Yamazaki Kazutoshi
Yamazaki Kazutoshi
Kansai University, Department of Mathematics
Verified email at kansai-u.ac.jp - Homepage
Title
Cited by
Cited by
Year
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
84*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
832013
Optimal dividends in the dual model under transaction costs
E Bayraktar, AE Kyprianou, K Yamazaki
Insurance: Mathematics and Economics 54, 133-143, 2014
542014
Precautionary measures for credit risk management in jump models
M Egami, K Yamazaki
Stochastics an International Journal of Probability and Stochastic Processes …, 2013
402013
Asymptotically optimal Bayesian sequential change detection and identification rules
S Dayanik, WB Powell, K Yamazaki
Annals of Operations Research 208 (1), 337-370, 2013
35*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
332018
Inventory control for spectrally positive Lévy demand processes
K Yamazaki
Mathematics of Operations Research 42 (1), 212-237, 2017
332017
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
302017
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
262011
American step-up and step-down default swaps under Lévy models
T Leung, K Yamazaki
Quantitative Finance 13 (1), 137-157, 2013
232013
Refraction–reflection strategies in the dual model
JL Pérez, K Yamazaki
ASTIN Bulletin: The Journal of the IAA 47 (1), 199-238, 2017
222017
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
212018
On the refracted–reflected spectrally negative Lévy processes
JL Pérez, K Yamazaki
Stochastic Processes and their Applications 128 (1), 306-331, 2018
212018
Default swap games driven by spectrally negative Lévy processes
M Egami, T Leung, K Yamazaki
Stochastic Processes and their Applications 123 (2), 347-384, 2013
212013
Index policies for discounted bandit problems with availability constraints
S Dayanik, W Powell, K Yamazaki
Advances in Applied Probability 40 (2), 377-400, 2008
212008
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
202017
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
192015
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
182016
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
M Egami, K Yamazaki
Advances in Applied Probability 46 (1), 139-167, 2014
152014
On the bail-out optimal dividend problem
JL Pérez, K Yamazaki, X Yu
Journal of Optimization Theory and Applications 179 (2), 553-568, 2018
142018
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