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.
Book Chapter: Lévy Bandits Under Poissonian Decision Times
Pérez, José-Luis and Yamazaki, Kazutoshi (2024). Lévy Bandits Under Poissonian Decision Times. 2021-2022 MATRIX Annals. (pp. 467-489) Cham, Switzerland: Springer. doi: 10.1007/978-3-031-47417-0_24
Journal Article: A series expansion formula of the scale matrix with applications in CUSUM analysis
Ivanovs, Jevgenijs and Yamazaki, Kazutoshi (2024). A series expansion formula of the scale matrix with applications in CUSUM analysis. Stochastic Processes and their Applications, 170 104300, 104300. doi: 10.1016/j.spa.2024.104300
Journal Article: A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension
Yoshioka, Hidekazu and Yamazaki, Kazutoshi (2023). A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension. IEEE Control Systems Letters, 7, 1536-1541. doi: 10.1109/lcsys.2023.3271422
Numerical methods for stochastic control problems in finance
Doctor Philosophy
optimal stopping and its applications
mathematical finance and actuarial science
Multi-armed bandit, sequential hypothesis testing, change-point detection
Lévy Bandits Under Poissonian Decision Times
Pérez, José-Luis and Yamazaki, Kazutoshi (2024). Lévy Bandits Under Poissonian Decision Times. 2021-2022 MATRIX Annals. (pp. 467-489) Cham, Switzerland: Springer. doi: 10.1007/978-3-031-47417-0_24
A series expansion formula of the scale matrix with applications in CUSUM analysis
Ivanovs, Jevgenijs and Yamazaki, Kazutoshi (2024). A series expansion formula of the scale matrix with applications in CUSUM analysis. Stochastic Processes and their Applications, 170 104300, 104300. doi: 10.1016/j.spa.2024.104300
A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension
Yoshioka, Hidekazu and Yamazaki, Kazutoshi (2023). A jump Ornstein–Uhlenbeck bridge based on energy-optimal control and its self-exciting extension. IEEE Control Systems Letters, 7, 1536-1541. doi: 10.1109/lcsys.2023.3271422
The Gerber-Shiu discounted penalty function: a review from practical perspectives
He, Yue, Kawai, Reiichiro, Shimizu, Yasutaka and Yamazaki, Kazutoshi (2023). 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
On singular control for Lévy processes
Noba, Kei and Yamazaki, Kazutoshi (2022). On singular control for Lévy processes. Mathematics of Operations Research, 48 (3), 1213-1234. doi: 10.1287/moor.2022.1298
Detection and identification of changes of hidden Markov chains: asymptotic theory
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
Double continuation regions for American options under Poisson exercise opportunities
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
Dayanik, Savas, Powell, Warren B. and Yamazaki, Kazutoshi (2021). Correction to: Asymptotically optimal Bayesian sequential change detection and identification rules (Annals of Operations Research, (2013), 208, 1, (337-370), 10.1007/s10479-012-1121-6). Annals of Operations Research, 332 (1-3), 1275-1276. doi: 10.1007/s10479-021-04269-9
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
The Leland–Toft optimal capital structure model under Poisson observations
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
Optimality of hybrid continuous and periodic barrier strategies in the dual model
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
Optimal periodic replenishment policies for spectrally positive Lévy demand processes
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
Fluctuation theory for level-dependent Lévy risk processes
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
Optimality of refraction strategies for a constrained dividend problem
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
On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models
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
On the bail-out optimal dividend problem
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
Optimality of multi-refraction control strategies in the dual model
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
Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis and Yamazaki, Kazutoshi (2018). Mixed periodic-classical barrier strategies for Lévy risk processes. Risks, 6 (2) 33, 33. doi: 10.3390/risks6020033
On optimal periodic dividend strategies for Lévy risk processes
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
American options under periodic exercise opportunities
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
On the refracted–reflected spectrally negative Lévy processes
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
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
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
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
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
Phase-type approximation of the gerber-shiu function
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
Inventory control for spectrally positive Lévy demand processes
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
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
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
Refraction-reflection strategies in the dual model
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
Optimality of refraction strategies for spectrally negative Lévy processes
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
Optimal double stopping of a Brownian bridge
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
Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models
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
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
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
Optimality of doubly reflected Lévy processes in singular control
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
Games of singular control and stopping driven by spectrally one-sided Lévy processes
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
Optimal multiple stopping with negative discount rate and random refraction times under lévy models
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
Phase-type fitting of scale functions for spectrally negative Lévy processes
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
Optimal capital structure with scale effects under spectrally negative Lévy models
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
Optimal dividends in the dual model under transaction costs
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
Asymptotically optimal Bayesian sequential change detection and identification rules
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
On optimal dividends in the dual model
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
Precautionary measures for credit risk management in jump models
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
American step-up and step-down default swaps under Lévy models
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
Default swap games driven by spectrally negative Lévy processes
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
Model-free implied volatility: From surface to index
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
Index policies for discounted bandit problems with availability constraints
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
Optimality of Two-Parameter Strategies in Stochastic Control
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
Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes
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
Numerical methods for stochastic control problems in finance
Doctor Philosophy — Associate Advisor
Other advisors:
Note for students: The possible research projects listed on this page may not be comprehensive or up to date. Always feel free to contact the staff for more information, and also with your own research ideas.
optimal stopping and its applications
mathematical finance and actuarial science
Multi-armed bandit, sequential hypothesis testing, change-point detection