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1

A Profit Model for Spread Trading with an Application to Energy Futures

Kanamura, Takashi, Rachev, Svetlozar T, Fabozzi, Frank J

Journal:

The Journal of Trading

Year:

2010

Language:

english

File:

PDF, 2.20 MB

english, 2010

2

Another Look at the Ho–Lee Bond Option Pricing Model

Kim, Young Shin, Stoyanov, Stoyan V., Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

The Journal of Derivatives

Year:

2018

Language:

english

File:

PDF, 356 KB

english, 2018

3

Stable distributions in the Black–Litterman approach to asset allocation

Giacometti, Rosella, Bertocchi, Marida, Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 168 KB

english, 2007

4

Delta hedging strategies comparison

Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 241 KB

english, 2008

5

Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

Wei Sun, Svetlozar Rachev, Frank J. Fabozzi, Petko S. Kalev

Journal:

Annals of Finance

Year:

2008

Language:

english

File:

PDF, 586 KB

english, 2008

6

The Basics of Financial Econometrics (Tools, Concepts, and Asset Management Applications) || Regression Models with Categorical Variables

Fabozzi, Frank J., Focardi, Sergio M., Rachev, Svetlozar T., Arshanapalli, Bala G.

Year:

2014

Language:

english

File:

PDF, 295 KB

english, 2014

7

Fat-Tailed Models for Risk Estimation

Stoyanov, Stoyan V, Rachev, Svetlozar T, Racheva-Yotova, Boryana, Fabozzi, Frank J

Journal:

The Journal of Portfolio Management

Year:

2011

Language:

english

File:

PDF, 1.26 MB

english, 2011

8

Tempered stable and tempered infinitely divisible GARCH models

Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 539 KB

english, 2010

9

Time series analysis for financial market meltdowns

Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Ivan Mitov, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2011

Language:

english

File:

PDF, 398 KB

english, 2011

10

Different Approaches to Risk Estimation in Portfolio Theory

Biglova, Almira, Ortobelli, Sergio, Rachev, Svetlozar T, Stoyanov, Stoyan

Journal:

The Journal of Portfolio Management

Year:

2004

Language:

english

File:

PDF, 1.45 MB

english, 2004

11

MCMC-based estimation of Markov Switching ARMA–GARCH models

Henneke, Jan S., Rachev, Svetlozar T., Fabozzi, Frank J., Nikolov, Metodi

Journal:

Applied Economics

Year:

2011

Language:

english

File:

PDF, 260 KB

english, 2011

12

Operational Risk (A Guide to Basel II Capital Requirements, Models, and Analysis) || Operational Risk is Not Just “Other” Risks

Chernobai, Anna S., Rachev, Svetlozar T., Fabozzi, Frank J.

Year:

2012

Language:

english

File:

PDF, 117 KB

english, 2012

13

Operational Risk (A Guide to Basel II Capital Requirements, Models, and Analysis) || Operational Risk: Definition, Classification, and its Place among Other Risks

Chernobai, Anna S., Rachev, Svetlozar T., Fabozzi, Frank J.

Year:

2012

Language:

english

File:

PDF, 166 KB

english, 2012

14

Smoothly truncated stable distributions, GARCH-models, and option pricing

Christian Menn, Svetlozar T. Rachev

Journal:

Mathematical Methods of Operations Research

Year:

2009

Language:

english

File:

PDF, 374 KB

english, 2009

15

Multi-tail generalized elliptical distributions for asset returns

Sebastian Kring, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi, Michele Leonardo Bianchi

Journal:

The Econometrics Journal

Year:

2009

Language:

english

File:

PDF, 581 KB

english, 2009

16

Subordinated Market Index Models: A Comparison

SIMON R. HURST, ECKHARD PLATEN, SVETLOZAR T. RACHEV

Journal:

Asia-Pacific Financial Markets

Year:

1997

Language:

english

File:

PDF, 240 KB

english, 1997

17

Relative deviation metrics and the problem of strategy replication

Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 195 KB

english, 2008

18

Momentum strategies based on reward–risk stock selection criteria

Svetlozar Rachev, Teo Jašić, Stoyan Stoyanov, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 221 KB

english, 2007

19

Spot and derivative pricing in the EEX power market

Michael Bierbrauer, Christian Menn, Svetlozar T. Rachev, Stefan Trück

Journal:

Journal of Banking & Finance

Year:

2007

Language:

english

File:

PDF, 257 KB

english, 2007

20

Financial market models with Lévy processes and time-varying volatility

Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 299 KB

english, 2008

21

CVaR sensitivity with respect to tail thickness

Stoyanov, Stoyan V., Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 496 KB

english, 2013

22

The Methods of Distances in the Theory of Probability and Statistics || Positive and Negative Definite Kernels and Their Properties

Rachev, Svetlozar T., Klebanov, Lev B., Stoyanov, Stoyan V., Fabozzi, Frank

Year:

2013

Language:

english

File:

PDF, 220 KB

english, 2013

23

DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY

RACHEV, SVETLOZAR, ORTOBELLI, SERGIO, STOYANOV, STOYAN, FABOZZI, FRANK J., BIGLOVA, ALMIRA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 599 KB

english, 2008

24

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Beck, Alexander, Kim, Young Shin Aaron, Rachev, Svetlozar, Feindt, Michael, Fabozzi, Frank

Journal:

Studies in Nonlinear Dynamics and Econometrics

Year:

2013

Language:

english

File:

PDF, 1.08 MB

english, 2013

25

Option pricing with time-changed Lévy processes

Klingler, Sven, Kim, Young Shin, Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Applied Financial Economics

Year:

2013

Language:

english

File:

PDF, 249 KB

english, 2013

26

METRIZATION OF STOCHASTIC DOMINANCE RULES

STOYANOV, STOYAN V., RACHEV, SVETLOZAR T., FABOZZI, FRANK J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 276 KB

english, 2012

27

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL

MARINELLI, CARLO, D'ADDONA, STEFANO, RACHEV, SVETLOZAR T.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2007

Language:

english

File:

PDF, 920 KB

english, 2007

28

The Basics of Financial Econometrics (Tools, Concepts, and Asset Management Applications) || Appendix C: Inferential Statistics

Fabozzi, Frank J., Focardi, Sergio M., Rachev, Svetlozar T., Arshanapalli, Bala G.

Year:

2014

Language:

english

File:

PDF, 310 KB

english, 2014

29

Financial Models with Lévy Processes and Volatility Clustering (Rachev/Financial) || Simulation

Rachev, Svetlozar T., Kim, Young Shin, Bianchi, Michele Leonardo, Fabozzi, Frank J.

Year:

2011

Language:

english

File:

PDF, 439 KB

english, 2011

30

Equity premium puzzle or faulty economic modelling?

Shirvani, Abootaleb, Stoyanov, Stoyan V., Fabozzi, Frank J., Rachev, Svetlozar T.

Journal:

Review of Quantitative Finance and Accounting

Year:

2020

File:

PDF, 1.13 MB

2020

31

Option Pricing Incorporating Factor Dynamics in Complete Markets

Hu, Yuan, Shirvani, Abootaleb, Lindquist, W. Brent, Fabozzi, Frank J., Rachev, Svetlozar T.

Journal:

Journal of Risk and Financial Management

Year:

2020

File:

PDF, 1.84 MB

2020

32

Moment problems and their applications to the stability of queueing models

George Anastassiou, Svetlozar T. Rachev

Journal:

Computers & Mathematics with Applications

Year:

1992

Language:

english

File:

PDF, 846 KB

english, 1992

33

Calibrated FFT-based density approximations for -stable distributions

Christian Menn, Svetlozar T. Rachev

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 261 KB

english, 2006

34

Long strange segments in a long-range-dependent moving average

Svetlozar T. Rachev, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 229 KB

english, 2001

35

Vorsicht Hochspannung!: Risikomanagement in Energiemärkten (Teil III) Fortgeschrittene Spotpreismodelle und VaR-Ansätze

Svetlozar (Zari) Rachev

Journal:

Year:

2004

Language:

german

File:

PDF, 1.01 MB

german, 2004

36

Calibrating affine stochastic mortality models using term assurance premiums

Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 251 KB

english, 2011

37

Erratum to “Long strange segments in a long-range-dependent moving average” [Stochastic Process. Appl. 93 (2001) 119–148]

Svetlozar T Rachev, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 31 KB

english, 2002

38

A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions

Wei Sun, Svetlozar Rachev, Frank J. Fabozzi

Journal:

European Financial Management

Year:

2009

Language:

english

File:

PDF, 152 KB

english, 2009

39

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

Stoyanov, Stoyan V., Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Annals of Operations Research

Year:

2013

Language:

english

File:

PDF, 780 KB

english, 2013

40

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 917 KB

english, 2012

41

A stochastic model of radiation carcinogenesis: latent time distributions and their properties

Lev B. Klebanov, Svetlozar T. Rachev, Andrej Yu. Yakovlev

Journal:

Mathematical Biosciences

Year:

1993

Language:

english

File:

PDF, 1.29 MB

english, 1993

42

The Methods of Distances in the Theory of Probability and Statistics || Negative Definite Kernels and Metrics: Recovering Measures from Potentials

Rachev, Svetlozar T., Klebanov, Lev B., Stoyanov, Stoyan V., Fabozzi, Frank

Year:

2013

Language:

english

File:

PDF, 333 KB

english, 2013

43

The Methods of Distances in the Theory of Probability and Statistics || Applications of Ideal Metrics for Sums of i.i.d. Random Variables to the Problems of Stability and Approximation in Risk Theory

Rachev, Svetlozar T., Klebanov, Lev B., Stoyanov, Stoyan V., Fabozzi, Frank

Year:

2013

Language:

english

File:

PDF, 203 KB

english, 2013

44

The Methods of Distances in the Theory of Probability and Statistics || Relations Between Minimal and Maximal Distances

Rachev, Svetlozar T., Klebanov, Lev B., Stoyanov, Stoyan V., Fabozzi, Frank

Year:

2013

Language:

english

File:

PDF, 239 KB

english, 2013

45

An extension of the kantorovich-rubinstein mass-transshipment problem

Hanin, Leonid, Rachev, Svetlozar T

Journal:

Numerical Functional Analysis and Optimization

Year:

1995

Language:

english

File:

PDF, 2.01 MB

english, 1995

46

Smooth monotone covariance for elliptical distributions and applications in finance

Zhou, Xiaoping, Malioutov, Dmitry, Fabozzi, Frank J., Rachev, Svetlozar T.

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 1012 KB

english, 2014

47

The Basics of Financial Econometrics (Tools, Concepts, and Asset Management Applications) || Appendix D: Fundamentals of Matrix Algebra

Fabozzi, Frank J., Focardi, Sergio M., Rachev, Svetlozar T., Arshanapalli, Bala G.

Year:

2014

Language:

english

File:

PDF, 244 KB

english, 2014

48

Approximation of aggregate and extremal losses within the very heavy tails framework

Mitov, Ivan K., Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 491 KB

english, 2010

49

MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION

MARINELLI, CARLO, D'ADDONA, STEFANO, RACHEV, SVETLOZAR T.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 353 KB

english, 2012

50

BARRIER OPTION PRICING BY BRANCHING PROCESSES

MITOV, GEORGI K., RACHEV, SVETLOZAR T., KIM, YOUNG SHIN, FABOZZI, FRANK J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2009

Language:

english

File:

PDF, 255 KB

english, 2009

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