Financial Engineering, Applied Probability, Contingency Tables in Medicine, Election Markets
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.
In Refereed Academic Journals
 S. G. Kou, X. H. Peng, and. C. C. Heyde. External Risk Measures and Basel Accords. Mathematics of Operations Research. To appear.
The preliminary versions of the paper were entitled “What is a good (external) risk measure: Bridging the gaps between data (robustness), coherent risk measures (subadditivity), and insurance risk measures.”
 Ning Cai and S. G. Kou. Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model. Operations Research. To appear..
 Ning Cai and S. G. Kou. Option Pricing under a Mixed-Exponential Jump Diffusion Model. Mangement Science. Vol 57, 2067-2081, 2011.
 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.
 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.
 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.
 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.
 S. G. Kou and H. Wang. Option pricing under a double exponential jump diffusion model. Management Science. Vol. 50, 1178-1192, 2004.
 C. C. Heyde and S. G. Kou. On the controversy over tailweight of distributions. Operations Research Letters. Vol. 32, 399-408, 2004.
 S. C. Kou and S. G. Kou. A diffusion model for growth stocks. Mathematics of Operations Research. Vol. 29, 191-212, 2004.
 S. G. Kou. On pricing of discrete barrier options. Statistica Sinica, Vol. 13, 955-964, 2003.
 S. C. Kou and S. G. Kou. Modeling growth stocks via birth-death processes. Advances in Applied Probability, Vol. 35, 641-664, 2003.
 S. G. Kou and H. Wang. First passage times of a jump diffusion process. Advances in Applied Probability, Vol. 35, 504-531, 2003.
 P. Glasserman and S. G. Kou. The term structure of simple forward rates with jump risk. Mathematical Finance, Vol. 13, 383-410, 2003.
 M. Broadie, P. Glasserman, and S. G. Kou. Connecting discrete and continuous path-dependent options. Finance and Stochastics. Vol. 3, 55-82, 1999.
 M. Broadie, P. Glasserman, and S. G. Kou. A continuity correction for the discrete barrier options. Mathematical Finance. Vol. 7, 325-349, 1997.
 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.
 S. G. Kou and Z. Ying. Asymptotics for a 2x2 table with fixed margins. Statistica Sinica. Vol. 6, 809-829, 1996.
 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.
 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
 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.
 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.
 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.
 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
 S. C. Kou and S. G. Kou. Modeling growth stocks
(part II). Proceedings of the 2002 Winter Simulation Conference, pp.
1524-1529, IEEE press,
 S. C. Kou and S. G. Kou. Modeling growth stocks. RISK, pp. S34-S37, December, 2001.
 S. G. Kou and M. E. Sobel. Hedging electoral risk. RISK, pp. 95-98, April, 2001.
 P. Glasserman and S. G. Kou. Overflow
Other Academic Papers
 P. Glasserman and S. G. Kou. A Conversation with Chris Heyde Statistical Science, Vol. 21, 286-298, 2006
Last updated Jan 2009.