Kazuhiro Iwasawa's Home Page
(or KAZ's Home Page)
Hello!! My name is Kazuhiro Iwasawa. I am currently working for the Royal Bank of Scotland as a Financial Engineer. I have been doing various projects on Mathematics/Computer Science/Physics/Economics/Financial Engineering. Please feel free to browse the menu to the left to go to the site you want. You can e-mail to firstname.lastname@example.org for further inquiries.
- SDE, PDE, Diffusion Process, Stochastic Process
- Functional Analysis, Large Deviation Theory(LDT)
- Differential Geometry, Complex Function Theory
- Non-Linear Stochastic Optimization
- Numerical Analysis, Adaptive Markov Chain Monte Carlo & Monte Carlo Simulation
- MultiDimensional Metropolis-Hasting & Robbins-Monro Algorithm
- Mathematical/Computational Finance
- Effective Dimension Reduction Approach for Monte Carlo Methods for VaR
- Application of Semi-Analytic Method using FFT (Fast Fourier Transform) to compute VaR containing Non-Linear securities (FFT Quadratic Approximation Technique).
- Application of LDT (Large Deviation Theory) to CVAR (Conditional VAR: related to EVT <Extreme Value Theory>)
- Generalized risk factor mapping to compute VaR for all instruments and derivatives (options, contingent claims) there of - equity, foreign exchange, fixed income securities (goverment & corporate bonds, MBS), commodity, index, insurance, loans, credit derivaties, etc
- Jump Diffusion Process to Credit Analysis
- Optimal Control, Stochastic Control for Option Pricing/VaR
- Enhanced & Speeded OAS (Option Adjusted Spread) calculation applied to MBS (Mortgage Backed Securities - Pass Through, CMOs, etc)
- Optimal Greek calculation techniques (Duration, Convexity, KRD(Key Rate Duration)) applied to Fixed Income Securities
- Algorithmic simplification to replace numerical iteratuve method by an analytic formula for computing risk reutral mortgage current coupon rates (i.e. Making Roll Analysis to a par)
- Various algorithmical simplifications to enhance code performance & maintenance
- Identifying optimal hedging schemes using simulation/optimization for traders
- Application of Ornstein-Uhlenbeck (OU) Process to Credit Risk Simulation - HPA/HPI (Housing Price Index), Credit OAS, Credit VaR, etc.
- PCA & Regression Analysis applied to various MBS/CMBS/RMBS/CDO/Primex/ABS Index market trend analysis for traders.
- Ph.D., Mathematics, New York University (Physics, Princeton University)
- MS, Mathematics/Physics, New York University/Princeton University
- BS, Mathematics/Physics/Philosophy, Catholic/Georgetown University
- BS, Computer Science/System/Pre-Med, Catholic/Georgetown University
- CFA Candidate
- (Amazon Book) Fast Relevant Simulation in Finance: Application to Risk Management (Value at Risk) => Available at Amazon.com !!!
- (Amazon Book) Fast Relevant Simulation in Finance: Application to Risk Management (Value at Risk) => Download Descriptions!!!
- Exponential Importance Twist for Computing Value-at-Risk (To appear on the Journal of Risk) => Download Pdf
- Exponential Importance Twist for Computing Value-at-Risk (To appear on the Journal of Risk) => Download PostScript
- Analytic Formula for the European Normal Black Scholes Formula (Research) => Download Pdf
- Analytic Formula for the European Normal Black Scholes Formula (Research) => Download PostScript
- Exponential Twist Slide (Presentation at New York University) => Download Pdf
- Exponential Twist Slide (Presentation at New York University) => Download PostScript
- Approximation for the Order Statistics Error => Download Pdf
- Approximation for the Order Statistics Error => Download PostScript
- The Royal Bank of Scotland, Financial Engineer/Risk Management/Mathematical & Quantitative Analyst (2001-Present)
- NASA, Mathematical Analyst (1998-2001: Part Time)
- The Asahi Bank, Financial Engineer/Risk Management/Mathematical & Quantitative Analyst (1996-2001)
- KDD Research, System Engineer/Mathematical & System Analyst (1992-1996)
- Operating System: UNIX, Windows (XP/7)
- Language: C, C++,Visual Studio (v6, v8), C#, .NET, Visual Basic, Perl, Shell (Kohn, Borne, C), WorkBench (UNIX C++), Sun Workshop, Matlab, Mathematica
- Database: SQL, Sybase, Oracle, MS Access
- Weight/Power Lifting, Bodybuilding
- Karate (Kyokushin Full Contact, 3rd Degree Black Belt)
- Karate (Tiger Schulmann, 2nd Degree Black Belt)
- Judo (1st Degree Black Belt)
- Kendo (1st Degree Black Belt, Japanese Sword Fighting)
- 1st Place Tameshiwari, 1st Place Tournament (North America:1999)
- 1st Place Weapon Competition (Nunchaku)
- Others:Kickboxing, American Style Boxing, Muay Thai Kickboxing, Vale Tudo, Gracie Jujitsu, Brazilian Jujitsu, Sambo, Grappling, Wrestling, Greco-Roman Wrestling, Pancrease (Japanese Shootfighting), Filipino Kali/Eskrima, Jeet Kune Do, Taekwondo, Aikido, Kempo, Jujitsu, Weapon Competition (Bo, Sai, Tonfa)
- Watch Martial Arts Events, Movies, Listen to Classical Music, Make Home DVDs, Driving
- Born: Miyazaki Prefecture, Japan
- Citizenship: United States
- Languages Fluency: English, Japanese
- Height: 6 ft 1/2 (184cm)
- Weight: 189 lb (85kg)
||Kazuhiro Iwasawa, PhD|
||The Royal Bank of Scotland (RBS)|
||Financial Engineer (Senior Vice President)|
VAR (Value At Risk) Explained !!
Click Here to learn more about Value At Risk ====>Click Here !!!
|Copyright (c) 1998 Kazuhiro Iwasawa ---------All Right Reserved.|