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; acceptance-rejection 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

  • Mr Louis Bhim (Ph.D., in progress)
  • Mr Sean Philip Carnaffan (Honous, in progress)
  • Ms Aoife Marie Meaney (Honours, Mar - Nov 2013)
  • Mr Jeremy Yee (Honours, Mar - Nov 2013)

Teaching

  • STAT3011/3911 Stochastic Processes and Time Series
  • STAT3013/3913 Statistical Inference
  • The 2nd- and 3rd-year Statistics Coordinator

Selected grants

2012

  • Financial Modelling Post-2008: Where Next?; Haven E, Wilson J, Molyneux P, Kawai R, Fedotov S, Fethi M; Economic and Social Research Council (ESRC) UK/Research Grant.

2009

  • Grant-in-Aid for Scientific Research; Kawai R; Japan Society for the Promotion of Science /Research Grant.

2008

  • Grant-in-Aid for Scientific Research; Kawai R; Japan Society for the Promotion of Science /Research Grant.

Selected publications

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Book Chapters

  • Kawai, R. (2013). On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling. In A Cangiani, R L Davidchack, E Georgoulis, A N Gorban, J Levesley, M V Tretyakov (Eds.), Numerical Mathematics and Advanced Applications 2011, (pp. 841-849). Berlin: Springer.
  • Kawai, R., Imai, J. (2012). On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws. In Leszek Plaskota, Henryk Wozniakowski (Eds.), Monte Carlo and Quasi-Monte Carlo Methods 2010, (pp. 471-486). Berlin: Springer.
  • Kashima, K., Kawai, R. (2010). An Optimization Approach to Weak Approximation of Levy-Driven Stochastic Differential Equations. In Jan C. Willems, Shinji Hara, Yoshito Ohta, Hisaya Fujioka (Eds.), Perspectives in Mathematical System Theory, Control, and Signal Processing, (pp. 263-272). Berlin, Germany: Springer-Verlag.

Journals

  • Kawai, R. (2014). On the likelihood function of small time variance Gamma Lévy processes. Statistics: A Journal of Theoretical and Applied Statistics, Online, 1-21. [More Information]
  • Kawai, R., Takeuchi, A. (2013). Computation of Greeks for asset price dynamics driven by stable and tempered stable processes. Quantitative Finance, 13(8), 1303-1316. [More Information]
  • Kawai, R. (2013). Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling. Communications in Statistics - Theory and Methods, 42(1628), 1636. [More Information]
  • Kawai, R., Masuda, H. (2013). Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling. ESAIM: Probability and Statistics, 17, 13-32. [More Information]
  • Kawai, R. (2013). Local Asymptotic Normality Property for Ornstein-Uhlenbeck Processes with Jumps Under Discrete Sampling. Journal of Theoretical Probability, 26(4), 932-967. [More Information]
  • Imai, J., Kawai, R. (2013). Numerical inverse Lévy measure method for infinite shot noise series representation. Journal of Computational and Applied Mathematics, 253, 264-283. [More Information]
  • Kashima, K., Kawai, R. (2013). On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. SIAM Journal on Scientific Computing, 35(1), A1-A21. [More Information]
  • Kawai, R. (2012). Continuous-time modeling of random searches: statistical properties and inference. Journal of Physics A: Mathematical and Theoretical, 45(23), 1-18. [More Information]
  • Kawai, R., Masuda, H. (2012). Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. Communications in Statistics: Simulation and Computation, 41(1), 125-139. [More Information]
  • Kawai, R. (2012). Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. Computational Statistics, 27, 739-755. [More Information]
  • Kawai, R., Petrovskii, S. (2012). Multi-scale properties of random walk models of animal movement: lessons from statistical inference. Proceedings of the Royal Society of London. Mathematical, Physical and Engineering Sciences, 468(2141), 1428-1451. [More Information]
  • Kawai, R. (2012). Nonnegative Compartment Dynamical System Modelling with Stochastic Differential Equations. Applied Mathematical Modelling, 36(12), 6291-6300. [More Information]
  • Kawai, R. (2012). Sampling rate of spatial stochastic processes with independent components in modeling random search paths. Physical Review E (Statistical, Nonlinear, and Soft Matter Physics), 85(2), Article 021907-5 pages. [More Information]
  • Kashima, K., Kawai, R. (2011). A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization. Stochastic Models, 27(1), 26-49. [More Information]
  • Kashima, K., Kawai, R. (2011). An optimization approach to weak approximation of stochastic differential equations with jumps. Applied Numerical Mathematics, 61(5), 641-650. [More Information]
  • Kawai, R., Masuda, H. (2011). Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes. Monte Carlo Methods and Applications, 17(3), 279-300. [More Information]
  • Kawai, R., Takeuchi, A. (2011). Greeks Formulas for an Asset Price Model with Gamma Processes. Mathematical Finance, 21(4), 723-742. [More Information]
  • Imai, J., Kawai, R. (2011). On finite truncation of infinite shot noise series representation of tempered stable laws. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4411-4425. [More Information]
  • Kawai, R., Masuda, H. (2011). On simulation of tempered stable random variates. Journal of Computational and Applied Mathematics, 235(8), 2873-2887. [More Information]
  • Kawai, R., Masuda, H. (2011). On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling. Statistics and Probability Letters, 81(4), 460-469. [More Information]
  • Kawai, R. (2010). Asymptotically Optimal Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. ACM Transactions on Modeling and Computer Simulation, 20(2), Article 9-17 pages. [More Information]
  • Kawai, R. (2010). Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion. Applied Mathematical Finance, 17(4), 301-321. [More Information]
  • Kawai, R. (2010). On sequential calibration for an asset price model with piecewise Levy processes. IAENG International Journal of Applied Mathematics, 40(4), 239-246.
  • Imai, J., Kawai, R. (2010). Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM Journal on Scientific Computing, 32(4), 1879-1897. [More Information]
  • Kawai, R., Takeuchi, A. (2010). Sensitivity analysis for averaged asset price dynamics with gamma processes. Statistics and Probability Letters, 80(1), 42-49. [More Information]
  • Kawai, R. (2009). A Multivariate Levy Process Model with Linear Correlation. Quantitative Finance, 9(5), 597-606. [More Information]
  • Kawai, R. (2009). Sensitivity Analysis and Density Estimation for the Hobson-Rogers Stochastic Volatility Model. International Journal of Theoretical and Applied Finance, 12(3), 283-295. [More Information]
  • Kawai, R. (2008). Adaptive Monte Carlo variance reduction for Levy processes with two-time-scale stochastic approximation. Methodology and Computing in Applied Probability, 10(2), 199-223. [More Information]
  • Kawai, R. (2008). Optimal importance sampling parameter search for Lévy processes via stochastic approximation. SIAM Journal on Numerical Analysis, 47(1), 293-307. [More Information]
  • Kawai, R. (2007). Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. Monte Carlo Methods and Applications, 13(3), 197-217. [More Information]
  • Houdr'e, C., Kawai, R. (2007). On layered stable processes. Bernoulli, 13(1), 252-278. [More Information]
  • Kawai, R. (2006). An importance sampling method based on the density transformation of Lévy processes. Monte Carlo Methods and Applications, 12(2), 171-186.
  • Houdr'e, C., Kawai, R. (2006). On fractional tempered stable motion. Stochastic Processes and their Applications, 116, 1161-1184. [More Information]

Conferences

  • Kawai, R. (2013). Mathematical Programming Gives Hard Bounds of the Dirichlet Problem for Partial Differential Equations. 22nd National Conference of the Australian Society for Operations Research, Adelaide: The Australian Society for Operations Research.
  • Kawai, R. (2010). Shot Noise Series Representation of Infinitely Divisible Random Vectors and Monte Carlo Simulation. Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2010), Warsaw, Poland: Springer.
  • Kashima, K., Kawai, R. (2009). An optimization approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing. 2009 CDC & CCC, Shanghai: (IEEE) Institute of Electrical and Electronics Engineers. [More Information]
  • Kashima, K., Kawai, R. (2009). Polynomial Programming approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing. ICCAS-SICE International Joint Conference 2009, Fukuoka, Japan: (IEEE) Institute of Electrical and Electronics Engineers.
  • Kawai, R. (2008). Optimal importance sampling parameter search for Levy processes via stochastic approximation. Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2008), Montreal, Canada.
  • Kawai, R. (2008). Recent Developments on Financial Greeks Computation for Models with Pure-Jump Levy Processes. Workshop on Finance and Related Mathematical and Statistical Issues, Kyoto: Center for the Study of Finance and Insurance.

2014

  • Kawai, R. (2014). On the likelihood function of small time variance Gamma Lévy processes. Statistics: A Journal of Theoretical and Applied Statistics, Online, 1-21. [More Information]

2013

  • Kawai, R., Takeuchi, A. (2013). Computation of Greeks for asset price dynamics driven by stable and tempered stable processes. Quantitative Finance, 13(8), 1303-1316. [More Information]
  • Kawai, R. (2013). Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling. Communications in Statistics - Theory and Methods, 42(1628), 1636. [More Information]
  • Kawai, R., Masuda, H. (2013). Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling. ESAIM: Probability and Statistics, 17, 13-32. [More Information]
  • Kawai, R. (2013). Local Asymptotic Normality Property for Ornstein-Uhlenbeck Processes with Jumps Under Discrete Sampling. Journal of Theoretical Probability, 26(4), 932-967. [More Information]
  • Kawai, R. (2013). Mathematical Programming Gives Hard Bounds of the Dirichlet Problem for Partial Differential Equations. 22nd National Conference of the Australian Society for Operations Research, Adelaide: The Australian Society for Operations Research.
  • Imai, J., Kawai, R. (2013). Numerical inverse Lévy measure method for infinite shot noise series representation. Journal of Computational and Applied Mathematics, 253, 264-283. [More Information]
  • Kawai, R. (2013). On Singularity of Fisher Information Matrix for Stochastic Processes Under High Frequency Sampling. In A Cangiani, R L Davidchack, E Georgoulis, A N Gorban, J Levesley, M V Tretyakov (Eds.), Numerical Mathematics and Advanced Applications 2011, (pp. 841-849). Berlin: Springer.
  • Kashima, K., Kawai, R. (2013). On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming. SIAM Journal on Scientific Computing, 35(1), A1-A21. [More Information]

2012

  • Kawai, R. (2012). Continuous-time modeling of random searches: statistical properties and inference. Journal of Physics A: Mathematical and Theoretical, 45(23), 1-18. [More Information]
  • Kawai, R., Masuda, H. (2012). Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations. Communications in Statistics: Simulation and Computation, 41(1), 125-139. [More Information]
  • Kawai, R. (2012). Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. Computational Statistics, 27, 739-755. [More Information]
  • Kawai, R., Petrovskii, S. (2012). Multi-scale properties of random walk models of animal movement: lessons from statistical inference. Proceedings of the Royal Society of London. Mathematical, Physical and Engineering Sciences, 468(2141), 1428-1451. [More Information]
  • Kawai, R. (2012). Nonnegative Compartment Dynamical System Modelling with Stochastic Differential Equations. Applied Mathematical Modelling, 36(12), 6291-6300. [More Information]
  • Kawai, R., Imai, J. (2012). On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws. In Leszek Plaskota, Henryk Wozniakowski (Eds.), Monte Carlo and Quasi-Monte Carlo Methods 2010, (pp. 471-486). Berlin: Springer.
  • Kawai, R. (2012). Sampling rate of spatial stochastic processes with independent components in modeling random search paths. Physical Review E (Statistical, Nonlinear, and Soft Matter Physics), 85(2), Article 021907-5 pages. [More Information]

2011

  • Kashima, K., Kawai, R. (2011). A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization. Stochastic Models, 27(1), 26-49. [More Information]
  • Kashima, K., Kawai, R. (2011). An optimization approach to weak approximation of stochastic differential equations with jumps. Applied Numerical Mathematics, 61(5), 641-650. [More Information]
  • Kawai, R., Masuda, H. (2011). Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes. Monte Carlo Methods and Applications, 17(3), 279-300. [More Information]
  • Kawai, R., Takeuchi, A. (2011). Greeks Formulas for an Asset Price Model with Gamma Processes. Mathematical Finance, 21(4), 723-742. [More Information]
  • Imai, J., Kawai, R. (2011). On finite truncation of infinite shot noise series representation of tempered stable laws. Physica A: Statistical Mechanics and its Applications, 390(23-24), 4411-4425. [More Information]
  • Kawai, R., Masuda, H. (2011). On simulation of tempered stable random variates. Journal of Computational and Applied Mathematics, 235(8), 2873-2887. [More Information]
  • Kawai, R., Masuda, H. (2011). On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling. Statistics and Probability Letters, 81(4), 460-469. [More Information]

2010

  • Kashima, K., Kawai, R. (2010). An Optimization Approach to Weak Approximation of Levy-Driven Stochastic Differential Equations. In Jan C. Willems, Shinji Hara, Yoshito Ohta, Hisaya Fujioka (Eds.), Perspectives in Mathematical System Theory, Control, and Signal Processing, (pp. 263-272). Berlin, Germany: Springer-Verlag.
  • Kawai, R. (2010). Asymptotically Optimal Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata. ACM Transactions on Modeling and Computer Simulation, 20(2), Article 9-17 pages. [More Information]
  • Kawai, R. (2010). Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion. Applied Mathematical Finance, 17(4), 301-321. [More Information]
  • Kawai, R. (2010). On sequential calibration for an asset price model with piecewise Levy processes. IAENG International Journal of Applied Mathematics, 40(4), 239-246.
  • Imai, J., Kawai, R. (2010). Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations. SIAM Journal on Scientific Computing, 32(4), 1879-1897. [More Information]
  • Kawai, R., Takeuchi, A. (2010). Sensitivity analysis for averaged asset price dynamics with gamma processes. Statistics and Probability Letters, 80(1), 42-49. [More Information]
  • Kawai, R. (2010). Shot Noise Series Representation of Infinitely Divisible Random Vectors and Monte Carlo Simulation. Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2010), Warsaw, Poland: Springer.

2009

  • Kawai, R. (2009). A Multivariate Levy Process Model with Linear Correlation. Quantitative Finance, 9(5), 597-606. [More Information]
  • Kashima, K., Kawai, R. (2009). An optimization approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing. 2009 CDC & CCC, Shanghai: (IEEE) Institute of Electrical and Electronics Engineers. [More Information]
  • Kashima, K., Kawai, R. (2009). Polynomial Programming approach to weak approximation of Levy-driven stochastic differential equations with application to option pricing. ICCAS-SICE International Joint Conference 2009, Fukuoka, Japan: (IEEE) Institute of Electrical and Electronics Engineers.
  • Kawai, R. (2009). Sensitivity Analysis and Density Estimation for the Hobson-Rogers Stochastic Volatility Model. International Journal of Theoretical and Applied Finance, 12(3), 283-295. [More Information]

2008

  • Kawai, R. (2008). Adaptive Monte Carlo variance reduction for Levy processes with two-time-scale stochastic approximation. Methodology and Computing in Applied Probability, 10(2), 199-223. [More Information]
  • Kawai, R. (2008). Optimal importance sampling parameter search for Levy processes via stochastic approximation. Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2008), Montreal, Canada.
  • Kawai, R. (2008). Optimal importance sampling parameter search for Lévy processes via stochastic approximation. SIAM Journal on Numerical Analysis, 47(1), 293-307. [More Information]
  • Kawai, R. (2008). Recent Developments on Financial Greeks Computation for Models with Pure-Jump Levy Processes. Workshop on Finance and Related Mathematical and Statistical Issues, Kyoto: Center for the Study of Finance and Insurance.

2007

  • Kawai, R. (2007). Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation. Monte Carlo Methods and Applications, 13(3), 197-217. [More Information]
  • Houdr'e, C., Kawai, R. (2007). On layered stable processes. Bernoulli, 13(1), 252-278. [More Information]

2006

  • Kawai, R. (2006). An importance sampling method based on the density transformation of Lévy processes. Monte Carlo Methods and Applications, 12(2), 171-186.
  • Houdr'e, C., Kawai, R. (2006). On fractional tempered stable motion. Stochastic Processes and their Applications, 116, 1161-1184. [More Information]

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