applied Probability, 6 (2)

Glasserman, P., Kou, S. (1995). “Limits of First Passage Times to Rare Sets in Regenerative Processes”, The Annals of Applied Probability, 5 (2)

Glasserman, P., Kou, S. (1995). “Analysis of an importance sampling estimator for tandem queues”, ACM Transactions on Modeling and Computer Simulation, 5 (1), 22-42

Glasserman, P., Kou, S. (1993). “Overflow probabilities in Jackson networks”, Proceedings of 32nd IEEE Conference on Decision and Control