Associate Professor

Department of Mathematics
Kansai University, Japan

Ph.D., Operations Research and Financial Engineering, Princeton University, 2009
M.S., Computer Science, Brown University, 2004
B.S., Applied Mathematics-Computer Science, Brown University, 2002
Graduated from Eiko Gakuen High School, 1998

Conference/Seminar Organization:

  1. Co-organizer (with Y. Shiozawa, T. Uemura), Dirichlet Forms and Stochastic Analysis, Kansai University, 2017.
  2. Co-organizer (with J. Fontana, J.C. Pardo and V. Rivero), Special Session "Stochastic Processes and Applications", the third Pacific Rim Mathematical Association (PRIMA) Congress, Oaxaca, Mexico, 2017.
  3. Steering Committee, The Fifth Asian Quantitative Finance Conference (AQFC 2017), Seoul, S. Korea, 2017.
  4. Co-organizer (with T. Uemura), Workshop on Dirichlet Forms and Stochastic Analysis, Kansai University, 2016. 
  5. Local Committee, Mathematical Society of Japan Autumn Meeting 2016, Kansai University, 2016.
  6. Steering Committee, The Fourth Asian Quantitative Finance Conference (AQFC 2016), Osaka University Nakanoshima Center, 2016.
  7. Co-organizer (with R. Schilling and G. Trutnau), Workshop on Stochastic Analysis and Related Topics, TU Dresden, 2015.
  8. Co-organizer (with R. Schilling, P. Kim and T. Uemura), Summer School on Dirichlet Forms and Stochastic Analysis, Kansai University, 2015.
  9. Co-organizer (with T. Uemura and Y. Shiozawa), Workshop on Probability at Kansai University, Kansai University, 2015.
  10. Local organizer, Stochastic Processes, Analysis and Mathematical Physics, in Honor of Prof. Fukushima's Sanju, Kansai University, 2014.
  11. Committee, Operations Research Society of Japan, Spring meeting, Osaka University, 2014.
  12. Co-organizer (with T. Uemura), Kansai University Kakuritsuron Seminar, Kansai University, 2013-present.
  13. Organizer, Second International Workshop on Computational Stochastics, Singapore, 2011.
  14. Seminars/Workshops at Center for the Study of Finance and Insurance, Osaka University,  2009-2013.

Professional Service:

JSIAM Letters, Associate Editor
Referring: Acta Applicandae Mathematicae, Applied Mathematical Finance, Applied Mathematics and Optimization, Applied Stochastic Models in Business and Industry, Asia Pacific Financial Markets, Bernoulli, Bulletin of the Iranian Mathematical Society, European Journal of Operations Research, ESAIM P&S, Finance and Stochastics, Frontiers of Mathematics in China, IIE Transactions, INFORMS Journal on Computing, International Journal of Theoretical and Applied Finance, Journal of the Operations Research Society of Japan, Journal of Applied Probability, Journal of Computational and Applied Mathematics, Journal of Optimization Theory and Applications, Journal of Risk and Financial Management, Mathematical Finance, Mathematics of Operations Research, Mathematical Methods of Operations Research, Procedia Computer Science, Quantitative Finance, Recent Advances in Financial Engineering, SIAM Journal on Control and Optimization, Stochastics, Stochastic Analysis and Applications, Stochastic Processes and their Applications, Winter Simulation Conference.

Grants:

  1. PI, KAKEN for Scientific Research (C), #17K05377, 2017-2020
  2. PI, Inamori Foundation Research Grant, 2014-2015
  3. PI, Kansai University Subsidy for Young Researchers, 2014-2015
  4. PI, KAKEN for Young Researchers (B), #26800092, 2014-2017
  5. Co-PI, KAKEN for Scientific Research (B), #10160566, 2011-2014
  6. PI, KAKEN for Young Researchers (B), #50554937, 2010-2013

Awards:

  1. Nyusen (with M. Egami), Paper Competition, Financial Technology Research Institute, December 2009
  2. Commendation List for Outstanding Teaching, Princeton University, Spring 2007 and Fall 2007
  3. First-year fellowship, Engineering and Applied Sciences, Princeton University, 2004-2005
  4. Departmental Honors in Applied Mathematics, Brown University, 2002
  5. Sigma Xi, 2002

Preprints:

Peer-Reviewed Articles:

  1. Optimality of two-parameter strategies in stochastic control, forthcoming in XII Symposium on Probability and Stochastic Processes.
  2. On the Optimality of Periodic Barrier Strategies for a Spectrally Positive Levy Process, with J. L. Perez, forthcoming in Insurance: Mathematics and Economics.
  3. Spectrally Negative Levy Processes with Parisian Reflection Below and Classical Reflection Above, with F. Avram and J. L. Perez, forthcoming in Stochastic Processes and their Applications.
  4. On the Refracted-Reflected Spectrally Negative Levy Processes, with J. L. Perez, forthcoming in Stochastic Processes and their Applications.
  5. Phase-type Approximation of the Gerber-Shiu Function, forthcoming in the Journal of the Operations Research Society of Japan, 60(3), 2017 (special issue of the 60th anniversary of the Operations Research Society of Japan).
  6. On the Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Levy Models, with B. Avanzi, J. L. Perez, and B. Wong, Insurance: Mathematics and Economics, 72, 148-162, 2017.
  7. Refraction-Reflection Strategies in the Dual Model, with J. L. Perez, ASTIN Bulletin, 47(1), 199-238, 2017.
  8. Inventory Control for Spectrally Positive Levy Demand ProcessesMathematics of Operations Research, 42(1), 212-237, 2017.
  9. Optimality of Refraction Strategies for Spectrally Negative Levy Processes, with D. Hernandez-Hernandez and J. L. Perez, SIAM Journal on Control and Optimization, 54(3), 1126-1156, 2016. See Supplementary results for "Optimality of Refraction Strategies for Spectrally Negative Levy Processes" for the analytical expressions used in Section 6.
  10. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models, with T. Leung and H. Zhang, SIAM Journal on Control and Optimization, 53, Issue 4, 2373--2405, 2015.
  11. An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting, with T. Leung and H. Zhang, International Journal of Theoretical and Applied Finance, 18(5), 1550032, 2015.
  12. Cash Management and Control Band Policies for Spectrally One-sided Levy Processes, Recent Advances in Financial Engineering 2014, 199-215, 2016.
  13. Optimality of Doubly Reflected Levy Processes in Singular Control, with E. J. Baurdoux, Stochastic Processes and their Applications, 125(7):2727-2751, 2015.
  14. Optimal Double Stopping of a Brownian Bridge, with E. J. Baurdoux, N. Chen and B. A. Surya, Advances in Applied Probability, 47(4), 1212-1234, 2015.
  15. Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy ModelsApplied Mathematics and Optimization, 72(1):147-185, 2015.
  16. Games of Singular Control and Stopping Driven by Spectrally One-sided Levy Processes, with D. Hernandez-Hernandez, Stochastic Processes and their Applications, 125(1), 1-38, 2015.
  17. Phase-type Fitting of Scale Functions for Spectrally Negative Levy Processes, with M. EgamiJournal of Computational and Applied Mathematics, 264, 1-22, 2014.
  18. Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models, with B. A. Surya, International Journal of Theoretical and Applied Finance, 17(2), 1450013, 2014.
  19. Optimal Dividends in the Dual Model under Transaction Costs, with E. Bayraktar and A. E. Kyprianou, Insurance: Mathematics and Economics, 54, 133-143, 2014.
  20. On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Levy Models, with M. Egami, Advances in Applied Probability, 46(1), 139-167, 2014.
  21. On Optimal Dividends in the Dual Model, with E. Bayraktar and A. E. KyprianouASTIN Bulletin, 43(3):359-372, 2013.
  22. Default Swap Games Driven by Spectrally Negative Levy Processes, with M. Egami and T. Leung, Stochastic Processes and their Applications, 123(2):347-384, 2013.
  23. American Step-Up and Step-Down Credit Default Swaps under Levy Models, with T. Leung, Quantitative Finance, 13(1):137-157, 2013.
  24. Asymptotically Optimal Bayesian Sequential Change Detection and Identification Rules, with S. Dayanik and W. B. Powell, Annals of Operations Research (special volume on Optimization under Uncertainty Costs, Risks, and Revenues in honor of Professor Cyrus Derman), 208(1):337-370, 2013.
  25. Precautionary Measures for Credit Risk Management in Jump Models, with M. Egami, Stochastics, 85(1):111-143, 2013.
  26. Model-Free Implied Volatility: From Surface to Index, with M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya and M. Ubukata, International Journal of Theoretical and Applied Finance, 14(4):433-463, 2011.
  27. Index Policies for Discounted Bandit Problems with Availability Constraints, with S. Dayanik and W. B. Powell, Advances in Applied Probability, 40(2):377-400, 2008.

Collaborators:
  1. Benjamin Avanzi, University of New South Wales, Australia
  2. Florin Avram, Universite de Pau, France
  3. Erhan Bayraktar, University of Michigan, USA
  4. Erik J. Baurdoux, London School of Economics, UK
  5. Nan Chen, Chinese University of Hong Kong, China
  6. Savas Dayanik, Bilkent University, Turkey
  7. Masahiko Egami, Kyoto University, Japan
  8. Masaaki Fukasawa, Osaka University, Japan
  9. Daniel Hernandez-Hernandez, CIMAT, Mexico
  10. Andreas E. Kyprianou, University of Bath, UK
  11. Tim Leung, University of Washington, USA
  12. Kei Noba, Kyoto University, Japan
  13. Jose Luis Perez, CIMAT, Mexico
  14. Warren B. Powell, Princeton University, USA
  15. Budhi A. Surya, Victoria University of Wellington, New Zealand
  16. Bernard Wong, University of New South Wales, Australia
  17. Kouji Yano, Kyoto University, Japan
  18. Xiang Yu, The Hong Kong Polytechnic University, China
  19. Hongzhong Zhang, Columbia University, USA

Presentation Files:
  1. Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models.
  2. Games of Singular Control and Stopping Driven by Spectrally One-sided Levy Processes.
  3. Inventory Control for Spectrally Positive Levy Demand Processes.
  4. Cash Management and Control Band Policies for Spectrally One-sided Levy Processes.
  5. Optimal Dividends in the Dual Model for Spectrally Positive Levy Processes.
  6. Phase-Type Fitting Approximation of Overshoot/Undershoot Distributions for Spectrally Negative Levy Processes.
  7. Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Levy Models.
  8. Optimal Stopping Problems for Spectrally Negative Levy Processes and Applications in Finance.
  9. Default Swap Games.
  10. American Step-Up and Step-Down Credit Default Swaps under Levy Models.
  11. Phase-type fitting of scale functions for spectrally negative Levy processes.
  12. Precautionary Measures for Credit Risk Management in Jump Models.
  13. Asymptotic Theory of Detection and Identification of a Markov-Modulated Random Sequence.
  14. Asymptotic Theory of Sequential Change Detection and Identification.
  15. Bandit Problems with Availability Constraints.

Ċ
Yamazaki Kazutoshi,
2014/11/13 11:06
Ċ
Yamazaki Kazutoshi,
2014/11/13 11:09
Ċ
Yamazaki Kazutoshi,
2014/11/13 10:58
Ċ
Yamazaki Kazutoshi,
2016/10/18 14:01
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Yamazaki Kazutoshi,
2014/11/13 11:12
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Yamazaki Kazutoshi,
2014/11/13 11:18
Ċ
Yamazaki Kazutoshi,
2016/03/14 18:52
Ċ
Yamazaki Kazutoshi,
2014/11/13 11:14
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