Kazutoshi Yamazaki

Kansai University - Department of Mathematics

Assistant Professor

3-3-35 Yamate-cho, Suita-shi

Osaka, 564-8680

Japan

http://https://sites.google.com/site/kyamazak/

SCHOLARLY PAPERS

11

DOWNLOADS

616

CITATIONS
Rank 33,345

SSRN RANKINGS

Top 33,345

in Total Papers Citations

16

Scholarly Papers (11)

1.

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models

SIAM Journal on Control and Optimization, vol. 53, no. 4, pp. 2373–2405, 2015
Number of pages: 25 Posted: 14 Feb 2014 Last Revised: 28 Oct 2015
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 176 (169,442)
Citation 1

Abstract:

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optimal multiple stopping, negative discount rate, random refraction times, Levy processes, stock loan, real option

2.

An Analytic Recursive Method for Optimal Multiple Stopping: Canadization and Phase-Type Fitting

International Journal of Theoretical and Applied Finance, vol. 18, issue 5, p.1550032, 2015
Number of pages: 30 Posted: 19 Apr 2014 Last Revised: 28 Oct 2015
Tim Leung, Kazutoshi Yamazaki and Hongzhong Zhang
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Columbia University
Downloads 140 (205,430)
Citation 1

Abstract:

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optimal multiple stopping, Levy process, maturity randomization, refraction times, phase-type fitting

3.

American Step-Up and Step-Down Credit Default Swaps Under Levy Models

Quantitative Finance, 13(1): 137-157, 2013
Number of pages: 36 Posted: 26 Dec 2010 Last Revised: 27 Jan 2015
Tim Leung and Kazutoshi Yamazaki
University of Washington - Department of Applied Math and Kansai University - Department of Mathematics
Downloads 117 (235,988)
Citation 3

Abstract:

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Optimal Stopping, Credit Default Swaps, Step-Up and Step-Down Options, Levy Processes, Scale Functions

4.

Optimal Dividends in the Dual Model Under Transaction Costs

Insurance: Mathematics and Economics, Vol. 54, 2014
Number of pages: 22 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 45 (403,252)

Abstract:

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dual model, dividends, impulse control, spectrally positive Levy processes, scale functions

5.

Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models

Number of pages: 26 Posted: 08 Aug 2012 Last Revised: 05 Mar 2014
Budhi Arta Surya and Kazutoshi Yamazaki
Bandung Institute of Technology - School of Business and Management and Kansai University - Department of Mathematics
Downloads 41 (417,943)
Citation 1

Abstract:

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credit risk, optimal capital structure, spectrally negative Levy processes, scale functions, optimal stopping

6.

Default Swap Games Driven by Spectrally Negative Levy Processes

Stochastic Processes & their Applications, 123(2): 347-384, 2013.
Number of pages: 33 Posted: 26 Feb 2012 Last Revised: 08 Jan 2013
Tim Leung, Kazutoshi Yamazaki and Masahiko Egami
University of Washington - Department of Applied Math, Kansai University - Department of Mathematics and Kyoto University
Downloads 38 (429,916)

Abstract:

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optimal stopping games, Nash equilibrium, Levy processes, scale function, default swaps

7.

On Optimal Dividends in the Dual Model

Astin Bulletin, vol. 43, no. 3, 2013, pp 359 - 372
Number of pages: 13 Posted: 27 Feb 2014
Erhan Bayraktar, Andreas E. Kyprianou and Kazutoshi Yamazaki
University of Michigan at Ann Arbor - Department of Mathematics, University of Bath and Kansai University - Department of Mathematics
Downloads 25 (490,229)

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Dual model, dividends, capital injections, spectrally positive Levy processes, scale functions

8.

On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes

UNSW Business School Research Paper No. 2016ACTL05
Number of pages: 28 Posted: 07 Jul 2016
UNSW Australia Business School, School of Risk and Actuarial Studies, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, UNSW Australia Business School, School of Risk & Actuarial Studies and Kansai University - Department of Mathematics
Downloads 18 (530,340)
Citation 1

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Surplus models, Optimal dividends, Threshold strategy, Barrier strategy, Transaction costs

9.

The Leland-Toft Optimal Capital Structure Model Under Poisson Observations

Number of pages: 34 Posted: 16 May 2019
affiliation not provided to SSRN, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, Victoria University of Wellington and Kansai University - Department of Mathematics
Downloads 12 (566,065)

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credit risk, endogenous bankruptcy, optimal capital structure, spectrally negative Levy processes, term structure of credit spreads

10.

On the Refracted-Reflected Spectrally Negative Levy Processes

Stochastic Processes and their Applications, 128(1), 306-331, 2018.
Number of pages: 28 Posted: 06 Jun 2019
José-Luis Pérez and Kazutoshi Yamazaki
Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics and Kansai University - Department of Mathematics
Downloads 2 (635,457)

Abstract:

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Levy processes, fluctuation theory, scale functions, insurance risk

11.

Optimality of Hybrid Continuous and Periodic Barrier Strategies in the Dual Model

Applied Mathematics and Optimization (2018). DOI:10.1007/s00245-018-9494-9
Number of pages: 26 Posted: 05 Jun 2019
José-Luis Pérez and Kazutoshi Yamazaki
Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics and Kansai University - Department of Mathematics
Downloads 2 (635,457)

Abstract:

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dividends, Levy processes, periodic strategies, scale functions, dual model