Dr Ray Kawai
F07  Carslaw Building
The University of Sydney
Telephone  9351 3376 
Fax  9351 4534 


Website 
Personal Site 
Biographical details
 Senior Lecturer, School of Mathematics and Statistics, The University of Sydney, Australia, July 2012 
 Lecturer, Department of Mathematics, University of Leicester, United Kingdom, July 2009  June 2012.
 Fixed Term Assistant Professor, Center for the Study of Finance and Insurance, Osaka University, Japan, August 2007  June 2009.
 Financial Engineering, Fixed Income Department, Daiwa Securities SMBC Co.Ltd., Japan, April 2006  June 2009. (on leave during August 2007  June 2009)
 Proprietary Trading Department, Equity Division, Daiwa Securities SMBC Co.Ltd., Japan, March 2005  March 2006.
 Ph.D., Industrial and Systems Engineering, Georgia Institute of Technology, United States of America, December 2004.
 M.S., Operations Research, Georgia Institute of Technology, United States of America, May 2003.
 M.S., Applied Mathematics, Georgia Institute of Technology, United States of America, May 2003.
 Special Graduate Student, Department of Statistics, University of California, Los Angeles, United States of America, September 1999  June 2000.
 B.Eng., Industrial Engineering and Management, Tokyo Institute of Technology, Japan, March 1999.
Research interests
His research interests include
 Stochastic Numerics: Monte Carlo variance reduction techniques; stochastic approximation algorithms; approximations of stochastic differential equations.
 Random Number Generations: series representation of Lévy processes; exact and approximate simulation of infinitely divisible processes; acceptancerejection sampling. Probability Theory: Lévy processes; infinitely divisible laws; Malliavin calculus.
 Mathematical Finance: sensitivity analysis; asset price dynamics modeling; structured derivatives pricing models.
 Mathematical Statistics: statistical inference for stochastic processes; sampling schemes.
 Mathematical Ecology: individual animal movement; spatial random walk models; compartment modeling.
He is a member of the Statistics Research Group and the Sydney Dynamics Group.
Teaching and supervision
Student Supervision
 Louis Nelson Bhim (Ph.D., in progress)
 Patrick Dylan Murray (Honours 2015)
 Haruki Jeremy Osaka (Honours 2015)
 Sean Philip Carnaffan (Honours 2014/2015)
 Nicholas Fuyuki Katada (AMSI VRS 2014/2015)
 Aoife Meaney (Honours 2013)
 Jeremy Yee (Honours 2013)
Teaching
Selected grants
2012
 Financial Modelling Post2008: Where Next?; Haven E, Wilson J, Molyneux P, Kawai R, Fedotov S, Fethi M; Economic and Social Research Council (ESRC) UK/Research Grant.
2009
 GrantinAid for Scientific Research; Kawai R; Japan Society for the Promotion of Science/Research Grant.
2008
 GrantinAid for Scientific Research; Kawai R; Japan Society for the Promotion of Science/Research Grant.
Selected publications





















