Kazuhiro Iwasawa's Home Page

Introduction

Dr. Kazuhiro Iwasawa has over 35 years of experience across financial, commercial, and engineering sectors, serving as a Financial Engineer, Quantitative Analyst, Mathematician, and Risk Modeling Specialist for both private institutions and government research organizations.

He has authored numerous academic papers and books, and has delivered invited talks and keynote speeches at leading universities and government institutions worldwide. His expertise encompasses advanced mathematical modeling, computational finance, computer science, physics, and economics, with demonstrated applications in global financial markets, commercial industries, large-scale infrastructure risk assessment/risk management, and real estate/civil/structural engineering projects. 

A recognized leader in risk analysis, Dr. Iwasawa anticipated the collapse of Lehman Brothers and the onset of the 2008 global financial crisis three months before it occurred, underscoring his ability to identify systemic risks ahead of time. 

Please e-mail to kaz@iwasawa.us for further inquiries.

Research Interests

Mathematics

• SDE, PDE, Diffusion Process, Stochastic Process, Stochastic Control
• 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
• AI (Artificial Intelligence), ML (Machine Language), LMM (Large Language Model), Quantum Computing

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).
• Derived and Published one of the first analytic formula for Bachelier (Normal Black Scholes) Model in 2001
• 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 (government & corporate bonds, MBS), commodity, index, insurance, loans, credit derivatives, 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.
• Advanced Mathematical & Computational Techniques: Expertise in finite element analysis, nonlinear dynamics, spectral methods, computational geometry, tensor calculus, and modal analysis, applied to both financial systems and structural engineering challenges.
• Applied Risk & Structural Modeling: Experience in stability analysis for civil engineering, seismic load simulations using stochastic models, and optimization of structural components via modal decomposition and stochastic finite elements.
• Integrated Risk Frameworks: Development of probabilistic models for structural reliability under uncertain loads using Monte Carlo methods, PDE-based stress–strain analysis, functional analysis for stability margins, and adaptive control systems for vibration and seismic risk mitigation in civil engineering.

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

Publications/Books:

• (Amazon Book) Fast Relevant Simulation in Finance: Application to Risk Management (Value at Risk) => Download Pdf
• (Amazon Book) Fast Relevant Simulation in Finance: Application to Risk Management (Value at Risk) => Download Pdf
• 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: First Analytic Formula for Bachelier Model Published) => Download Pdf
• Analytic Formula for the European Normal Black Scholes Formula (Research: First Analytic Formula for Bachelier Model Published) => 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

• LSEG (London Stock Exchange Group), Senior Quantitative Analyst (2020-Present)
• 13-19  WNY LLC (Owner/President), Mathematical/Financial Quantitative Research Consultant (2019-2020)
• Bloomberg, L.P., Senior Financial Engineer/Risk Management/Mathematical & Quantitative Analyst (2011-2019)
• The Royal Bank of Scotland, Senior Financial Engineer/Risk Management/Mathematical & Quantitative Analyst (2001-2010)
• 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)

Awards

• Bloomberg (Best Technology Award: 2014) Libor Market Model
• Bloomberg (Best Technology Award: 2014) BPM (Bloomberg Prepayment Model)
• E.J Finan Mathematical Prize (Mathematics): 1992

Computing Environment

• Operating System: UNIX, Windows
• Language: C, C++, Python, R, SAS, Visual Basic, Perl, Shell (Kohn, Borne, C), WorkBench (UNIX C++), Sun Workshop, Matlab, Mathematica
• Database: SQL, Sybase, Oracle, MS Access
• Financial Application: Bloomberg, Intex, Yield Book

Other Activities

• Karate (Kyokushin Full Contact, 3rd Degree Black Belt)
• Karate (Tiger Schulmann, 2nd Degree Black Belt)
• Brazilian Jujitsu (1st Degree Black Belt)
• Muay Thai Kick Boxing (Red Armband, Black Belt Equivalent)
• Judo (1st Degree Black Belt)
• Kendo (1st Degree Black Belt, Japanese Sword Fighting)
• Kempo (1st Degree Black Belt)
• Aikido (1st Degree Black Belt)
• 1st Place Full Contact Kumite Tournament (North America:1998, 1999)
• 1st Place Tameshiwari (Wood Breaking: Kick: 1998, 10 Boards)
• 1st Place Tameshiwari (Wood Breaking: Punch: 1998, 8 Boards)
• 1st Place Tameshiwari (Wood Breaking: Elbow: 1998, 12 Boards)
• 1st Place Weapon Competition (Nunchaku, North America 1998)
• Performed Demonstrations (1999: Baseball Bats Breaking, Ice Brick Breaking, Cinder Block Breaking)
• Weight/Power Lifting, Bodybuilding (Used to Compete, Qualified to compete in Olympic)
• Max Bench Press: 575 LB (2005), Max Back Pull: 850 LB(2005)
• Others: Kickboxing, American Style Boxing, Vale Tudo,Gracie Jujitsu, Sambo, Grappling, Wrestling, Greco-Roman Wrestling, Pancrease (Japanese Shootfighting), Filipino Kali/Eskrima, Jeet Kune Do, Taekwondo, Weapon Competition (Bo, Sai, Tonfa)
• Training Video (2019:Simple Nunchaku & Martial Art Demo @ Stamford Police Department Parking Lot Demonstration) => Youtube Video Here!!
• Training Video (2015: Kickboxing & Simple Weight Lifting Training Video at Stamford LA Fitness) => Youtube Video Here!!
• Training Video (2023:Back Training & LA Fitness, NJ > Youtube Video Here!!
• Training Video (2023:Back Training (2) & LA Fitness, NJ > Youtube Video Here!!
• Kyokushin Karate Tournament (1995) => Youtube Video Here!!

Status

• Born: Miyazaki Prefecture, Japan
• Citizenship: United States
• Languages Fluency: English, Japanese
• Height: 6 ft 2 (188cm)
• Weight: 210 lb (95kg)
• 

Contact Info

VAR (Value At Risk) Explained !!

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