Steven KOU

Steven KOU

Steven KOU

Principal Investigator

matsteve@nus.edu.sg

Education Qualifications


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



Academic Experience

August 2018 – Now, Affiliated Researcher, Risk Management & Quantitative Finance Centre, NUS Suzhou Research Institute
Nov 2014 –   July 2018, Principal Investigator, Risk Management & Quantitative Finance Centre, NUS Suzhou Research Institute
August 2018 –  Now, Questrom Professor in Management and Professor of Finance, Questrom School of Business, Boston University.
August 2018 – Now, Visiting Professor, Department of Mathematics, National University of Singapore.
May 2016 –  July 2018, Class ‘62 Professor of Mathematics, National University of Singapore.
June 2013 –  May 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.
1991 – May 1995, Teaching Assistant and Instructor, Department of Statistics, Columbia University.


Awards

Erlang Prize, Applied Probability Society, INFORMS.Co-PI, NSF Grant, Computational Mathematics Program, $578,356,
Sept 2009 – Aug 2012.PI, NSF Grant, Service Enterprise Engineering Operation Program, $273,674, Sept 2005 – Sept 2008.
Co-PI, NSF Grant, Computational Mathematics Program, $386,640, Sept 2004 – Aug 2007.
PI, NSF Grant, Service Enterprise Engineering Program, $298,874, Sept 2002 – Aug 2005.
Co-PI, NSF Grant, Computational Mathematics Program, $280,000, Sept 2000 – Aug 2003.
PI, NSF Grant, Operation Research Program, $199,685, 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            

Quantitative Finance, Applied Probability, Statistics




Representative Publications            

1. N. Cai, S. G. Kou, Z. Liu, A Two-sided Laplace Inversion Algorithm with Computable Error Bounds and Its Applications in Financial Engineering, Advances in Applied Probability, 2014, 46(3): 766-789
2. S. G. Kou, X. Peng, C. Heyde,  External Risk Measures and Basel Accords, Mathematics of Operations Research, 2013, 38(3): 393-417
3. N. Cai, S. G. Kou, Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model, Operations Research, 2012, 60(1): 64-77

4. N. Cai, S. G. Kou, Option Pricing under a Mixed-Exponential Jump Diffusion Model, Management Science, 2011, 57(11): 2067-2081


Other Investigators

Sun Yeneng
Sun Yeneng

Centre Director

DAI Min
DAI Min

Principal Investigator

mindai@nusri.cn
QIN Cong
QIN Cong

Research Fellow

matqc@nus.edu.sg