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2014 Journal Article On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy modelsEgam, 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 |
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2014 Journal Article Optimal dividends in the dual model under transaction costsBayraktar, 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 |
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2014 Journal Article Optimal capital structure with scale effects under spectrally negative Lévy modelsSurya, 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 |
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2013 Journal Article On optimal dividends in the dual modelBayraktar, 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 |
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2013 Journal Article Asymptotically optimal Bayesian sequential change detection and identification rulesDayanik, 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 |
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2013 Journal Article Precautionary measures for credit risk management in jump modelsEgami, 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 |
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2013 Journal Article American step-up and step-down default swaps under Lévy modelsLeung, 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 |
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2013 Journal Article Default swap games driven by spectrally negative Lévy processesEgami, 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 |
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2011 Journal Article Model-free implied volatility: From surface to indexFukasawa, 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 |
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2008 Journal Article Index policies for discounted bandit problems with availability constraintsDayanik, 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 |
