All Stories

  1. Inventory Control for Spectrally Positive Lévy Demand Processes

    Article • Mathematics of Operations Research, October 2016, INFORMS

    Prof. Kazutoshi Yamazaki

  2. REFRACTION–REFLECTION STRATEGIES IN THE DUAL MODEL

    Article • Astin Bulletin, October 2016, Cambridge University Press

    Prof. Kazutoshi Yamazaki, Prof. José Luis Pérez

  3. Cash Management and Control Band Policies for Spectrally One-sided Lévy Processes *

    Article • February 2016, World Scientific Pub Co Pte Lt

    Prof. Kazutoshi Yamazaki

  4. Optimal double stopping of a Brownian bridge

    Article • Advances in Applied Probability, December 2015, Cambridge University Press

    Prof. Kazutoshi Yamazaki, Dr Budhi Arta Surya

  5. Optimal double stopping of a Brownian bridge

    Article • Advances in Applied Probability, December 2015, Cambridge University Press

    Prof. Kazutoshi Yamazaki

  6. AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING

    Article • International Journal of Theoretical and Applied Finance, August 2015, World Scientific Pub Co Pte Lt

    Prof. Kazutoshi Yamazaki

  7. Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Prof. Kazutoshi Yamazaki

  8. Contraction Options and Optimal Multiple-Stopping in Spectrally Negative Lévy Models

    Article • Applied Mathematics & Optimization, October 2014, Springer Science + Business Media

    Prof. Kazutoshi Yamazaki

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

    Article • Journal of Computational and Applied Mathematics, July 2014, Elsevier

    Prof. Kazutoshi Yamazaki

  10. On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models

    Article • Advances in Applied Probability, March 2014, Cambridge University Press

    Prof. Kazutoshi Yamazaki

  11. OPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELS

    Article • International Journal of Theoretical and Applied Finance, March 2014, World Scientific Pub Co Pte Lt

    Prof. Kazutoshi Yamazaki

  12. On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models

    Article • Advances in Applied Probability, March 2014, Cambridge University Press

    Prof. Kazutoshi Yamazaki

  13. Optimal dividends in the dual model under transaction costs

    Article • Insurance Mathematics and Economics, January 2014, Elsevier

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  14. ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

    Article • Astin Bulletin, July 2013, Cambridge University Press

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  15. Default swap games driven by spectrally negative Lévy processes

    Article • Stochastic Processes and their Applications, February 2013, Elsevier

    Prof. Kazutoshi Yamazaki

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

    Article • Quantitative Finance, January 2013, Taylor & Francis

    Prof. Kazutoshi Yamazaki

  17. Asymptotically optimal Bayesian sequential change detection and identification rules

    Article • Annals of Operations Research, April 2012, Springer Science + Business Media

    Prof. Kazutoshi Yamazaki

  18. Precautionary measures for credit risk management in jump models

    Article • Stochastics, April 2012, Taylor & Francis

    Prof. Kazutoshi Yamazaki

  19. Index policies for discounted bandit problems with availability constraints

    Article • Advances in Applied Probability, June 2008, Cambridge University Press

    Prof. Kazutoshi Yamazaki