##
Ray Kawai

School of Mathematics and Statistics F07

The University of Sydney

NSW 2006, Australia

Office: 816 Carslaw Building

Email: reiichiro (dot) kawai (atmark) sydney (dot) edu (dot) au

**CV**

Senior Lecturer, School of Mathematics and Statistics, The University of Sydney, Australia, July 2012 -

Lecturer, Department of Mathematics, University of Leicester, United Kingdom, July 2009 - June 2012.

Fixed Term Assistant Professor, Center for the Study of Finance and Insurance, Osaka University, Japan, August 2007 - June 2009.

Financial Engineering, Fixed Income Department, Daiwa Securities SMBC Co.Ltd., Japan, April 2006 - June 2009. (on leave during August 2007 - June 2009)

Proprietary Trading Department, Equity Division, Daiwa Securities SMBC Co.Ltd., Japan, March 2005 - March 2006.

Ph.D., Industrial and Systems Engineering, Georgia Institute of Technology, United States of America, December 2004.

M.S., Operations Research, Georgia Institute of Technology, United States of America, May 2003.

M.S., Applied Mathematics, Georgia Institute of Technology, United States of America, May 2003.

Special Graduate Student, Department of Statistics, University of California, Los Angeles, United States of America, September 1999 - June 2000.

B.Eng., Industrial Engineering and Management, Tokyo Institute of Technology, Japan, March 1999.

**Research**

Stochastic Numerics: Monte Carlo variance reduction techniques; stochastic approximation algorithms; approximations of stochastic differential equations.

Random Number Generations: series representation of Lévy processes; exact and approximate simulation of infinitely divisible processes; acceptance-rejection sampling.

Probability Theory: Lévy processes; infinitely divisible laws; Malliavin calculus.

Mathematical Finance: sensitivity analysis; asset price dynamics modeling; structured derivatives pricing models.

Mathematical Statistics: statistical inference for stochastic processes; sampling schemes.

Mathematical Ecology: individual animal movement; spatial random walk models; compartment modeling.

- Measuring impact of random jumps without sample path generation,
*SIAM Journal on Scientific Computing*, to appear.
- Solution bounds for elliptic partial differential equations via Feynman-Kac representation,
*Stochastic Analysis and Applications* (2015) **33**(5) 844-862.
- On the likelihood function of small time variance gamma Lévy processes,
*Statistics* (2015) **49**(1) 63-83.
- Mathematical programming gives hard bounds of the Dirichlet problem for partial differential equations,
*22nd National Conference of the Australian Society for Operations Research* (ASOR2013) 107–113.
- (with J. Imai) Numerical inverse Lévy measure method for infinite shot noise series representation,
*Journal of Computational and Applied Mathematics* (2013) **253**, 264-283.
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling,
*Journal of Theoretical Probability* (2013) **26**(4) 932-967.
- (with K. Kashima) On weak approximation of stochastic differential equations through hard bounds by mathematical programming,
*SIAM Journal on Scientific Computing* (2013) **35**(1) A1-A21.
- On singularity of Fisher information matrix for stochastic processes under high frequency sampling,
*Numerical Mathematics and Advanced Applications 2011*, A. Cangiani et al. (eds.) Springer-Verlag (2013) 841-849.
- Fisher information for fractional Brownian motion under high-frequency sampling,
*Communications in Statistics - Theory and Methods* (2013) **42**(9) 1628-1636.
- (with A. Takeuchi) Computation of Greeks for asset price dynamics driven by stable and tempered stable processes,
*Quantitative Finance* (2013) **13**(8)1303-1316.
- (with H. Masuda) Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling,
*ESAIM: Probability and Statistics* (2013) **17**, 13-32.
- Continuous-time modeling of random searches: statistical properties and inference,
*Journal of Physics A: Mathematical and Theoretical* (2012) **45**(23) 235004.
- Nonnegative compartment dynamics system modelling with stochastic differential equations,
*Applied Mathematical Modelling* (2012) **36**(12) 6291-6300.
- Sampling rate of spatial stochastic processes with independent components in modeling random search paths,
*Physical Review E* (2012) **85**(2) 021907.
- (with S. Petrovskii) Multiscale properties of random walk models of animal movement: lessons from statistical inference,
*Proceedings of the Royal Society A* (2012) **468**(2141) 1428-1451.
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes,
*Computational Statistics* (2012) **27**(4) 739-755.
- (with J. Imai) On Monte Carlo and Quasi-Monte Carlo methods for series representation of infinitely divisible laws,
*Monte Carlo and Quasi-Monte Carlo Methods 2010*, H. Wozniakowski, L. Plaskota (eds.) Springer-Verlag (2012) 471-486.
- (with H. Masuda) Infinite variation tempered stable Ornstein-Uhlenbeck processes with discrete observations,
*Communications in Statistics - Simulation and Computation* (2012) **41**(1) 125-139.
- (with K. Kashima) Lévy processes - a generalization of white noise,
*ISCIE Journal 'Systems, Control and Information'* (2011) **55**(12) 505-512.
- (with H. Masuda) Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes,
*Monte Carlo Methods and Applications* (2011) **17**(3) 279-300.
- (with J. Imai) On finite truncation of infinite shot noise series representation of tempered stable laws,
*Physica A* (2011) **390**(23-24) 4411-4425.
- (with K. Kashima) An optimization approach to weak approximation of stochastic differential equations with jumps,
*Applied Numerical Mathematics* (2011) **61**(5) 641-650.
- (with H. Masuda) On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling,
*Statistics and Probability Letters* (2011) **81**(4) 460-469.
- (with H. Masuda) On simulation of tempered stable random variates,
*Journal of Computational and Applied Mathematics* (2011) **235**(8) 2873-2887.
- (with K. Kashima) A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization,
*Stochastic Models* (2011) **27**(1) 26-49.
- (with A. Takeuchi) Greeks formulas for an asset price model with gamma processes,
*Mathematical Finance* (2011) **21**(4) 723-742.
- On sequential calibration for an asset price model with piecewise Lévy processes,
*IAENG International Journal of Applied Mathematics* (2010) **40**(4) 239-246.
- (with K. Kashima) An optimization approach to weak approximation of Lévy-driven stochastic differential equations,
*Perspective in Mathematical System Theory, Control, and Signal Processing*, J.C. Willems et al. (eds.) Springer-Verlag (2010) 263-272.
- (with J. Imai) Quasi-Monte Carlo method for infinitely divisible random vectors via series representations,
*SIAM Journal on Scientific Computing* (2010) **32**(4) 1879-1897.
- (with A. Takeuchi) Sensitivity analysis for averaged asset price dynamics with gamma processes,
*Statistics and Probability Letters* (2010) **80**(1) 42-49.
- (with A. Kohatsu-Higa) Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion,
*Applied Mathematical Finance* (2010) **17**(4) 301-321.
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata,
*ACM Transactions on Modeling and Computer Simulation* (2010) **20**(2) Article 9.
- (with K. Kashima) An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing,
*48th IEEE Conf.; Decision and Control 2009*, 3673-3678.
- (with K. Kashima) Polynomial programming approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing,
*ICROS-SICE Int’l Joint Conf. 2009*, 3902-3907.
- A multivariate Lévy process model with linear correlation,
*Quantitative Finance* (2009) **9**(5) 597-606.
- Sensitivity analysis and density estimation on the Hobson-Rogers stochastic volatility model,
*International Journal of Theoretical and Applied Finance* (2009) **12**(3) 283-295.
- Optimal importance sampling parameter search for Lévy processes via stochastic approximation,
*SIAM Journal on Numerical Analysis* (2008) **47**(1) 293-307.
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation,
*Methodology and Computing in Applied Probability* (2008) **10**(2) 199-223.
- Adaptive Monte Carlo variance reduction with two-time-scale stochastic approximation,
*Monte Carlo Methods and Applications* (2007) **13**(3) 197-217.
- (with C. Houdré) On layered stable processes,
*Bernoulli* (2007) **13**(1) 252-278.
- (with C. Houdré) On fractional tempered stable motion,
*Stochastic Processes and their Applications* (2006) **116**(8) 1161-1184.
- An importance sampling method based on the density transformation of Lévy processes,
*Monte Carlo Methods and Applications* (2006) **12**(2) 171-186.

**Teaching**

Stochastic Processes and Time Series STAT3011/3911 (2013, 2014, 2015, 2016) The University of Sydney.

Statistical Inference STAT3013/3913 (2012, 2013, 2014, 2015) The University of Sydney.

Linear Statistical Models MA2261/2262 (2012) University of Leicester.

Financial Mathematics Projects MA3581 (2011) University of Leicester.

Individual Project MA7002 (2010, 2011) University of Leicester.

Financial Mathematics II MA4072/7072/7418 (2010, 2011, 2012) University of Leicester.

Numerical Simulations (2007, 2008, 2009) Osaka University.

Fixed Income Models (2007) Tokyo Institute of Technology.

Probability with Applications ISyE2027 (2001) Georgia Institute of Technology.

Last updated on 19 August 2015.