Steven Kou

Questrom Professor in Management Professor, Finance
    Education
  • PhD, Columbia University, 1995
    Publications
  • Chen, N., Gao, P., Kou, S. (In Press). "Does the Prohibition of Trade-Through Hurt Liquidity Demanders?", Operations Research
  • Dai, M., Kou, S., Soner, H., Yang, C. (In Press). "Leveraged Exchange-Traded Funds with Market Closure and Frictions", Management Science
  • 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., 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
  • 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
  • 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 2x2 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
    Research Presentations
  • Kou, S. Bitcoin mining and electricity consumption, Peter Carr Gedenkschrift Finance Conference, University of Maryland, 2022
  • Kou, S. Menuless and Preference-free Screening Contracts for Fund Managers, INFORMS Annual Meeting, Indianapolis, Indiana, 2022
  • Kou, S. Bitcoin mining and electricity consumption, Princeton Financial Engineering Seminar, Princeton University, 2022
  • Kou, S. Bitcoin mining and electricity consumption, Econometric Society Asia-Australia Meeting, zoom, 2022
  • Kou, S. FinTech Econometrics, Peking University Finance Seminar, zoom, 2022
  • Kou, S. FinTech Econometrics, Nanjing University Finance Seminar, zoom, 2022
  • Kou, S. Bitcoin minining and electricity consumption, Advances in Optimal Decision Making under Uncertainty, zoom, 2022
  • Kou, S. A Theory of FinTech, Finance Seminar, Stevens Institute of Technology (via Zoom), 2021
  • Kou, S. FinTech Econometrics, 3rd Berlin Crypto Currency Conference, HU-Berlin (via Zoom), 2021
  • Kou, S. Bitcoin mining and electricity consumption, Imperial Colledge Math Finance Seminar, zoom, 2021
    Awards and Honors
  • 2021, Shahdadpuri Faculty Research Award, Boston University
  • 2018, IMS Fellow, Institute of Mathematical Statistics
  • 2002, Erlang Prize, INFORMS Applied Probability Society