Publications

2022

1. Y. Hu, W.B. Lindquist, S.T. Rachev, A. Shirvani, F.J. Fabozzi (2022) Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis, Journal of Economic Dynamics and Control 137, 104345.
2. T. Mahanama, A. Shirvani, A. and S. Rachev (2022) A Natural Disasters Index. Environmental Economics and Policy Studies, 137, 104345,
   https://doi.org/10.1007/s10018-021-00321-x
3. S.V. Stoyanov, S.T. Rachev, A Shirvani, F.J. Fabozzi. (2022) Option pricing in an investment risk-return setting. Applied Economics, 1-14. DOI:
   10.1080/00036846.2021.1980490.
4. (NR) D. Lauria, W.B. Lindquist, S. Mittnik, S.T. Rachev (2022) ESG-Valued Portfolio Optimization and Dynamic Asset Pricing, arXiv preprint arXiv:2206.02854

2021

1. W.B. Lindquist, S.T. Rachev (2021) Taylor’s law and heavy-tailed distributions, Proceedings of the National Academy of Sciences 118 (50), e2118893118
2. A. Shirvani, F. J. Fabozzi, B.Racheva-Iotova, S. T. Rachev (2021) Option Pricing with Greed and Fear Factor: The Rational Finance Approach. Journal of Derivatives; DOI:
   10.3905/jod.2021.1.138
3. Liu, Y., Djurić, P. M., Kim, Y. S., Rachev, S. T., & Glimm, J. Systemic Risk Modeling with Lévy Copulas. Journal of Risk and Financial Management, 14(6), 251.
4. Mahanama, T., Shirvani, A., & Rachev, S. (2021). Global Index on Financial Losses due to Crime in the United States. J. Risk Financial Manag. 2021, 14(7), 315;
   https://doi.org/10.3390/jrfm14070315
5. Hu, Y., Lindquist, W. B., & Rachev, S. T. (2021). Portfolio Optimization Constrained by Performance Attribution. Journal of Risk and Financial Management, 14(5), 201.
   10. A. Shirvani, S.V. Stoyanov, F.J. Fabozzi, and S.T. Rachev. Equity premium puzzle or faulty economic modelling? Rev Quant Finan Acc. DOI: 10.1007/s11156-020-00928.
6. (NR) Davide Lauria, Svetlozar T. Rachev, A. Alexandre Trindade. Global and Tail Dependence: A Differential Geometry Approach. arXiv:2106.05865
7. (NR) Hu, D., Sayit, H., & Rachev, S. T. (2021). Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\’evy Motions. arXiv preprint arXiv:2109.02872.
8. (NR) Shirvani, A., Mittnik, S., Lindquist, W. B., & Rachev, S. T. (2021). Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. arXiv preprint arXiv:2109.15051.

2020

1. Y Hu, A Shirvani, WB Lindquist, FJ Fabozzi, ST Rachev. Option Pricing Incorporating Factor Dynamics in Complete Markets. Journal of Risk and Financial Management, 13 (12), 321. DOI: https://doi.org/10.3390/jrfm13120321.
2. A. Shirvani, S. T. Rachev & F. J. Fabozzi. Multiple subordinated modeling of asset returns: Implications for option pricing, Econometric Reviews, 40:3, 290-319. DOI: 10.1080/07474938.2020.1781404
3. A. Shirvani, Y. Hu, S.T. Rachev, and F.J. Fabozzi. “Option pricing with mixed Lévy subordinated price process and implied probability weighting function.” The Journal of Derivatives. DOI: 10.3905/jod.2020.1.102.
4. A. Shirvani, S.V. Stoyanov, S.T. Rachev, F.J. Fabozzi. A New Set of Financial Instruments, Front. Appl. Math, DOI: 10.3389/fams.2020.606812.
5. Y. Hu, A. Shirvani, S. Stoyanov, Y.S. Kim, F.J. Fabozzi, and S.T. Rachev. Option Pricing in Markets with Informed Traders, International Journal of Theoretical and Applied Finance. DOI: 10.1142/S0219024920500375

2019

1. Stoyanov, S. V., Rachev, S. T., Mittnik S., and Fabozzi, F., “Pricing Derivative in Hermite Market”, International Journal of Theoretical and Applied Finance. Vol. 22, No. 6 (2019) World Scientific Publishing Company DOI: 10.1142/S0219024919500316
2. YS Kim, S Stoyanov, S Rachev, FJ Fabozzi, “Enhancing binomial and trinomial equity option pricing models”, Finance Research Letters 28, 185-190.
3. (NR) A. Shirvani, S.T. Rachev, F.J. Fabozzi “A rational finance explanation of the stock predictability puzzle”, arXiv preprint arXiv:1911.02194.

2018

1. ML Bianchi, ST Rachev, FJ Fabozzi, “Calibrating the Italian smile with time-varying volatility and heavy-tailed models”, Computational Economics 51 (3), 339-378.
2. YS Kim, SV Stoyanov, ST Rachev, FJ Fabozzi, “Another Look at the Ho–Lee Bond Option Pricing Model”, The Journal of Derivatives 25 (4), 48-53.

2017

1. Y.S. Kim, S. Stoyanov, S. Rachev, F. Fabozzi, “Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion”, Economics Letters, Volume 145, August 2016, pp 225-229.
2. F. Fabozzi, M.L. Bianchi, S. Rachev, “Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models”, Computational Economics, June 2016.
3. ML Bianchi, ST Rachev, FJ Fabozzi,” Tempered stable Ornstein–Uhlenbeck processes: A practical view”. Communications in Statistics-Simulation and Computation 46 (1), 423-445.
4. G Torri, R Giacometti, S Rachev, “Option Pricing in Non-Gaussian Ornstein-Uhlenbeck Markets”, 11th Financial Management of Firms and Financial Institutions, 1-10.

2016

1. Y.S. Kim, S. Stoyanov, S. Rachev, F. Fabozzi, “Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion”, Economics Letters, Volume 145, August 2016, pp 225-229.
2. F. Fabozzi, M.L. Bianchi, S. Rachev, “Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models”, Computational Economics, June 2016.

2015

1. Vincenzo Russo, Rosella Giacometti, Svetlozar T. Rachev, and Frank J. Fabozzi, “A Three-Factor Model For Mortality Modeling,” North American Actuarial Journal, Vol. 19, Issue 2 (2015), pp.129-141.

2014

1. Barret Pengyuan Shao, Svetlozar Rachev, Yu Mu, “Applied Mean-ETL Optimization in Using Earnings Forecasts”, International Journal of Forecasting, January 2015, pp 561-567.
2. Xiaoping Zhou, Dmitry Malioutov, Frank J. Fabozzi and Svetlozar Rachev, “Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance”, Quantitative Finance, Volume 14, Number 9, September 2014, pp 1555-1571.
3. Michael Stein and Svetlozar Rachev, “Dilution of Sector Exposures: When Does Unintended Indexing Happen”, Journal of Investment Management, Volume 12, No. 3, Third Quarter 2014, pp 59-72.
4. Mahmoud Bekri, Young Shin (Aaron) Kim, and Svetlozar Rachev, “Tempered Stable Models for Islamic Finance Asset Management”, International Journal of Islamic and Middle Eastern Finance and Management, 2014 Volume 7, No. 1 pp 37-60.

2013

1. Barret Pengyuan Shao, Svetlozar Rachev, “Mean-ETL Optimization of A Global Portfolio”, The Journal of Investing, Winter 2013, Volume 22, No. 4 pp 115-119.
2. Michael Stein, Svetlozar T. Rachev, “Performance Identification for REITs by Using Draw Measures”, International Real Estate Review, 2013, Vol. 16, No. 3, pp 230-251.
3. J.B. Guerard Jr, S.T. Rachev, B.P.Shao, “Efficient Global Portfolios: Big Data and Investment Universes”, IBM Journal of Research and Development, September/October 2013, Vol. 57, No. 5 Paper 11.
4. Krasimir Milanov, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, and Svetlozar
   T. Rachev, “A Binomial-Tree Model for Convertible Bond Pricing,” the Journal of Fixed Income, Winter 2013, Vol. 22, No. 3: pp 79-94.
5. Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi, “Computational Aspects of Risk Estimation in Volatile Markets: Survey,” Studies in Nonlinear Dynamics and Econometrics, Vol. 17, Issue 1 (February 2013), pp. 103-120.
6. Sven Klingler, Young Shim Kim, Svetlozar T. Rachev, and Frank J. Fabozzi, “Option Pricing with Time-Changed Lévy Processes” Applied Financial Economics Vol 23, No. 15 (August 2013), pp. 1231-1238.
7. Stoyan V. Stoyanov, Svetlozar Rachev, Frank J. Fabozzi, “CVaR Sensitivity with respect to tail thickness”, Journal of Banking & Finance, (2013) pp 977-988.

2012

1. Hassan Fallaghoul, S.M. Hashemiparast, Young Shin Kim, Svetlozar T. Rachev, Frank J. Fabozzi, “Approximation of Stable and Geometric Stable Distribution”, Journal of Statistical and Econometric Methods, November 30, 2012, Vol. 1, No. 3: pp 97-123.
2. Stoyan V. Stoyanov, Svetlozar T. Rachev and Frank J. Fabozzi, “Sensitivity of Portfolio VaR and CVaR to Portfolio Return Characteristics,” Annals of Operations Research, April 27, 2012, Online 10.1007/s10479-012-1142-1.
   http://www.springerlink.com/content/3q6321h620645758/
3. Naoshi Tsuchida, Xiaoping Zhou, Svetlozar Rachev, “Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors,” The Journal of Investing, Spring 2012, pp 1-11.
   http://www.iijournals.com/doi/abs/10.3905/joi.2012.21.1.014
4. Young Shin Kim, Frank J. Fabozzi, Zuodong Lin and Svetlozar T. Rachev, “Option Pricing and Hedging under a Stochastic Volatility Levy Process Model.” Review of Derivatives Research Vo.l. 15 No. 1 (2012), pp. 81-87.
   http://www.springerlink.com/content/0257w70720g66024/
5. Stoyan V. Stoyanov, Svetlozar T. Rachev, and Frank J. Fabozzi, “Metrization of Stochastic Dominance Rules.” International Journal of Theoretical and Applied Finance, Vol. 15, Issue 2 (March 2012), pp. 1250017-1-1250017-22.
   http://www.worldscientific.com/doi/abs/10.1142/S0219024912500173
6. Matthias Scherer, Svetlozar T. Rachev, Young Shin Kim, and Frank J. Fabozzi, “Approximation of Skewed and Leptokurtic Return Distributions.” Applied Financial Economics Vol. 22, Issue 16 (2012), pp. 1305-1316. http://www.tandfonline.com/doi/abs/10.1080/09603107.2012.659342

2011

1. Jan S. HennekeMitov, Svetlozar T. Rachev. Frank J. Fabozzi, and Metodi Nikolov, “MCMC- Based Estimation of Markov Switching ARMA-GARCH Models,” Applied Economics, Vol. 43, Issue 3, 2011, pp. 259 – 271.
   http://www.tandfonline.com/doi/abs/10.1080/00036840802552379
2. Stoyan Stoyanov, Svetlozar T. Rachev, Boryana Racheva-Yotova, and Frank J. Fabozzi, “Fat-Tailed Models for Risk Estimation,” Journal of Portfolio Management Winter 2011, Vol. 37, No. 2: pp. 107-117
   http://www.iijournals.com/doi/abs/10.3905/jpm.2011.37.2.107
3. (NR) Möller, C., Rachev, S. T., Kim, Y., Fabozzi, F., Innovation Processes in Logically Constrained Stationary Time Series, in Martin T. Wells and Ashis SenGupta (eds), Festschrift volume for Prof. S. Rao Jammalamadaka, Springer. Advances in Directional and Linear Statistics 2011, pages 173-188, DOI: 10.1007
   http://www.springerlink.com/content/k67k81r003837502/
4. Vygantas Paulauskas, Svetlozar Rachev, and Frank J. Fabozzi, “Comment on ‘Weak Convergence to a Matrix Stochastic Integral with Stable Processes’.” Econometric Theory Cambridge University Press, 2011, Volume 27, Issue 04, pages 907-911 http://journals.cambridge.org/action/displayFulltext?type=1&fid=8325136&jid=ECT &volumeId=27&issueId=04&aid=8325134
5. Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Ivan Mitov, and Frank
   J. Fabozzi, “Time Series Analysis for Financial Market Meltdowns.” Journal of Banking & Finance, 2011, vol. 35, issue 8, pages 1879-1891 http://www.sciencedirect.com/science/article/pii/S0378426610004541
6. Edward Sun, Omid Rezania, Svetlozar T. Rachev, and Frank J. Fabozzi, “Analysis of the Intraday Effects of Economic Releases on the Currency Market.” Journal of International Money and Finance Volume 30, Issue 4, June 2011, Pages 692-707
   http://www.sciencedirect.com/science/article/pii/S0261560611000441
7. Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar T. Rachev, and Frank J. Fabozzi, “Calibrating Affine Stochastic Mortality Models Using Term Assurance Premiums” Insurance: Mathematics and Economics Volume 49, Issue 1, July 2011, Pages
   53- 60 http://www.sciencedirect.com/science/article/pii/S0167668711000229
8. Michael Stein and Svetlozar T. Rachev, “Flow-Induced Redemption Costs in Funds of Funds”, Journal of Derivatives Use, Trading, and Regulation, Volume 17, Issue 3, 2011, Pages 253-265
   http://www.palgrave-journals.com/jdhf/journal/v17/n3/abs/jdhf201112a.html
9. Michael Stein and Svetlozar T. Rachev, “Style Neutral Funds of Funds: Portfolio Diversification or Deadweight?”, Journal of Asset Management, Volume 11, Issue 3, 2011, Pages 417-434
   http://www.palgrave-journals.com/jam/journal/v11/n6/abs/jam20105a.html
10. Christoph Moller, Svetlozar Rachev, and Frank J. Fabozzi, “Balancing Energy Strategies in Electricity Portfolio Management.” Volume 33, Issue 1, January 2011, Pages 2-11 http://www.sciencedirect.com/science/article/pii/S0140988310000605

2010

1. Mitov, I. K., Rachev, S. T., Fabozzi, F. J., Approximation of aggregate and extremal losses within the very heavy tails framework, in Quantitative Finance, 2010, 1-10 http://www.tandfonline.com/doi/abs/10.1080/14697681003718414
2. Bianchi M. L., Rachev, S.T., Kim, Y.S., Fabozzi F.J., Tempered infinitely divisible distributions and Processes, in Theory of Probability and Its Applications (TVP), TVP (Russia), 2010, v. 55, No.1, 59-86 Society for Industrial and Applied Mathematics (SIAM), TPA, 2011, v.55, No 1.
   http://epubs.siam.org/doi/abs/10.1137/S0040585X97984632
3. Kim, Y., Rachev, S. T., Leondardo Bianchi, M., Fabozzi, F., Tempered stable and tempered infinitely divisible GARCH models, in Journal of Banking and Finance, 34, 2096-2109, 2010
   http://www.sciencedirect.com/science/article/pii/S0378426610000245
4. Grebeck M.J., Rachev S.T., Fabozzi, F.J. Stochastic Programming and Stable Distributions in Asset Liability Management, in The Journal of Risk, 29-47, 12/2, 2009/2010
   http://www.risk.net/journal-of-risk/technical-paper/2161067/stochastic-programming-stable-distributions-asset-liability-management
   20. Stein, M., Rachev, S., T., Stoyanov, S., Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach, in Investment Management and Financial Innovations, 7/2, 36-48, 2010
   http://130.203.133.150/viewdoc/summary?doi=10.1.1.180.4555
5. Stoyanov, S, Racheva-Iotova, B., Rachev, S. T., Fabozzi, F., Stochastic models for risk estimation in volatile markets: a survey, in Annals of Operations Research: 176/1, 293 -309, 2010
   http://www.springerlink.com/content/007721l626171804/
   22. Serbinenko, A., Rachev, S. T., A new hybrid model for intraday spot foreign exchange trading accounting for heavy tails and volatility clustering, in Journal of Computational Analysis and Applications, 12/1-B, 337-360, 2010
   http://statistik.ets.kit.edu/download/technical_reports/2_new_fx_model.pdf
6. Kabasinkas, A., Rachev, S. T., Sakalauskas, L., Sun, W., Belovas, I., Stable Mixture model with dependent stats for financial returns series exhibiting short histories and periods of strong passivity, in Journal of Computational Analysis and Applications (JoCAAA), 12/1-B, 268-292, 2010
7. Caviezel V., Ortobelli,S., Rachev S., Semiparametric estimators for heavy-tailed distributions, in Journal of Concrete and Applicable Mathematics, 8/1, 150-164, 2010 http://statistik.ets.kit.edu/download/COR_AMAT_2008.pdf
8. Biglova, A., Ortobelli S., Rachev, S.T., Stoyanov, S., A note on the impact of nonlinear reward and risk measures, in Journal of Applied Functional Analysis, 5/2, 194-202, 2010
   http://www.ams.sunysb.edu/~rachev/publication/nonlinear_ratios.pdf
9. Ortobelli, S., Biglova, A., Rachev, S.T., Stoyanov, S., Portfolio Selection Based on a Simulated Copula, in Journal of Applied Functional Analysis, 5/2, 177-193, 2010 https://statistik.ets.kit.edu/download/JAFA-simulated_copula.pdf
10. Kanamura, T., Rachev, S.T., Fabozzi, F., A profit model for spread trading with application to energy futures, in The Journal of Trading, 5/1, 48-62, 2010
    http://www.iijournals.com/doi/abs/10.3905/jot.2010.5.1.048
11. Rachev, S. T., Racheva-Iotova, B., Stoyanov, S., Capturing fat tails, in Risk (Risk Management, Derivatives and Regulation), May 2010, 72-77, 2010
12. Chernobai, A., Menn, C., Rachev, S. T., Trueck, S., Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study, in Model Risk: Identification, Measurement and Management, Editors: Daniel Roesch and Harald Schedule, Risk Books ,359-419, London, 2010
    http://www.ams.sunysb.edu/~rachev/publication/OpRisk_missingdata-20091101.pdf
13. Sergio Ortobelli , Svetlozar Rachev, and Frank J. Fabozzi, “Risk Management and Dynamic Portfolio Selection with Stable Paretian Distributions.” Journal of Empirical Finance, Vol 17, Issue 2 (March 2010), pp. 195-211.
    http://www.sciencedirect.com/science/article/pii/S0927539809000656
14. Young Shin Kim, Svetlozar T. Rachev, Michele Bianchi, and Frank J. Fabozzi, “Computing VaR and AVaR in Infinitely Divisible Distributions.” Probability and Mathematical Statistics Vol. 30 (2010), pp. 223-245 (Prior to publication, listed on SSRN’s Top Ten Download list for ESSM Specific Distributions (Topic))
    http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1400965
    32. A.Biglova, S.Ortobelli, S. Rachev, F. Fabozzi, .Modeling, Estimation and Optimization of Equity Portfolios with Heavy-tailed Distributions. in Optimizing Optimization, The Next Generation of Optimization – Applications and Theory, Editor Stephen Satchel, Academic Press/Elsevier, 2010, 117-141 https://statistik.ets.kit.edu/download/paperOptimizationbook-Submitted%281%29.pdf
15. Ortobelli S., Rachev S. and Fabozzi F. Risk management and dynamic portfolio selection with stable Paretian distributions, in Journal of Empirical Finance, 2010, Vol. 17, Issue 2, pages 195-211
    http://www.sciencedirect.com/science/article/pii/S0927539809000656
16. Mitov. I. Rachev, S. T., Fabozzi, F., Approximation of Aggregate and Extremal Losses Within the Very Heavy Tails Framework, in Quantitative Finance, 2010, Vol. 10, pages1153-1162
    http://www.tandfonline.com/doi/abs/10.1080/14697681003718414
17. Rachev, S. T., Racheva-Iotova, B., Stoyanov, S., Fabozzi, F., Risk Management and Portfolio Optimization for Volatile Markets, in The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, John Guerard, Jr. (editor) Springer. 2010, Part II, pages 493-508.
    http://www.springerlink.com/content/v126080q46u82855/
18. Stoyanov, S., Racheva-Iotova, B., Rachev, S. T., Fabozzi, F., Stochastic models for risk estimation in volatile markets: A survey, in Annals of Operations Research 2010, Vol. 176, No.1.
    http://www.springerlink.com/content/007721l626171804/
19. Sereda, E., Bronshtein, E., Rachev, S. T., Fabozzi, F., Sun, W., Stoyanov, S., Distortion Risk Measures in Portfolio Optimization in The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, John Guerard, Jr. (editor) Springer. DOI 10.1007, ch 17, pages 493 – 508.
    http://www.springerlink.com/content/x6627vl731282338/
20. Ortobelli S., Rachev S. T., Fabozzi F., Risk Management and Dynamic Portfolio Selection with Stable Paretian Distributions, in Special issue of the Journal of Empirical Finance in honor of Benoit Mandelbrot. March 2010, Vol. 17, Issue 2, Pages 195-211.
    http://www.sciencedirect.com/science/article/pii/S0927539809000656
21. Michele Leonardo, B., Rachev,S. T., Kim, Y., Fabozzi, F., Tempered Stable Distributions and Processes in Finance: Numerical Analysis, in Mathematical Methods for Actuarial Sciences and Finance, Springer. 2010, 33-42, DOI: 10.1007
    http://www.springerlink.com/content/p6gll77127061w27/
22. Michael Stein, Svetlozar T. Rachev and Stoyan V. Stoyanov , “Broad Market Risk for Sector Funds of Funds: A Copula-Based Dependence Approach”, Journal of Investment Management and Financial Innovation, Volume7, Issue 2,2010, Pages 36-44 http://businessperspectives.org/journals_free/imfi/2010/imfi_en_2010_02_Stein.pdf

2009

1. Kring, S., Rachev, S.T., Hochstotter, M., Fabozzi, F. Michele Bianchi, Multi-Tail Elliptical Distributions. in The Econometrics Journal, 12/2, 272-291, 2009
2. Menn, C., Rachev, S.T., Smoothly truncated stable distributions, GARCH-models, and option pricing, Mathematical Methods in Operational Research, 69, 411-438, 2009
3. Stoyanov, S. V., Rachev, S. T., Fabozzi, F.: Construction of probability metrics on classes of investors, in Economics Letters ,103,45-48, 2009
4. Sun, W., Rachev, S. T., Fabozzi F., Kalev, P., A new approach to modeling co-movement if international equity markets: evidence of unconditional copula-based simulation of tail dependence, in Empirical Economics, Vol. 36, 201-229, 2009.
5. Wang, D., Rachev, S., Fabozzi, F., Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models, in Journal of Empirical Finance, Vol. 16, 201-215, 2009
6. Wang, D., Rachev, S., Fabozzi, F., Pricing Tranches of a CDO and SDS Index: Recent Advances and Future Research, in Journal of Empirical Finance, Vol 16 263-286, 2009
7. Serbinenko, A., Rachev, S. T., Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility, in Investment Management and Financial Innovations, 6/4, 35-45, 2009
8. Fraenkle, J., Rachev, S. T.: Review: Algorithmic Trading, in Investment Management and Financial Innovations, Vol. 6, issue 1, 7-20, 2009
9. Stein, M., Rachev, S. T., Stoyanov, S., R-ratio optimization with heterogeneous assets using genetic algorithm, in Investment Management and Financial Innovations, 6/ 2, 117-134, 2009,
10. Papenbrock, J., Rachev, S. T., Hoechstoetter, M., Fabozzi, F., Price calibration and hedging of correlation dependent credit derivatives using structural model with alpha-stable distributions, in Applied Financial Economics, 19/17, 1401-1416 2009
11. Sun W., Rachev, S. T., Fabozzi, F., A new approach for using Levy processes for determining high-frequency value-at-risk predictions, in European Financial Management, 15/2, 340-361, 2009.
12. Kabasinskas, A., Rachev, S. T., Sakalauskas, L., Sun, W., Belovas, I., Alpha-stable paradigm in financial markets, in Journal of Computational Analysis and Applications, 11/4,
    641- 668, 2009.
13. Biglova, A., Rachev, S. T., Stoyanov, S., Ortobelli, S., Analysis of the Factors Influencing Momentum Profits, in Journal of Computational Analysis and Applications, Vol.4, No1, 2009,81-106
14. Rachev, S.T., Stein, M., Sun, W., Copula Concepts in Financial Markets, in Portfolio Institutionell, 4, 12 – 15, 2009
15. Wang, D., Rachev, S., Fabozzi, F., Pricing Tranches of a CDO and SDS Index: Recent Advances and Future Research in: G. Bol et al. (eds.), Risk Assessment: Decisions in Banking and Finance, Springer/Physika, 263-286, 2009
16. Kim, Y.S., Rachev, S.T., Bianchi, M.-L., Fabozzi, F., A new tempered stable distribution and its application to finance, in: G. Bol et al. (eds.), Risk Assessment: Decisions in Banking and Finance, Springer/Physika, 77-110, 2009
17. Kring, S., Rachev, S., Höchstötter, M., Fabozzi, F., Estimation of Alpha-Stable Sub-Gaussian Distributions for Assets Returns, in: G. Bol et al. (eds.), Risk Assessment: Decisions in Banking and Finance, Springer/Physika, 111-152, 2009
18. Rachev, S., Martin, B., Racheva-Iotova, B., Stoyanov, S., Stable ETL optimal portfolios and extreme risk management, in: G. Bol et al. (eds.), Risk Assessment: Decisions in Banking and Finance, Springer/Physika, 235-262, 2009
19. Georgi K. Mitov, Svetlozar T. Rachev, Young Shin Kim, and Frank J. Fabozzi. “Barrier Option Pricing by Branching Processes.” International Journal of Theoretical and Applied Finance, Vol. 12, No. 7 (2009), pp. 1055-1073.
20. Mitov G. Rachev, S. T., Kim, Y., Fabozzi, F., Barrier Option Pricing by Branching Processes, in International Journal of Theoretical & Applied Finance (IJTAF) 2009, Vol. 12, No. 7, pp. 1055-1073.
21. Kring, S. Rachev, S. T., Hoechstoetter, M., Fabozzi, G., Leonardo Bianchi, M., Multi-Tail Generalized Elliptical Distributions for Asset Returns in The Econometrics Journal, July 2009, Vol. 12, Issue 2, pp. 272-291
22. Sun, W., Rachev, S. T., Fabozzi, F.,A New Approach of Using L´evy Processes for Determining High-Frequency Value-at-Risk Predictions, in European Financial Management Journal dedicated to the EFM-EDHEC Risk and Asset Management Symposium, April 2008, EDHEC Business School, Paris, France 2009, Vol. 15, no. 2, pp.
    340- 361.
23. Papenbrock, J., Rachev, S. T., Hoechstoetter, M., Fabozzi, F., Price Calibration and Hedging of Correlation Dependent Credit Derivatives using a Structural Model with alpha-Stable Distributions, in Applied Financial Economics. 2009, 19, pages 1401 – 1416.
24. Michael Stein, Svetlozar T. Rachev and Stoyan V. Stoyanov , “R-Ratio Optimization for Heterogeneous Assets using Genetic Algorithm”, Journal of Investment Management and Financial Innovation, Volume 6, Issue 2, 2009, Pages 117-134