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Kazutoshi Yamazaki

Identifiers

  • name variant Kazutoshi Yamazaki 0.60 · backfill

Papers (32)

  1. Optimality of multi-refraction dividend strategies in the dual model math.PR · 2018 · author #3
  2. On optimal periodic dividend and capital injection strategies for spectrally negative L\'evy models math.PR · 2017 · author #3
  3. Fluctuation theory for level-dependent L\'evy risk processes math.PR · 2017 · author #4
  4. On the Bail-Out Optimal Dividend Problem q-fin.MF · 2017 · author #2
  5. American options under periodic exercise opportunities math.PR · 2017 · author #2
  6. On optimal periodic dividend strategies for L\'evy risk processes math.OC · 2017 · author #3
  7. Phase-type Approximation of the Gerber-Shiu Function q-fin.CP · 2017 · author #1
  8. Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities math.OC · 2016 · author #2
  9. Mixed Periodic-classical barrier strategies for L\'evy risk processes math.PR · 2016 · author #2
  10. Optimality of two-parameter strategies in stochastic control math.OC · 2016 · author #1
  11. On the optimality of Periodic barrier strategies for a spectrally positive L\'evy process math.PR · 2016 · author #2
  12. Spectrally negative L\'evy processes with Parisian reflection below and classical reflection above math.PR · 2016 · author #3
  13. Refraction-reflection strategies in the dual model math.OC · 2015 · author #2
  14. On the Refracted-Reflected Spectrally Negative L\'evy Processes math.PR · 2015 · author #2
  15. An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting q-fin.MF · 2015 · author #2
  16. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models q-fin.MF · 2015 · author #2
  17. Optimality of Refraction Strategies for Spectrally Negative Levy Processes math.OC · 2015 · author #3
  18. Cash Management and Control Band Policies for Spectrally One-sided Levy Processes math.OC · 2014 · author #1
  19. Optimal double stopping of a Brownian bridge math.OC · 2014 · author #4
  20. Optimality of doubly reflected Levy processes in singular control math.OC · 2014 · author #2
  21. Asymptotic theory of sequential detection and identification in the hidden Markov models math.OC · 2013 · author #2
  22. Games of singular control and stopping driven by spectrally one-sided Levy processes math.OC · 2013 · author #2
  23. Inventory Control for Spectrally Positive Levy Demand Processes math.OC · 2013 · author #1
  24. Optimal dividends in the dual model under transaction costs math.PR · 2013 · author #3
  25. Contraction options and optimal multiple-stopping in spectrally negative Levy models math.OC · 2012 · author #1
  26. Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models q-fin.GN · 2011 · author #2
  27. Default Swap Games Driven by Spectrally Negative Levy Processes q-fin.PR · 2011 · author #3
  28. On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Levy models math.OC · 2011 · author #2
  29. American Step-Up and Step-Down Default Swaps under Levy Models q-fin.PR · 2010 · author #2
  30. Solving Optimal Dividend Problems via Phase-type Fitting Approximation of Scale Functions q-fin.CP · 2010 · author #2
  31. Phase-type fitting of scale functions for spectrally negative Levy processes math.PR · 2010 · author #2
  32. Precautionary Measures for Credit Risk Management in Jump Models q-fin.RM · 2010 · author #2

Mentions

  • 1511.07918 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1511.06027 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1505.07705 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1505.07313 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1504.03496 #3 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1410.7490 #1 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1409.2226 #4 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1408.0847 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1312.3352 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1308.3141 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1303.5163 #1 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1301.7525 #3 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1209.1790 #1 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1109.0897 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1105.0238 #3 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1104.4563 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1012.3234 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1011.4732 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1005.0064 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki
  • 1004.0595 #2 · backfill · confidence 0.70 Kazutoshi Yamazaki

Frequent Coauthors