Kazuhiro Iwasawa's Home Page

Introduction

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 kiwasawa@optonline.net for further inquiries.

Research Interests

Mathematics

• 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

Applications

• 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.

Backgrounds

Education

• 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

Publications/Books:

• (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

Work History

• 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)

Computing Environment

• 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

Hobby

• 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

Status

• Born: Miyazaki Prefecture, Japan
• Citizenship: United States
• Languages Fluency: English, Japanese
• Height: 6 ft 1/2 (184cm)
• Weight: 189 lb (85kg)

Contact Info

VAR (Value At Risk) Explained !!

Click Here to learn more about Value At Risk  ====>Click Here !!!