Steven S. G Kou
312 S. W. Mudd Building
500 W. 120th Street
New York, New York 10027
Phone: +1 212-854-4334
Email:
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Professor Steven Kou joined Columbia University's Industrial
Engineering and Operations Research Department in 1998, and he teaches
courses in financial engineering, stochastic models, and probability
and statistics. Prior to joining Columbia, Professor Kou was an
assistant professor in the Department of Statistics at the University
of Michigan.
Professor Kou's research interests include mathematical and
computational finance, and applied probability. He has published
in numerous journals including Management Science, Mathematical
Finance, Advances in Applied Probability, Annals of Applied
Probability, Statistica Sinica, and Finance and Stochastics.
In terms of financial engineering, professor Kou is well known for his
research on the double exponential jump diffusion model, models for
growth stocks, the numerical pricing of discrete path-dependent
options, market LIBOR models with jump risk, and option pricing in
incomplete markets. His results have been widely used on Wall Street,
and have been incorporated into standard M.B.A. textbooks, such as the
textbook by John Hull.