Svetlozar Rachev
Svetlozar Rachev
Professor of Applied Mathematics
Verified email at stonybrook.edu
TitleCited byYear
Probability metrics and the stability of stochastic models
ST Rachev
John Wiley & Son Ltd, 1991
10621991
Mass Transportation Problems: Volume I: Theory
ST Rachev, L Rüschendorf
Springer Science & Business Media, 1998
10441998
Stable Paretian models in finance
ST Rachev, S Mittnik
Wiley, 2000
9952000
Modeling asset returns with alternative stable distributions
S Mittnik, ST Rachev
Econometric reviews 12 (3), 261-330, 1993
4001993
Fat-tailed and skewed asset return distributions: implications for risk management, portfolio selection, and option pricing
ST Rachev, C Menn, FJ Fabozzi
John Wiley & Sons, 2005
3562005
The Monge–Kantorovich mass transference problem and its stochastic applications
ST Rachev
Theory of Probability & Its Applications 29 (4), 647-676, 1985
3371985
Operational risk: a guide to Basel II capital requirements, models, and analysis
AS Chernobai, ST Rachev, FJ Fabozzi
John Wiley & Sons, 2008
3092008
Handbook of heavy tailed distributions in finance: Handbooks in finance
ST Rachev
Elsevier, 2003
3082003
Financial models with Lévy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
261*2011
Mass Transportation Problems: Applications
ST Rachev, L Rüschendorf
Springer Science & Business Media, 2006
2432006
Different approaches to risk estimation in portfolio theory
A Biglova, S Ortobelli, ST Rachev, S Stoyanov
The Journal of Portfolio Management 31 (1), 103-112, 2004
2352004
Financial econometrics: from basics to advanced modeling techniques
ST Rachev, S Mittnik, FJ Fabozzi, SM Focardi, T Jašić
John Wiley & Sons, 2007
1902007
Spot and derivative pricing in the EEX power market
M Bierbrauer, C Menn, ST Rachev, S Trück
Journal of banking & finance 31 (11), 3462-3485, 2007
1772007
Quantitative stability in stochastic programming: The method of probability metrics
ST Rachev, W Römisch
Mathematics of Operations Research 27 (4), 792-818, 2002
1502002
A characterization of random variables with minimum L2-distance
L Rüschendorf, ST Rachev
Journal of Multivariate Analysis 32 (1), 48-54, 1990
1501990
Bayesian methods in finance
ST Rachev, JSJ Hsu, BS Bagasheva, FJ Fabozzi
John Wiley & Sons, 2008
1382008
Probability metrics and recursive algorithms
ST Rachev, L Rüschendorf
Advances in Applied Probability 27 (3), 770-799, 1995
1211995
Mathematical methods for construction of queueing models
VV Kalashnikov, ST Rachev
Wadsworth Pub Co, 1990
1171990
Desirable properties of an ideal risk measure in portfolio theory
S Rachev, S Ortobelli, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 11 (01), 19-54, 2008
1152008
Stationarity of stable power-GARCH processes
S Mittnik, MS Paolella, ST Rachev
Journal of Econometrics 106 (1), 97-107, 2002
1112002
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