Steven Kou

Education

Ph.D. in Statistics. May 1995, Columbia University.
M.A. in Statistics. October 1992, Columbia University.

Teaching Experience

Jan 2009-Now, Professor, Department of IEOR, Columbia University.
Jan 2001-Dec 2008, Associate Professor, Department of IEOR, Columbia University
July 1998-Dec 2000, Assistant Professor, Department of IEOR, Columbia University.
July 1996-June 1998, Assistant Professor, Department of Statistics, University of Michigan.
July 1995-June 1996, Assistant Professor, Department of Statistics, Rutgers University.
1991-May 1995, Teaching Assistant and Instructor, Department of Statistics, Columbia University.

Awards

Erlang Prize, Applied Probability Society, INFORMS.
NSF Grant, Computational Mathematics Program, Sept 2004 - Aug 2007.
NSF Grant, Service Enterprise Engineering Program, Sept 2002 - Aug 2005.
NSF Grant, Computational Mathematics Program, Sept 2000 - Aug 2003.
NSF Grant, Operation Research Program, Sept 1999 - Aug 2002.
John van Ryzin Doctoral Dissertation Award, 1995.

Media Coverage

Social Causes of the Financial Crisis, October 2009, Forum, OR/MS Today.
Derivatives Strategy Magazine, May 2000, pp. 28-32. "The return of jump modeling: is Steven Kou's model more accurate than Black-Scholes?"
RISK Magazine, April 2001, pp. 6-7, "Electoral hedging gains votes."

Research Interests

Financial Engineering, Applied Probability, Contingency Tables in Medicine, Election Markets

Editorial Boards

Associate Editors for Journal of Computational Finance, Management Science (the Department of Stochastic Models and Simumation), Mathematical Finance, Advances in Applied Probability, Probability in Engineering and Information Sciences, Mathematics of Operations Research.

Area Editor for Operations Research Letters.

Publication

In Refereed Academic Journals

[21] N. Chen and S. G. Kou. Credit Spreads, Optimal Capital Structure, and Implied Volatility with Endogenous Default and Jump Risk, Mathematical Finance. Vol 19, 343-378, 2009.

[20] G. Gallego, S. G. Kou, and R. Phillips. Revenue Management of Callable Products. Mangement Science. Vol 54, 550-564, 2008. Online supplement of the paper.

[19] S. G. Kou, G. Petrella and H. Wang. Pricing path-dependent options with jump risk via Laplace transforms. Kyoto Economic Review. Vol. 74, 1-23, 2005.

[18] G. Petrella and S. G. Kou. Numerical pricing of discrete barrier and lookback options via Laplace transforms. Journal of Computational Finance. Vol. 8, 1-37, 2004.

[17] S. G. Kou and M. Sobel. Forecasting the vote: a theoretical comparison of election markets and public opinion polls. Political Analysis. Vol. 12, 277-295, 2004.

[16] S. G. Kou and H. Wang. Option pricing under a double exponential jump diffusion model. Management Science. Vol. 50, 1178-1192, 2004.

[15] C. C. Heyde and S. G. Kou. On the controversy over tailweight of distributions. Operations Research Letters. Vol. 32, 399-408, 2004.

[14] S. C. Kou and S. G. Kou. A diffusion model for growth stocks. Mathematics of Operations Research. Vol. 29, 191-212, 2004.

[13] S. G. Kou. On pricing of discrete barrier options. Statistica Sinica, Vol. 13, 955-964, 2003.

[12] S. C. Kou and S. G. Kou. Modeling growth stocks via birth-death processes. Advances in Applied Probability, Vol. 35, 641-664, 2003.

[11] S. G. Kou and H. Wang. First passage times of a jump diffusion process. Advances in Applied Probability, Vol. 35, 504-531, 2003.

[10] P. Glasserman and S. G. Kou. The term structure of simple forward rates with jump risk. Mathematical Finance, Vol. 13, 383-410, 2003.

[9] S. G. Kou. A jump diffusion model for option pricing. Management Science. Vol. 48, 1086-1101, 2002. The mathematica code in the paper.

[8] M. Broadie, P. Glasserman, and S. G. Kou. Connecting discrete and continuous path-dependent options. Finance and Stochastics. Vol. 3, 55-82, 1999.

[7] I. Karatzas and S. G. Kou. Hedging American contingent claims with constrained portfolios. Finance and Stochastics. Vol. 2, 215-258, 1998.

[6] M. Broadie, P. Glasserman, and S. G. Kou. A continuity correction for the discrete barrier options. Mathematical Finance. Vol. 7, 325-349, 1997.

[5] S. G. Kou and Y. S. Chow. A central limit theorem for the number of success runs: an example of regenerative processes. Statistica Sinica. Vol. 7, 157-166, 1997.

[4] I. Karatzas and S. G. Kou. On the pricing of contingent claims under constraints. Annals of Applied Probability, Vol. 6, No. 2, 321-369, 1996.

[3] S. G. Kou and Z. Ying. Asymptotics for a 2x2 table with fixed margins. Statistica Sinica. Vol. 6, 809-829, 1996.

[2] P. Glasserman and S. G. Kou. Limits of first passage times to rare sets in regenerative processes. Annals of Applied Probability, Vol. 5, No. 2, 424-445, 1995.

[1] P. Glasserman and S. G. Kou. Analysis of an importance sampling estimator for tandem queues. ACM Transactions on Modeling and Computer Simulation, Vol. 5, No. 1, 22-42, 1995.

In Refereed Academic Books

[4] S. G. Kou. Lévy Processes in Asset Pricing. In “Encyclopedia of Quantitative Risk Analysis and Accessement”, edited by B. S. Everitt and E. L. Melnick, John Wiley & Sons , 2008.

[3] S. G. Kou. Disrete Barrier and Lookback Options. In “Handbooks in OR and MS”, Vol, 15, Ch. 8, edited by J. Birge and V. Linetsky, Elsevier, 2008.

[2] S. G. Kou. Jump Diffusion Models for Asset Pricing in Financial Engineering. In “Handbooks in OR and MS”, Vol, 15, Ch. 2, edited by J. Birge and V. Linetsky, Elsevier, 2008.

[1] S. G. Kou and Z. Ying. Analysis of Sequences of Dependent 2x2 Tables. In “Random Walk, Sequential Analysis and Related Topics”, edited by A. C. Hsiung, Zhiliang and Cui-Hui Zhang, World Scientific, pp. 171-198, 2006.

In Refereed Conference Proceedings and Industrial Journals

[4] S. C. Kou and S. G. Kou. Modeling growth stocks (part II). Proceedings of the 2002 Winter Simulation Conference, pp. 1524-1529, IEEE press, New York, 2002.

[3] S. C. Kou and S. G. Kou. Modeling growth stocks. RISK, pp. S34-S37, December, 2001.

[2] S. G. Kou and M. E. Sobel. Hedging electoral risk. RISK, pp. 95-98, April, 2001.

[1] P. Glasserman and S. G. Kou. Overflow probabilities in Jackson networks. Proceedings of the 32nd IEEE Conference on Decision and Control, pp. 3178-3182, IEEE press, New York, 1993.

Other Academic Papers

[1] P. Glasserman and S. G. Kou. A Conversation with Chris Heyde Statistical Science, Vol. 21, 286-298, 2006.

Professional Activities

Fellow of the Royal Statistical Society.
Members of ASA (American Statistical Association), IMS (Institute of Mathematical Statistics.
INFORMS (Institute for Operations Research and the Management Sciences), AFA (American Finance Association).

Last updated Jan 2009.