Steven Kou

Steven Kou is a Questrom Professor in Management and Professor of Finance at Boston University. He teaches courses on FinTech and quantitative finance. Currently he is a co-area-editor for Operations Research and a co-editor for Digital Finance, and has served on editorial boards of many journals, such as Management Science, Mathematics of Operations Research, and Mathematical Finance. He is a fellow of the Institute of Mathematical Statistics and won the Erlang Prize from INFORMS in 2002. Some of his research results have been incorporated into standard MBA textbooks.

Research Interests

FinTech, Quantitative Finance, Applied Probability, Statistics.

Education

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

Administrative Experience

• July 2014 - July 2018, Director, Risk Management Institute, National University of Singapore (with a master program and over 40 full-time employees).

Teaching Experience

• August 2018 - Now, Questrom Professor in Management and Professor of Finance, Questrom School of Business, Boston University.
• July 2016 - July 2018, Class of '62 Professor of Mathematics, National University of Singapore.
• July 2013 - June 2016, Provost’s Chair Professor of Mathematics, National University of Singapore.
• Jan 2009 - June 2014, Professor, Department of IEOR, Columbia University.
• July 2004 - Dec 2008, Tenured Associate Professor, Department of IEOR, Columbia University.
• Jan 2001 - June 2004, 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.

Awards and Grants

• Institute of Mathematical Statistics (IMS) Fellow, 2018.
• Erlang Prize, Applied Probability Society, INFORMS, 2002.
• John van Ryzin Doctoral Dissertation Award, 1995.
• Co-PI, NUS-Humboldt University Profile Partnership Grant, €30,000, June 2015 - May 2017.
• Co-PI, SPC-NUS Joint Grant with Université Paris Diderot, €20,000, June 2014 - May 2016.
• PI, MOE Academic Research Fund Tier 2 Grant, S$455,218, Sep 2014 - Aug 2017.
• Co-PI, NSF Grant, Computational Mathematics Program, $578,356, Sep 2009 - Aug 2012.
• PI, NSF Grant, Service Enterprise Engineering Operation Program, $273,674, Sep 2005 – Sep 2008.
• PI, NSF Grant, Operation Research Program, $298,874, Sep 2002 - Sep 2005.
• Co-PI, NSF Grant, Computational Mathematics Program, $280,000, Sep 2000 - Aug 2003.
• PI, NSF Grant, Operation Research Program, $199,685, Sep 1999 - Aug 2002.

Publication

In Refereed Academic Journals

• N. Chen, P. Gao, and S. G. Kou. (In Press) Does the Prohibition of Trade-Through Hurt Liquidity Demanders? Operations Research.
• M. Dai, S. G. Kou, H.M. Soner, and C. Yang. (In Press) Leveraged Exchange-Traded Funds with Market Closure and Frictions. Management Science. (E-companion.)
• M. Dai, S. G. Kou, S. Qian, and X. Wan. Non-Concave Utility Maximization with Portfolio Bounds. Management Science. Vol. 68, 8368-8385, 2022. (E-companion.)
• M. Dai, S. G. Kou, and C. Yang. A Stochastic Representation for Nonlocal Parabolic PDEs with Applications. Mathematics of Operations Research. Vol. 47, 1707-1730, 2022.
• X. D. He, S. G. Kou, and X. H. Peng. Risk Measures: Robustness, Elicitability, and Backtesting. Annual Review of Statistics and Its Application. Vol. 9, 141-166, 2022.
• X. Xu, Y. Chen, and S. G. Kou. Discussion on "Text Selection". Journal of Business and Economic Statistics. Vol. 39, 883-887, 2021.
• M. Dai, H. Jin, S. G. Kou, and Y. Xu. Robo-Advising: A Dynamic Mean-Variance Approach. Digital Finance. Vol. 3, 81-97, 2021.
• W. Jiang and S. G. Kou. Simulating Risk Measures via Asymptotic Expansions for Relative Errors. Mathematical Finance. Vol 31, 907-942, 2021. (E-companion.)
• M. Dai, Y. Jia, and S. G. Kou. The Wisdom of the Crowd and Prediction Markets. Journal of Econometrics. Vol. 222, 561-578, 2021. (E-companion.)
• M. Dai, H. Jin, S. G. Kou, and Y. Xu. A Dynamic Mean-Variance Analysis for Log Returns. Management Science. Vol. 67, 1093-1108, 2021. (E-companion.)
• N. Cai and S. G. Kou. Econometrics with Privacy Preservation. Operations Research. Vol. 67, 905-926, 2019. (E-companion.)
• Y. Song, N. Cai, and S. G. Kou. Computable Error Bounds of Laplace Inversion for Pricing Asian Options, INFORMS Journal on Computing. Vol. 30, 634-645, 2018. (E-companion.)
• N. Chen, S. G. Kou, and C. Wang. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. Management Science. Vol. 64, 784-803, 2018. (E-companion.)
• S. G. Kou, X. H. Peng, and H. Zhong. Asset Pricing with Spatial Interaction. Management Science. Vol. 64, 2083-2101, 2018. (E-companion.)
• X. D. He and S. G. Kou. Profit Sharing in Hedge Funds. Mathematical Finance. Vol. 28, 50-81, 2018.
• S. G. Kou, C. Yu, and H. Zhong. Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis. Management Science. Vol. 63, 998-1010, 2017. (E-companion.)
• S. G. Kou and H. Zhong. First Passage Times of Two-Dimensional Brownian Motion. Advances in Applied Probability. Vol. 48, 1045-1060, 2016. (Published version without the online supplement and with slightly different equation numbers)
• S. G. Kou and X. H. Peng. On the Measurement of Economic Tail Risk. Operations Research. Vol. 64, 1056-1072, 2016. (E-companion.)
• N. Cai, Y. Song, and S. G. Kou. A General Framework for Pricing Asian Options under Markov Processes. Operations Research. Vol. 63, 527-539, 2015.
• N. Cai, S. G. Kou, and Z. Liu. A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering. Advances in Applied Probability. Vol. 46, 766-789, 2014. (E-companion.)
• S. G. Kou, X. H. Peng, and C. C. Heyde. External Risk Measures and Basel Accords. Mathematics of Operations Research. Vol. 38, 393-417, 2013.
  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.”
• N. Cai and S. G. Kou. Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model. Operations Research. Vol. 60, 64-77, 2012.
• N. Cai and S. G. Kou. Option Pricing under a Mixed-Exponential Jump Diffusion Model. Management Science. Vol. 57, 2067-2081, 2011. (E-companion.)
• 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.
• G. Gallego, S. G. Kou, and R. Phillips. Revenue Management of Callable Products. Management Science. Vol. 54, 550-564, 2008. Online supplement of the paper.
• 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.
• S. G. Kou. A jump diffusion model for option pricing. Management Science. Vol. 48, 1086-1101, 2002. The mathematica code in the paper.
• M. Broadie, P. Glasserman, and S. G. Kou. Connecting discrete and continuous path-dependent options. Finance and Stochastics. Vol. 3, 55-82, 1999.
• I. Karatzas and S. G. Kou. Hedging American contingent claims with constrained portfolios. Finance and Stochastics. Vol. 2, 215-258, 1998.
• 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.
• 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.
• 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. FinTech Econometrics: Privacy Preservation and the Wisdom of the Crowd. In “Innovative Technology at the Interface of Finance and Operations”, edited by V. Babich, J. Birge, and G. Hilary, Springer, 2021.
• W. Cui, M. Dai, M., S. G. Kou, Y. Zhang, C. Zhang, X. Zhu. Interest Rate Swap Valuation in the Chinese Market. In “Innovations in Insurance, Risk-and Asset Management," edited by K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, and R. Zagst, World Scientific, 2018.
• S. G. Kou. Lévy Processes in Asset Pricing. In “Encyclopedia of Quantitative Risk Analysis and Assessment”, edited by B. S. Everitt and E. L. Melnick, John Wiley & Sons, 2008.
• S. G. Kou. Discrete 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, New York, 2002.
• 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 probabilities in Jackson networks. Proceedings of the 32nd IEEE Conference on Decision and Control, pp. 3178-3182, IEEE press, New York, 1993.