Kazutoshi Yamazaki

Assistant Professor
Center for the Study of Finance and Insurance,
Osaka University

• Probability Theory, Levy processes, Stochastic Control.
• Financial Engineering, Credit Risk, Insurance, Stochastic Games.

Princeton University

• Ph.D., Operations Research and Financial Engineering (2009)
  Advisors: Professor S. Dayanik and Professor W. B. Powell.
• M.A., Operations Research and Financial Engineering (2006)
  

• M.S., Computer Science (2004)
• B.S., Applied Mathematics-Computer Science (2002)

• Toward a Generalization of the Leland-Toft Optimal Capital Structure Model (2011), with B. A. Surya.
• On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Levy Models (2011), with M. Egami.
• American Step-Up and Step-Down Credit Default Swaps under Levy Models (2010), with T. Leung.
• Default Swap Games Driven by Spectrally Negative Levy Processes (2011), with M. Egami and T. Leung.
• On Scale Functions of Spectrally Negative Levy Processes with Phase-type Jumps (2010), with M. Egami.
  • MATLAB scripts (zip file) for computing scale functions and overshoot/undershoot distributions for hyperexponential Levy processes. Please unzip and run main.
• Asymptotically Optimal Bayesian Sequential Change Detection and Identification Rules (2012), 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), forthcoming.
• Precautionary Measures for Credit Risk Management in Jump Models (2012), with M. Egami, Stochastics, forthcoming.
• Model-Free Implied Volatility: From Surface to Index (2011), with M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya and M. Ubukata, International Journal of Theoretical and Applied Finance, 14, Number 4, 433-463.
• Index Policies for Discounted Bandit Problems with Availability Constraints (2008), with S. Dayanik and W. B. Powell, Advances in Applied Probability, 40, 377-400.

• Phase-Type Fitting Approximation of Overshoot/Undershoot Distributions for Spectrally Negative Levy Processes.
• Toward a Generalization of the Leland-Toft Optimal Capital Structure Model.
• Optimal Stopping Problems for Spectrally Negative Levy Processes and Applications in Finance.
• Default Swap Games.
• American Step-Up and Step-Down Credit Default Swaps under Levy Models.
• On Scale Functions of Spectrally Negative Levy Processes with Phase-type Jumps.
• Precautionary Measures for Credit Risk Management in Jump Models.
• Asymptotic Theory of Detection and Identification of a Markov-Modulated Random Sequence.
• Asymptotic Theory of Sequential Change Detection and Identification.
• Bandit Problems with Availability Constraints.

• Research intern at the IBM Thomas J. Watson research center (2008).
• Summer intern at Goldman Sachs (2001) and Merrill Lynch (2002).