Svetlozar T. Rachev

According to our database1, Svetlozar T. Rachev authored at least 23 papers between 1989 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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PhD thesis 
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Bibliography

2024
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models.
Ann. Oper. Res., May, 2024

2020
A New Set of Financial Instruments.
Frontiers Appl. Math. Stat., 2020

2017
Tempered stable Ornstein- Uhlenbeck processes: A practical view.
Commun. Stat. Simul. Comput., 2017

2013
Efficient global portfolios: Big data and investment universes.
IBM J. Res. Dev., 2013

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.
Ann. Oper. Res., 2013

An Application of Data Mining in Consumer Credit.
Proceedings of the Advances in Data Mining, 13th Industrial Conference, 2013

2012
On a Class of Distributions Stable Under Random Summation.
J. Appl. Probab., 2012

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.
Ann. Oper. Res., 2012

2010
Stochastic models for risk estimation in volatile markets: a survey.
Ann. Oper. Res., 2010

2009
Introduction to special issue: studies in mathematical and empirical finance.
Math. Methods Oper. Res., 2009

Smoothly truncated stable distributions, GARCH-models, and option pricing.
Math. Methods Oper. Res., 2009

2008
Delta hedging strategies comparison.
Eur. J. Oper. Res., 2008

2006
Modelling catastrophe claims with left-truncated severity distributions.
Comput. Stat., 2006

Calibrated FFT-based density approximations for alpha.
Comput. Stat. Data Anal., 2006

2005
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.
Proceedings of the Data Analysis and Decision Support, 2005

A GARCH option pricing model with alpha-stable innovations.
Eur. J. Oper. Res., 2005

2004
Time-Scale Transformations: Effects on VaR Models.
Proceedings of the Computational Science, 2004

2002
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics.
Math. Oper. Res., 2002

2001
New Tendencies in Rating SMEs with Respect to Basel II.
Informatica, 2001

2000
Local prelimit theorems and their applications to finance.
Appl. Math. Lett., 2000

1993
Maximum Submatrix Traces for Positive Definite Matrices.
SIAM J. Matrix Anal. Appl., April, 1993

1990
Volume functions of historical texts and the amplitude correlation principle.
Comput. Humanit., 1990

1989
The Problem of Stability in Queueing Theory.
Queueing Syst. Theory Appl., 1989


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