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Yamazaki Kazutoshi
Yamazaki Kazutoshi
The University of Queensland, School of Mathematics and Physics
Bestätigte E-Mail-Adresse bei uq.edu.au - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Phase-type fitting of scale functions for spectrally negative Lévy processes
M Egami, K Yamazaki
Journal of Computational and Applied Mathematics 264, 1-22, 2014
98*2014
On optimal dividends in the dual model
E Bayraktar, AE Kyprianou, K Yamazaki
ASTIN Bulletin: The Journal of the IAA 43 (3), 359-372, 2013
982013
Optimal dividends in the dual model under transaction costs
E Bayraktar, AE Kyprianou, K Yamazaki
Insurance: Mathematics and Economics 54, 133-143, 2014
692014
Inventory control for spectrally positive Lévy demand processes
K Yamazaki
Mathematics of Operations Research 42 (1), 212-237, 2017
452017
Precautionary measures for credit risk management in jump models
M Egami, K Yamazaki
Stochastics an International Journal of Probability and Stochastic Processes …, 2013
452013
Asymptotically optimal Bayesian sequential change detection and identification rules
S Dayanik, WB Powell, K Yamazaki
Annals of Operations Research 208, 337-370, 2013
40*2013
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
F Avram, JL Pérez, K Yamazaki
Stochastic Processes and their Applications 128 (1), 255-290, 2018
382018
On the optimality of periodic barrier strategies for a spectrally positive Lévy process
JL Pérez, K Yamazaki
Insurance: Mathematics and Economics 77, 1-13, 2017
382017
Model-free implied volatility: from surface to index
M Fukasawa, I Ishida, N Maghrebi, K Oya, M Ubukata, K Yamazaki
International Journal of Theoretical and Applied Finance 14 (04), 433-463, 2011
362011
Fluctuation theory for level-dependent Lévy risk processes
I Czarna, JL Pérez, T Rolski, K Yamazaki
Stochastic Processes and their Applications 129 (12), 5406-5449, 2019
312019
On optimal periodic dividend strategies for Lévy risk processes
K Noba, JL Pérez, K Yamazaki, K Yano
Insurance: Mathematics and Economics 80, 29-44, 2018
302018
On the refracted–reflected spectrally negative Lévy processes
JL Pérez, K Yamazaki
Stochastic Processes and their Applications 128 (1), 306-331, 2018
292018
On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
B Avanzi, JL Pérez, B Wong, K Yamazaki
Insurance: Mathematics and Economics 72, 148-162, 2017
282017
Optimality of refraction strategies for spectrally negative Lévy processes
D Hernández-Hernández, JL Perez, K Yamazaki
SIAM Journal on Control and Optimization 54 (3), 1126-1156, 2016
272016
Refraction–reflection strategies in the dual model
JL Pérez, K Yamazaki
ASTIN Bulletin: The Journal of the IAA 47 (1), 199-238, 2017
262017
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
T Leung, K Yamazaki, H Zhang
International Journal of Theoretical and Applied Finance 18 (05), 1550032, 2015
262015
Index policies for discounted bandit problems with availability constraints
S Dayanik, W Powell, K Yamazaki
Advances in Applied Probability 40 (2), 377-400, 2008
262008
On the bail-out optimal dividend problem
JL Pérez, K Yamazaki, X Yu
Journal of Optimization Theory and Applications 179, 553-568, 2018
242018
American step-up and step-down default swaps under Lévy models
T Leung, K Yamazaki
Quantitative Finance 13 (1), 137-157, 2013
242013
Games of singular control and stopping driven by spectrally one-sided Lévy processes
D Hernández-Hernández, K Yamazaki
Stochastic Processes and their Applications 125 (1), 1-38, 2015
222015
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