Svetlozar T. Rachev

24 papers Misc 1Journal 21Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Alternatives to classical option pricing.
Ann. Oper. Res.
W. Brent Lindquist, Svetlozar T. Rachev
2024 J jnl
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models.
Ann. Oper. Res.
Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit, Ruoyu Sun
2020 J jnl
A New Set of Financial Instruments.
Frontiers Appl. Math. Stat.
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
2017 J jnl
Tempered stable Ornstein- Uhlenbeck processes: A practical view.
Commun. Stat. Simul. Comput.
Michele Leonardo Bianchi, Svetlozar T. Rachev, Frank J. Fabozzi
2013 — conf
An Application of Data Mining in Consumer Credit.
ICDM (Workshops)
Markus Hoechstoetter, Abdolreza Nazemi, Svetlozar T. Rachev, Caslav Bozic
2013 J jnl
Efficient global portfolios: Big data and investment universes.
IBM J. Res. Dev.
John B. Guerard Jr., Svetlozar T. Rachev, Barret Pengyuan Shao
2013 J jnl
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.
Ann. Oper. Res.
Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
2012 J jnl
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.
Ann. Oper. Res.
Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca
2012 J jnl
On a Class of Distributions Stable Under Random Summation.
J. Appl. Probab.
Lev B. Klebanov, Ashot V. Kakosyan, Svetlozar T. Rachev, Grigory Temnov
2010 J jnl
Stochastic models for risk estimation in volatile markets: a survey.
Ann. Oper. Res.
Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlozar T. Rachev, Frank J. Fabozzi
2009 J jnl
Introduction to special issue: studies in mathematical and empirical finance.
Math. Methods Oper. Res.
Svetlozar T. Rachev, Frank J. Fabozzi
2009 J jnl
Smoothly truncated stable distributions, GARCH-models, and option pricing.
Math. Methods Oper. Res.
Christian Menn, Svetlozar T. Rachev
2008 J jnl
Delta hedging strategies comparison.
Eur. J. Oper. Res.
Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev
2006 J jnl
Calibrated FFT-based density approximations for alpha.
Comput. Stat. Data Anal.
Christian Menn, Svetlozar T. Rachev
2006 J jnl
Modelling catastrophe claims with left-truncated severity distributions.
Comput. Stat.
Anna Chernobai, Krzysztof Burnecki, Svetlozar T. Rachev, Stefan Trück, Rafal Weron
2005 J jnl
A GARCH option pricing model with alpha-stable innovations.
Eur. J. Oper. Res.
Christian Menn, Svetlozar T. Rachev
2005 — ch.
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.
Data Analysis and Decision Support
Svetlozar T. Rachev, Stoyan V. Stoyanov, Almira Biglova, Frank J. Fabozzi
2004 Misc conf
Time-Scale Transformations: Effects on VaR Models.
International Conference on Computational Science
Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev
2002 J jnl
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics.
Math. Oper. Res.
Svetlozar T. Rachev, Werner Römisch
2001 J jnl
New Tendencies in Rating SMEs with Respect to Basel II.
Informatica
Stefan Trück, Svetlozar T. Rachev, Thomas Link
2000 J jnl
Local prelimit theorems and their applications to finance.
Appl. Math. Lett.
Lev B. Klebanov, Svetlozar T. Rachev, M. Safarian
1993 J jnl
Maximum Submatrix Traces for Positive Definite Matrices.
SIAM J. Matrix Anal. Appl.
I. Olkin, Svetlozar T. Rachev
1990 J jnl
Volume functions of historical texts and the amplitude correlation principle.
Comput. Humanit.
Anatoliy T. Fomenko, Svetlozar T. Rachev
1989 J jnl
The Problem of Stability in Queueing Theory.
Queueing Syst. Theory Appl.
Svetlozar T. Rachev