# Dr Kazutoshi Yamazaki

Senior Lecturer in Financial Mathem

Mathematics

+61 7 336 52302

Building 69, Room 615

## Researcher biography

Kazutoshi Yamazaki is a senior lecturer at the School of Mathematics and Physics, the University of Queensland. Before joining UQ in April 2022, he was an assistant professor at Osaka University and an associate professor at Kansai University. He is an applied probabilist with contributions in the field of insurance and financial mathematics and operations research. He has organised various conferences including the Probability Theory and Stochastic Processes session at the 65th AustMS 2021 annual meeting. He is also one of the organisers of Mathematics of Risk 2022, a MATRIX event to be held in December 2022. Kazutoshi obtained his PhD in Operations Research and Financial Engineering from Princeton University in 2009.

### Journal Articles

He, Yue, Kawai, Reiichiro, Shimizu, Yasutaka and Yamazaki, Kazutoshi (2022).

*The Gerber-Shiu discounted penalty function: A review from practical perspectives*. Insurance: Mathematics and Economics, 109, 1-28. doi: 10.1016/j.insmatheco.2022.12.003
Noba, Kei and Yamazaki, Kazutoshi (2022).

*On Singular Control for Lévy Processes*. Mathematics of Operations Research. doi: 10.1287/moor.2022.1298
Dayanik, Savas and Yamazaki, Kazutoshi (2021).

*Detection and identification of changes of hidden Markov chains: asymptotic theory*. Statistical Inference for Stochastic Processes, 25 (2), 261-301. doi: 10.1007/s11203-021-09253-5
Palmowski, Zbigniew, Pérez, José Luis and Yamazaki, Kazutoshi (2021).

*Double continuation regions for American options under Poisson exercise opportunities*. Mathematical Finance, 31 (2), 722-771. doi: 10.1111/mafi.12301
López, Dante Mata, Pérez, José Luis and Yamazaki, Kazutoshi (2021).

*Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models*. SIAM Journal on Financial Mathematics, 12 (3), 1112-1149. doi: 10.1137/20m1362127
Palmowski, Zbigniew, Pérez, José Luis, Surya, Budhi Arta and Yamazaki, Kazutoshi (2020).

*The Leland–Toft optimal capital structure model under Poisson observations*. Finance and Stochastics, 24 (4), 1035-1082. doi: 10.1007/s00780-020-00431-6
Pérez, José-Luis and Yamazaki, Kazutoshi (2020).

*Optimality of hybrid continuous and periodic barrier strategies in the dual model*. Applied Mathematics and Optimization, 82 (1), 105-133. doi: 10.1007/s00245-018-9494-9
Pérez, José-Luis, Yamazaki, Kazutoshi and Bensoussan, Alain (2020).

*Optimal periodic replenishment policies for spectrally positive Lévy demand processes*. SIAM Journal on Control and Optimization, 58 (6), 3428-3456. doi: 10.1137/18m1196406
Czarna, Irmina, Pérez, José-Luis, Rolski, Tomasz and Yamazaki, Kazutoshi (2019).

*Fluctuation theory for level-dependent Lévy risk processes*. Stochastic Processes and their Applications, 129 (12), 5406-5449. doi: 10.1016/j.spa.2019.03.006
Junca, Mauricio, Moreno-Franco, Harold A., Pérez, José Luis and Yamazaki, Kazutoshi (2019).

*Optimality of refraction strategies for a constrained dividend problem*. Advances in Applied Probability, 51 (3), 633-666. doi: 10.1017/apr.2019.32
Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi and Yano, Kouji (2018).

*On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models*. Journal of Applied Probability, 55 (4), 1272-1286. doi: 10.1017/jpr.2018.85
Czarna, Irmina, Pérez, José-Luis and Yamazaki, Kazutoshi (2018).

*Optimality of multi-refraction control strategies in the dual model*. Insurance: Mathematics and Economics, 83, 148-160. doi: 10.1016/j.insmatheco.2018.09.008
Pérez, José-Luis, Yamazaki, Kazutoshi and Yu, Xiang (2018).

*On the bail-out optimal dividend problem*. Journal of Optimization Theory and Applications, 179 (2), 553-568. doi: 10.1007/s10957-018-1340-3
Pérez, José-Luis and Yamazaki, Kazutoshi (2018).

*Mixed periodic-classical barrier strategies for Lévy risk processes*. Risks, 6 (2) 33. doi: 10.3390/risks6020033
Noba, Kei, Pérez, José-Luis, Yamazaki, Kazutoshi and Yano, Kouji (2018).

*On optimal periodic dividend strategies for Lévy risk processes*. Insurance: Mathematics and Economics, 80, 29-44. doi: 10.1016/j.insmatheco.2018.02.004
Pérez, José-Luis and Yamazaki, Kazutoshi (2018).

*American options under periodic exercise opportunities*. Statistics and Probability Letters, 135, 92-101. doi: 10.1016/j.spl.2017.11.020
Avram, Florin, Pérez, José-Luis and Yamazaki, Kazutoshi (2018).

*Spectrally negative Lévy processes with Parisian reflection below and classical reflection above*. Stochastic Processes and their Applications, 128 (1), 255-290. doi: 10.1016/j.spa.2017.04.013
Pérez, José-Luis and Yamazaki, Kazutoshi (2018).

*On the refracted–reflected spectrally negative Lévy processes*. Stochastic Processes and their Applications, 128 (1), 306-331. doi: 10.1016/j.spa.2017.03.024
Pérez, José-Luis and Yamazaki, Kazutoshi (2017).

*On the optimality of periodic barrier strategies for a spectrally positive Lévy process*. Insurance: Mathematics and Economics, 77, 1-13. doi: 10.1016/j.insmatheco.2017.08.001
Yamazaki, Kazutoshi (2017).

*Phase-type approximation of the gerber-shiu function*. Journal of the Operations Research Society of Japan, 60 (3), 337-352. doi: 10.15807/jorsj.60.337
Yamazaki, Kazutoshi (2017).

*Inventory control for spectrally positive Lévy demand processes*. Mathematics of Operations Research, 42 (1), 212-237. doi: 10.1287/moor.2016.0801
Avanzi, Benjamin, Pérez, José-Luis, Wong, Bernard and Yamazaki, Kazutoshi (2017).

*On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models*. Insurance: Mathematics and Economics, 72, 148-162. doi: 10.1016/j.insmatheco.2016.10.010
Pérez, José-Luis and Yamazaki, Kazutoshi (2017).

*Refraction-reflection strategies in the dual model*. ASTIN Bulletin, 47 (1), 199-238. doi: 10.1017/asb.2016.28
Hernández-Hernández, Daniel, Pérez, José-Luis and Yamazaki, Kazutoshi (2016).

*Optimality of refraction strategies for spectrally negative Lévy processes*. SIAM Journal on Control and Optimization, 54 (3), 1126-1156. doi: 10.1137/15M1051208
Baurdoux, Erik J., Chen, Nan, Surya, Budhi A. and Yamazaki, Kazutoshi (2015).

*Optimal double stopping of a Brownian bridge*. Advances in Applied Probability, 47 (4), 1212-1234. doi: 10.1239/aap/1449859807
Yamazaki, Kazutoshi (2015).

*Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models*. Applied Mathematics and Optimization, 72 (1), 147-185. doi: 10.1007/s00245-014-9274-0
Leung, Tim, Yamazaki, Kazutoshi and Zhang, Hongzhong (2015).

*An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting*. International Journal of Theoretical and Applied Finance, 18 (5) 1550032. doi: 10.1142/S0219024915500326
Baurdoux, Erik J. and Yamazaki, Kazutoshi (2015).

*Optimality of doubly reflected Lévy processes in singular control*. Stochastic Processes and their Applications, 125 (7), 2727-2751. doi: 10.1016/j.spa.2015.01.011
Leung, Tim, Yamazaki, Kazutoshi and Zhang, Hongzhong (2015).

*Optimal multiple stopping with negative discount rate and random refraction times under lévy models*. SIAM Journal on Control and Optimization, 53 (4), 2373-2405. doi: 10.1137/140957317
Hernández-Hernández, Daniel and Yamazaki, Kazutoshi (2015).

*Games of singular control and stopping driven by spectrally one-sided Lévy processes*. Stochastic Processes and their Applications, 125 (1), 1-38. doi: 10.1016/j.spa.2014.07.020
Egami, Masahiko and Yamazaki, Kazutoshi (2014).

*Phase-type fitting of scale functions for spectrally negative Lévy processes*. Journal of Computational and Applied Mathematics, 264, 1-22. doi: 10.1016/j.cam.2013.12.044
Egam, Masahiko and Yamazaki, Kazutoshi (2014).

*On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy models*. Advances in Applied Probability, 46 (1), 139-167. doi: 10.1239/aap/1396360107
Surya, Budhi Arta and Yamazaki, Kazutoshi (2014).

*Optimal capital structure with scale effects under spectrally negative Lévy models*. International Journal of Theoretical and Applied Finance, 17 (2) 1450013. doi: 10.1142/S0219024914500137
Bayraktar, Erhan, Kyprianou, Andreas E. and Yamazaki, Kazutoshi (2014).

*Optimal dividends in the dual model under transaction costs*. Insurance: Mathematics and Economics, 54 (1), 133-143. doi: 10.1016/j.insmatheco.2013.11.007
Dayanik, Savas, Powell, Warren B. and Yamazaki, Kazutoshi (2013).

*Asymptotically optimal Bayesian sequential change detection and identification rules*. Annals of Operations Research, 208 (1), 337-370. doi: 10.1007/s10479-012-1121-6
Bayraktar, Erhan, Kyprianou, Andreas E. and Yamazaki, Kazutoshi (2013).

*On optimal dividends in the dual model*. ASTIN Bulletin, 43 (3), 359-372. doi: 10.1017/asb.2013.17
Egami, Masahiko and Yamazaki, Kazutoshi (2013).

*Precautionary measures for credit risk management in jump models*. Stochastics, 85 (1), 111-143. doi: 10.1080/17442508.2011.653566
Leung, Tim and Yamazaki, Kazutoshi (2013).

*American step-up and step-down default swaps under Lévy models*. Quantitative Finance, 13 (1), 137-157. doi: 10.1080/14697688.2012.730624
Egami, Masahiko, Leung, Tim and Yamazaki, Kazutoshi (2013).

*Default swap games driven by spectrally negative Lévy processes*. Stochastic Processes and their Applications, 123 (2), 347-384. doi: 10.1016/j.spa.2012.09.008
Fukasawa, M., Ishida, I., Maghrebi, N., Oya, K., Ubukata, M. and Yamazaki, K. (2011).

*Model-free implied volatility: From surface to index*. International Journal of Theoretical and Applied Finance, 14 (4), 433-463. doi: 10.1142/S0219024911006681
Dayanik, Savas, Powell, Warren and Yamazaki, Kazutoshi (2008).

*Index policies for discounted bandit problems with availability constraints*. Advances in Applied Probability, 40 (2), 377-400. doi: 10.1239/aap/1214950209### Conference Papers

Yamazaki, Kazutoshi (2018).

*Optimality of Two-Parameter Strategies in Stochastic Control*.*XII Symposium of Probability and Stochastic Processes*, Merida, Mexico, 16–20 November 2015. Cham, Switzerland: Springer. doi: 10.1007/978-3-319-77643-9_2
Yamazaki, Kazutoshi (2016).

*Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes*.*TMU Finance Workshop 2014*, Tokyo, Japan, 6 - 7 November 2014. Singapore: World Scientific Publishing. doi: 10.1142/9789814730778_0009