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Rachev's academic work on non-Gaussian models in mathematical finance was inspired by the difficulties of common classical
Gaussian-based models to capture empirical properties of financial data. Rachev and his daughter, Borjana Racheva-Iotova, established Bravo Group in 1999, a company with the goal
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Farinelli, S.; Ferreira, M.; Rossello, D.; Thoeny, M.; Tibiletti, L. (2008). "Beyond Sharpe ratio: Optimal asset allocation using different performance ratios".
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Biglova, A.; Ortobelli, S.; Rachev, S.T.; Stoyanov, S.V. (2004). "Different
Approaches to Risk Estimation in Portfolio Theory".
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35:. In the practice of risk management, he is the originator of the methodology behind the flagship product of FinAnalytica.
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Bierbrauer, M.; Menn, C.; Rachev, S.T.; Türck, S. (2007). "Spot and derivative pricing in the EEX power market".
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345:; Paollela, M.; Rachev, S.T. (2000). "Diagnosing and treating the fat tails in financial returns data".
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Rachev, S.T.; Sengupta, A. (1993). "Laplace-Weibull mixtures for modelling price changes".
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321:; Rachev, S.T. (1993). "Modeling asset returns with alternative stable distributions".
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23:, probability theory, and statistics. He is known for his work in probability metrics,
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369:; Paollela, M.; Rachev, S.T. (2002). "Stationarity of stable power-GARCH process".
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models for risk assessment, option pricing, and the applications of such models in
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under the supervision of
Vladimir Zolotarev in 1979, and a Dr Sci degree from
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In mathematical finance, Rachev is known for his work on application of non-
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89:. He is also known for the introduction of a new risk-return ratio, the "
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The
Methods of Distances in the Theory of Probability and Statistics
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is a professor at Texas Tech
University who works in the field of
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Financial Models with Levy
Processes and Volatility Clustering
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Rachev earned a MSc degree from the
Faculty of Mathematics at
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In probability theory, his books on probability metrics and
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Probability
Metrics and the Stability of Stochastic Models
736:. Vol. 42, no. 5. American Mathematical Society
74:. Currently, he is Professor of Financial Mathematics at
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Cheridito, P.; Kromer, E. (2013). "Reward-Risk Ratios".
93:", designed to measure the reward potential relative to
778:"Stable Paretian Models in Finance: Author Information"
702:. Institute of Mathematical Statistics. Archived from
457:Stoyanov, S.V.; Rachev, S.T.; Racheva-Iotova, B.;
204:Mass Transportation Problems, Vol II: Applications
117:. The company was later acquired by FinAnalytica.
113:to develop software based on Rachev's research on
140:Saint Petersburg State Institute of Technology
267:Rachev, S.T.; Klebanov, Lev; Stoyanov, S.V.;
66:, a Nobel Prize winner in economic sciences,
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537:"Department of Mathematics & Statistics"
756:"Honorary Doctors and Distinguished Alumni"
185:Mass Transportation Problems, Vol I: Theory
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415:(2007). "Optimal financial portfolios".
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463:"Fat-tailed models for risk estimation"
202:Rachev, S.T.; Rueschendorf, L. (1999).
183:Rachev, S.T.; Rueschendorf, L. (1998).
244:Rachev, S.T.; Kim, Y.; Bianchi, M.L.;
833:21st-century Bulgarian mathematicians
828:20th-century Bulgarian mathematicians
758:. St. Petersburg Technical University
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678:, 236, 41–43, 80, 93, 161–163, 409.
128:Institute of Mathematical Statistics
562:"Assessing the risk of a cataclysm"
147:Russian Academy of Natural Sciences
14:
725:Foundation, Humboldt (May 1995).
227:Stable Paretian Models in Finance
62:in 1986 under the supervision of
56:Lomonosov Moscow State University
614:Journal of Investment Strategies
593:. Frankfurter Allgemeine Zeitung
588:"Beyond the Normal Distribution"
438:Journal of Banking & Finance
467:Journal of Portfolio Management
392:Journal of Portfolio Management
17:Svetlozar (Zari) Todorov Rachev
670:Optimal Transport: Old and New
653:10.1016/j.jbankfin.2007.12.026
641:Journal of Banking and Finance
450:10.1016/j.jbankfin.2007.04.011
411:Stoyanov, S.V.; Rachev, S.T.;
138:Honorary Doctor of Science at
60:Steklov Mathematical Institute
1:
383:10.1016/S0304-4076(01)00089-6
359:10.1016/S0927-5398(00)00019-0
417:Applied Mathematical Finance
347:Journal of Empirical Finance
727:"Humboldt Awards Announced"
135:for Foreign Scholars (1995)
104:problems are widely cited.
97:in a non-Gaussian setting.
54:in 1974, a PhD degree from
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560:Baird, Jane (2009-05-25).
479:10.3905/jpm.2011.37.2.107
429:10.1080/13504860701255292
335:10.1080/07474939308800266
666:Villani, Cedric (2009).
404:10.3905/jpm.2004.443328
371:Journal of Econometrics
133:Humboldt Research Award
29:financial risk modeling
626:10.21314/JOIS.2013.022
311:10.1287/mnsc.39.8.1029
252:. New York: Springer.
145:Foreign Member of the
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700:"Honored IMS Fellows"
674:. Springer. pp.
164:Rachev, S.T. (1991).
153:Selected publications
76:Texas Tech University
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806:A definition of the
515:www.finanalytica.com
21:mathematical finance
323:Econometric Reviews
168:. New York: Wiley.
102:mass-transportation
734:Notices of the AMS
299:Management Science
64:Leonid Kantorovich
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685:978-3-540-71050-9
647:(10): 2057–2063.
444:(11): 3462–3485.
121:Awards and honors
115:fat-tailed models
68:Andrey Kolmogorov
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808:Rachev Ratio
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91:Rachev Ratio
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33:econometrics
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843:1951 births
620:(1): 3–18.
542:31 December
488:10419/45631
367:Mittnik, S.
343:Mittnik, S.
319:Mittnik, S.
223:Mittnik, S.
822:Categories
497:References
25:derivative
788:15 August
762:13 August
740:13 August
710:13 August
564:. Reuters
521:15 August
229:. Wiley.
95:tail risk
27:pricing,
597:16 March
461:(2011).
291:Articles
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225:(2000).
83:Gaussian
784:. Wiley
568:May 25,
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570:2009
544:2017
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