Dr

Kazutoshi Yamazaki

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Phone: 
+61 7 336 52302

Background

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.

Availability

Dr Kazutoshi Yamazaki is:
Available for supervision

Fields of research

Applied mathematics Calculus of variations, mathematical aspects of systems theory and control theory Financial mathematics Mathematical Sciences Operations research Probability theory Statistics Stochastic analysis and modelling

Qualifications

  • Doctor of Philosophy of Operations Research, Princeton University
  • Member, Australian Mathematical Society, Australian Mathematical Society

Research interests

  • Stochastic processes, probability theory

  • Optimal stopping, stochastic control

  • Multi-armed bandit, sequential hypothesis testing, change-point detection

  • Insurance mathematics, mathematical finance, operations research

Search Professor Kazutoshi Yamazaki’s works on UQ eSpace

54 works between 2008 and 2025
All (54) Journal Article (50) Book Chapter (1) Conference Publication (3)

41 - 54 of 54 works

2015

Journal Article

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

Optimality of doubly reflected Lévy processes in singular control

2015

Journal Article

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

Games of singular control and stopping driven by spectrally one-sided Lévy processes

2015

Journal Article

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

Optimal multiple stopping with negative discount rate and random refraction times under lévy models

2014

Journal Article

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

Phase-type fitting of scale functions for spectrally negative Lévy processes

2014

Journal Article

On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy models

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

On the continuous and smooth fit principle for optimal stopping problems in spectrally negative lèvy models

2014

Journal Article

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 capital structure with scale effects under spectrally negative Lévy models

2014

Journal Article

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

Optimal dividends in the dual model under transaction costs

2013

Journal Article

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

On optimal dividends in the dual model

2013

Journal Article

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

Asymptotically optimal Bayesian sequential change detection and identification rules

2013

Journal Article

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

Precautionary measures for credit risk management in jump models

2013

Journal Article

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

Default swap games driven by spectrally negative Lévy processes

2013

Journal Article

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

American step-up and step-down default swaps under Lévy models

2011

Journal Article

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

Model-free implied volatility: From surface to index

2008

Journal Article

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

Index policies for discounted bandit problems with availability constraints

Availability

Dr Kazutoshi Yamazaki is:
Available for supervision

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Available projects

  • optimal stopping and its applications

  • mathematical finance and actuarial science

  • Multi-armed bandit, sequential hypothesis testing, change-point detection

Supervision history

Current supervision

  • Doctor Philosophy

    L\'{e}vy Processes: Theory and Applications

    Principal Advisor

    Other advisors: Professor Dirk Kroese

  • Doctor Philosophy

    Numerical methods for stochastic control problems in finance

    Associate Advisor

    Other advisors: Dr Duy-Minh Dang

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