Steven Kou

Affiliations:
  • Columbia University, New York, NY, USA


According to our database1, Steven Kou authored at least 22 papers between 1995 and 2021.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

Online presence:

On csauthors.net:

Bibliography

2021
A Dynamic Mean-Variance Analysis for Log Returns.
Manag. Sci., 2021

2019
Econometrics with Privacy Preservation.
Oper. Res., 2019

2018
Asset Pricing with Spatial Interaction.
Manag. Sci., 2018

A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure.
Manag. Sci., 2018

Computable Error Bounds of Laplace Inversion for Pricing Asian Options.
INFORMS J. Comput., 2018

2017
Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis.
Manag. Sci., 2017

2016
On the Measurement of Economic Tail Risk.
Oper. Res., 2016

2015
A General Framework for Pricing Asian Options Under Markov Processes.
Oper. Res., 2015

2013
External Risk Measures and Basel Accords.
Math. Oper. Res., 2013

2012
First passage times and option pricing under a mixed-exponential jump diffusion model (abstract only).
SIGMETRICS Perform. Evaluation Rev., 2012

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model.
Oper. Res., 2012

2011
Option Pricing Under a Mixed-Exponential Jump Diffusion Model.
Manag. Sci., 2011

2008
Revenue Management of Callable Products.
Manag. Sci., 2008

Connecting the top-down to the bottom-up: Pricing CDO under a Conditional Survival (CS) model.
Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

2004
On the controversy over tailweight of distributions.
Oper. Res. Lett., 2004

A Diffusion Model for Growth Stocks.
Math. Oper. Res., 2004

Option Pricing Under a Double Exponential Jump Diffusion Model.
Manag. Sci., 2004

2002
A Jump-Diffusion Model for Option Pricing.
Manag. Sci., 2002

Asset price modeling: modeling growth stocks (part II).
Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

1999
Connecting discrete and continuous path-dependent options.
Finance Stochastics, 1999

1998
Hedging American contingent claims with constrained portfolios.
Finance Stochastics, 1998

1995
Analysis of an Importance Sampling Estimator for Tandem Queues.
ACM Trans. Model. Comput. Simul., 1995


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