In Refereed Academic Journals

[32] N. Chen, S. G. Kou, and C. Wang. A Partitioning Algorithm for Markov Decision Processes with Applications to Market Microstructure. *Management Science*, forthcoming. (E-companion.)

[31] S. G. Kou, X. H. Peng, and H. Zhong. Asset Pricing with Spatial Interaction. *Management Science*, forthcoming. (E-companion.)

[30] X. D. He and S. G. Kou. Profit Sharing in Hedge Funds. *Mathematical Finance*, forthcoming.

[29] 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*, forthcoming. (E-companion.)

[28] 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)

[27] S. G. Kou and X. H. Peng. On the Measurement of Economic Tail Risk. *Operations Research*. Vol. 64, 1056-1072, 2016. (E-companion.)

[26] 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.

[25] 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.)

[24] 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.”

[23] N. Cai and S. G. Kou. Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model. *Operations Research.** *Vol. 60, 64-77, 2012.

[22] N. Cai and S. G. Kou. Option Pricing under a Mixed-Exponential Jump Diffusion Model. *Mangement** Science. *Vol. 57, 2067-2081, 2011. (E-companion.)

[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.