Publications
Awards & Honors
8Fellow, Institute of Mathematical Statistics
Elected Member, International Statistical Institute
Foreign Member, Russian Academy of Natural Sciences
Honorary Doctor of Science, St. Petersburg Technical University
Senior Humboldt Professor Award, Barney E. Rushing, Jr. Faculty
Distinguished Research Award, STEM, Texas Tech University
Excellence in Innovation Award, Texas Tech University
2026 SIAM Graduate Professor of the Year, Texas Tech University
Published Broadcast Interviews
2Zari Rachev Factbox — Tools to Predict Market Shocks
Reuters, May 24, 2009
Factbox: tools to predict market shocks↗Assessing the risk of a cataclysm↗
Risikomanager Journal — New Approaches for Portfolio Optimization: Parting with the Bell Curve
Risikomanager Journal
Interview with Prof. Dr. Svetlozar Rachev, Chair of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe (TH), and Prof. Stefan Mittnik (Ph.D.), Chair of Financial Econometrics at the University of Munich.
Patents
5Rachev et al. System and Method for Generating Random Vectors for Estimating Portfolio Risk
United States Patent, U.S. Patent and Trademark Office. Patent No. 8,170,941, May 1, 2012
Rachev et al. System and Method for Providing Reallocation and Reverse Optimization of a Financial Portfolio Using a Parametric Leptokurtic Distribution
United States Patent, U.S. Patent and Trademark Office. Patent No. 7,890,409, February 15, 2011
Rachev et al. System and Method for Providing Optimization of a Financial Portfolio Using a Parametric Leptokurtic Distribution
United States Patent. Serial No. 10/888,414, filed July 9, 2004. Docket No. 031/0424.US.UTL, May 2010
Rachev et al. Risk Management System and Method for Determining Risk Characteristics Explaining Heavy Tails of Risk Factors
U.S. Patent and Trademark Office. Patent No. 7,778,897, August 17, 2010
Rachev et al. System and Method for the Valuation of Derivatives
United States Patent. Serial No. 10/888,414, filed July 9, 2004. Patent No. 7,630,931, date of patent December 8, 2009
Mentored Postdoctoral Students
3
Dr. Young Shin KimKarlsruhe Institute of Technology, School of Business and Economics
Dr. Jiho ParkTexas Tech University, Dept. of Mathematics & Statistics
Dr. Davide LauriaTexas Tech University, Dept. of Mathematics & Statistics
Mentored Ph.D. Students
65
Prachi ChaturvediUCSB, Departments of Statistics and Applied Probability
Bessy AthanasopoulosUCSB, Departments of Statistics and Applied Probability
Bertrand GamrowskiEcole Polytechnique, Paris
Thomas KozubowskiUCSB, Departments of Statistics and Applied Probability
Anna PanorskaUCSB, Departments of Statistics and Applied Probability
Benny ChengUCSB, Departments of Statistics and Applied Probability
Chufang WuUCSB, Departments of Statistics and Applied Probability
Vera HaynatzkaUCSB, Departments of Statistics and Applied Probability
Seonkoo HanUCSB, Departments of Statistics and Applied Probability
Norbert SchumacherUCSB, Departments of Statistics and Applied Probability
Irina KhindanovaUCSB, Departments of Economics
Yesim TokatUCSB, Departments of Economics
Biliana BagashevaUCSB, Departments of Statistics and Applied Probability
Anna ChernobaiUCSB, Departments of Statistics and Applied Probability
Alex VollertUniversity of Karlsruhe, School of Economics and Business Engineering
Christian PeterUniversity of Karlsruhe, School of Economics and Business Engineering
Lorena VinuezaUniversity of Karlsruhe, School of Economics and Business Engineering
Stefan TrueckUniversity of Karlsruhe, School of Economics and Business Engineering
Christian MennUniversity of Karlsruhe, School of Economics and Business Engineering
Stefan WoernerUniversity of Karlsruhe, School of Economics and Business Engineering
Dylan D'SouzaUCSB, Departments of Economics
Stoyan StoyanovUniversity of Karlsruhe, School of Economics and Business Engineering
Wei SunUniversity of Karlsruhe, School of Economics and Business Engineering
Sebastian KringUniversity of Karlsruhe, School of Economics and Business Engineering
Markus HoechstoetterUniversity of Karlsruhe, School of Economics and Business Engineering
Michael GrebeckUCSB, Departments of Statistics and Applied Probability
Jorge HernandezUCSB, Departments of Statistics and Applied Probability
Carlo MarinelliColumbia University, Department of Statistics
Teo JašićKarlsruhe, School of Economics and Business Engineering
Dezhong WangUCSB, Departments of Statistics and Applied Probability
Sergio FocardiKarlsruhe, School of Economics and Business Engineering
Anna SerbinenkoKarlsruhe, School of Economics and Business Engineering
Christoph MoellerKarlsruhe, School of Economics and Business Engineering
Jan FraenkleKarlsruhe, School of Economics and Business Engineering
Christian DiekmannKarlsruhe, School of Economics and Business Engineering
Michael SteinKarlsruhe, School of Economics and Business Engineering
Christian Scherrer-MontbrunKarlsruhe, School of Economics and Business Engineering
Thomas MeinlKarlsruhe, School of Economics and Business Engineering
Matthias SchererKarlsruhe, School of Economics and Business Engineering
Michele Leonardo BianchiKarlsruhe, School of Economics and Business Engineering
Omid RezaniaKarlsruhe, School of Economics and Business Engineering
Sinan AktanKarlsruhe, School of Economics and Business Engineering
Alexander BeckKarlsruhe, School of Economics and Business Engineering
Drik KrauseKarlsruhe, School of Economics and Business Engineering
Abdolreza NazemiKarlsruhe, School of Economics and Business Engineering
Jochen PapenbrockKarlsruhe, School of Economics and Business Engineering
Michael PieperKarlsruhe, School of Economics and Business Engineering
Xiaochu ZhangStony Brook University, Dept. of Applied Math & Statistics
Xiaoping ZhouStony Brook University, Dept. of Applied Math & Statistics
Tetsuo KurosakiStony Brook University, Dept. of Applied Math & Statistics
Barret ShaoStony Brook University, Dept. of Applied Math & Statistics
Naoshi TsuchidaStony Brook University, Dept. of Applied Math & Statistics
Angela TsaoStony Brook University, Dept. of Applied Math & Statistics
Yikang ChaiStony Brook University, Dept. of Applied Math & Statistics
Tianyu LuStony Brook University, Dept. of Applied Math & Statistics
Yuzhong ZhangStony Brook University, Dept. of Applied Math & Statistics
Hua MoStony Brook University, Dept. of Applied Math & Statistics
Xiang ShiStony Brook University, Dept. of Applied Math & Statistics
Po-Keng ChengStony Brook University, Dept. of Applied Math & Statistics
Fangfei DongStony Brook University, Dept. of Applied Math & Statistics
Yuan HuTexas Tech University, Dept. of Mathematics & Statistics
Ali Muqadas JaffriAssistant Professor in the College of Business at North Dakota State University
Abootaleb ShirvaniAssistant Professor at Kean University
Bhathiya DivelgamaTexas Tech University, Dept. of Mathematics & Statistics
Jagdish GnawaliTexas Tech University, Dept. of Mathematics & Statistics
Mentored Master’s Degree Students
5
Isaac McCarthyMaster's Degree, Exam
Thisari MahanamaMaster's Degree, Exam
Blessing OmotadeMaster's Degree, Exam
Peter YegonMaster's Degree, Supervised Report
Olustosin DaramolaMaster's Degree, Supervised Report
Current Teaching at Texas Tech University
19
Fall 2026
MATH 4000-D02Selected Topics: Actuarial Mathematics for Life Contingent Risks
MATH 5099-002Individual Study: Advanced Generative Modeling for Financial Time Series
MATH 5099-003Individual Study: Scenario-Based Portfolio Optimization and Risk Management
MATH 5399-D01Advanced Problems: Mathematical Finance
MATH 6353-D01Financial Derivatives & Stochastic Calculus
MATH 7000-012Research
MATH 7000-013Research: Greed Fear Under Model and Ambiguity Risk — Robust Option Valuation
MATH 7000-014Research: Liquidity-Aware Credit Equity Rotation with Schedule-Feasible Execution
MATH 7000-020Research: Dynamic Asset Pricing under Rough Volatility, Jumps, and Ambiguity
MATH 7000-023Research: Greed Fear Efficient Frontiers
MATH 7000-027Research: Analytics for a Portfolio of Currency ETFs
MATH 7000-030Research: Explainable Artificial Intelligence for Intelligent Financial Decision Support
MATH 8000-007Doctor's Dissertation
STAT 7000-009Research: Technical Analysis and Market Efficiency under a Rational-Finance Lens
STAT 7000-013Research: Artificial Intelligence in Portfolio Management and Behavioral Finance
STAT 7000-014Research: Portfolio Optimization under Distributional Ambiguity and Tail Risk
STAT 7000-016Research: Machine Learning, Rational Finance, and Artificial Intelligence
Spring 2027
MATH 4000-D02Selected Topics: Actuarial Mathematics for Life Contingent Risks (Spring)
MATH 6351-D01Quantitative Finance
Publications: Books & Monographs
20Risk Management for Cryptocurrency Portfolios
Advanced Tools for Risk Management
Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications
Optimal Portfolio Management in Highly Volatile Markets
The Methods of Distances in the Theory of Probability and Statistics
Financial Models with Levy Processes and Volatility Clustering
A Probability Metrics Approach to Financial Risk Measures
Probability and Statistics for Finance
Robust and Non-Robust Models in Statistics
Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices
Advanced Stochastic Models, Risk Assessment and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
Bayesian Methods in Finance
Financial Econometrics: From Basics to Advanced Modeling Techniques
Operational Risk: A Guide to Basel II Capital Requirements, Models and Analysis
Ill-Posed Problems in Probability and Stability of Random Sums
Fat-Tailed and Skewed Asset Return Distributions: Implications for Risk Management, Portfolio Selection and Option Pricing
Stable Paretian Models in Finance
Mass Transportation Problems, Vol. II: Applications
Mass Transportation Problems, Vol. I: Theory
Probability Metrics and the Stability of Stochastic Models
Publications: Handbooks & Special Volumes
16Mathematical and Empirical Finance
A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets
Composite Goodness-of-Fit Tests for Left Truncated Loss Sample
Special Issue on Studies in Mathematical and Empirical Finance
Risk Assessment: Decisions in Banking and Finance
Handbook of Computational and Numerical Methods in Finance
Credit Risk: Measurement, Evaluations and Management
Handbook of Heavy Tailed Distributions in Finance
Mathematical Models in Market and Credit Risk
Stable Non-Gaussian Models in Finance and Econometrics
Distributional Modeling in Finance
Athens Conference on Applied Probability and Time Series Analysis
Approximation, Probability and Related Fields
Probability Metrics and the Stability of Stochastic Models (handbook edition)
Mathematical Methods for Construction of Queuing Models
Quantitative Criteria for Convergence of Measures
Publications: Papers
428A Sovereign Environmental Wealth Index: A Financial Framework for Measuring and Managing Sustainability Risk
Featured Papers in Finance and Society Wellbeing
Long-Range Dependence in Financial Markets: Empirical Evidence and Generative Modeling Challenges
An Axiomatic Risk-Reward Framework for Sustainable Investing
Option Pricing under Stochastic Volatility and Jumps: A PIDE Framework with Empirical Evidence
Downside-Sensitive Portfolio Optimization and Risk Overlays for Real Estate Securities
Professors Joe Gani and Chris Heyde and Their Contributions to Finance and Risk Management
Memory, Roughness, and Information Persistence in Financial Markets: A Structural Approach to Volatility Forecasting
Featured Papers in Finance and Society Wellbeing — In Honor of Professors Joe Gani and Chris Heyde
Pre-Trade Uncertainty and the Subordinated Uncertainty Index
Constructing Insurable Risk Portfolios: by Edward W. Frees, Chapman & Hall/CRC, 2025, ISBN 9781032745046
Tail-Aware Portfolio Optimization for Listed Real-Estate Securities Under Downside Risk
Asset Pricing in the Presence of Market Friction Noise
Google Trends-Augmented XGBoost for Market Volatility Prediction: A Machine Learning Early Warning System
Evaluating Factor Contributions for Sold Homes
Equity-Imposed Tilts in Affine Term Structure Models: Evidence from Option-Implied Asymmetries
Operating Imperfect AI: Reliability Drift and Human Congestion
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
Performance and Risk Analytics of Asian Exchange-Traded Funds
Machine Learning in Finance: Trends, Developments and Business Practices in the Financial Sector
Data Science and Risk Analytics in Finance and Insurance
New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance
When Equilibrium Exists but Cannot Be Implemented
Option-Implied Probabilities and Bond Valuation (2026)
Iterated Poisson Processes for Catastrophic Risk Modeling in Ruin Theory
Misspecified Fear or Model Choice? Evidence from Financial Markets
Beyond the Bid–Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
A Unified Financial Index for Geopolitical and Environmental Risks: Construction, Risk Management, and Derivative Applications
Bridging Asset Pricing and Market Microstructure: Option Valuation in Roll's Framework
Sustainability-Valued Discrete Option Pricing in Complete Markets
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight
Environmental, Social and Governance-Valued Portfolio Optimization and Dynamic Asset Pricing
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
Alternatives to Classical Option Pricing
Editorial for the Special Issue of Journal of Risk and Financial Management: Featured Papers in Mathematics and Finance
Option-Implied Probabilities and Bond Valuation
The Financial Market of Indices of Socioeconomic Well-Being
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Bachelier's Market Model for ESG Asset Pricing
An Empirical Implementation of the Shadow Riskless Rate
Alternatives to Classical Option Pricing (2024)
Hedonic Models Incorporating Environmental, Social, and Governance Factors for Time Series of Average Annual Home Prices
A Rational Finance Explanation of the Stock Predictability Puzzle
Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes
Portfolio Analysis with Mean-CVaR and Mean-CVaR-Skewness Criteria Based on Mean–Variance Mixture Models
Option Pricing Using a Skew Random Walk Binary Tree
Sustainability-Valued Discrete Option Pricing in Complete Markets (2024)
Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
The Implied Views of Bond Traders on the Spot Equity Market
Exploring Dynamic Asset Pricing within Bachelier's Market Model
Heavy-Tailed Probability Distributions: Some Examples of Their Appearance
Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry
Portfolio Analysis with Mean-CVaR and Mean-CVaR-Skewness Criteria Based on Mean–Variance Mixture Models (2023)
Generalized Hyperbolic Distributions
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors
Market Complete Option Valuation Using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
A Natural Disasters Index
Option Pricing in an Investment Risk-Return Setting
Taylor's Law and Heavy-Tailed Distributions
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
Systemic Risk Modeling with Lévy Copulas
Global Index on Financial Losses Due to Crime in the United States
Portfolio Optimization Constrained by Performance Attribution
Equity Premium Puzzle or Faulty Economic Modelling?
Option Pricing Incorporating Factor Dynamics in Complete Markets
Multiple Subordinated Modeling of Asset Returns: Implications for Option Pricing
Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function
A New Set of Financial Instruments
Option Pricing in Markets with Informed Traders
Pricing Derivatives in Hermite Markets
Enhancing Binomial and Trinomial Equity Option Pricing Models
Another Look at the Ho–Lee Bond Option Pricing Model
Tempered Stable Ornstein–Uhlenbeck Processes: A Practical View
Option Pricing in Non-Gaussian Ornstein-Uhlenbeck Markets
Multi-Purpose Binomial Model: Fitting All Moments to the Underlying Geometric Brownian Motion
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
A Three-Factor Model for Mortality Modeling
Applied Mean-ETL Optimization in Using Earnings Forecasts
Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance
Dilution of Sector Exposures: When Does Unintended Indexing Happen
Tempered Stable Models for Islamic Finance Asset Management
Mean-ETL Optimization of a Global Portfolio
Performance Identification for REITs by Using Draw Measures
Efficient Global Portfolios: Big Data and Investment Universes
A Binomial-Tree Model for Convertible Bond Pricing
Computational Aspects of Risk Estimation in Volatile Markets: A Survey
Option Pricing with Time-Changed Lévy Processes
CVaR Sensitivity with Respect to Tail Thickness
Approximation of Stable and Geometric Stable Distributions
Sensitivity of Portfolio VaR and CVaR to Portfolio Return Characteristics
Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors
Option Pricing and Hedging under a Stochastic Volatility Levy Process Model
Metrization of Stochastic Dominance Rules
Approximation of Skewed and Leptokurtic Return Distributions
MCMC-Based Estimation of Markov Switching ARMA-GARCH Models
Fat-Tailed Models for Risk Estimation
Comment on "Weak Convergence to a Matrix Stochastic Integral with Stable Processes"
Time Series Analysis for Financial Market Meltdowns
Analysis of the Intraday Effects of Economic Releases on the Currency Market
Calibrating Affine Stochastic Mortality Models Using Term Assurance Premiums
Flow-Induced Redemption Costs in Funds of Funds
Style Neutral Funds of Funds: Portfolio Diversification or Deadweight?
Balancing Energy Strategies in Electricity Portfolio Management
Approximation of Aggregate and Extremal Losses within the Very Heavy Tails Framework
Tempered Infinitely Divisible Distributions and Processes
Tempered Stable and Tempered Infinitely Divisible GARCH Models
Stochastic Programming and Stable Distributions in Asset Liability Management
Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach
Stochastic Models for Risk Estimation in Volatile Markets: A Survey
A New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering
Stable Mixture Model with Dependent States for Financial Returns Series Exhibiting Short Histories and Periods of Strong Passivity
Semiparametric Estimators for Heavy-Tailed Distributions
A Note on the Impact of Nonlinear Reward and Risk Measures
Portfolio Selection Based on a Simulated Copula
A Profit Model for Spread Trading with Application to Energy Futures
Capturing Fat Tails
Risk Management and Dynamic Portfolio Selection with Stable Paretian Distributions
Computing VaR and AVaR in Infinitely Divisible Distributions
Modeling, Estimation and Optimization of Equity Portfolios with Heavy-Tailed Distributions
Risk Management and Portfolio Optimization for Volatile Markets
Distortion Risk Measures in Portfolio Optimization
Tempered Stable Distributions and Processes in Finance: Numerical Analysis
Multi-Tail Elliptical Distributions
Smoothly Truncated Stable Distributions, GARCH-Models, and Option Pricing
Construction of Probability Metrics on Classes of Investors
A New Approach to Modeling Co-Movement of International Equity Markets: Evidence of Unconditional Copula-Based Simulation of Tail Dependence
Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models
Pricing Tranches of a CDO and SDS Index: Recent Advances and Future Research
Intraday Spot Foreign Exchange Market: Analysis of Efficiency, Liquidity and Volatility
Review: Algorithmic Trading
R-Ratio Optimization with Heterogeneous Assets Using Genetic Algorithm
Copula Concepts in Financial Markets
A New Tempered Stable Distribution and Its Application to Finance
Estimation of Alpha-Stable Sub-Gaussian Distributions for Asset Returns
Pricing Tranches of a CDO and SDS Index: Recent Advances and Future Research (book chapter)
Stable ETL Optimal Portfolios and Extreme Risk Management
Price Calibration and Hedging of Correlation Dependent Credit Derivatives Using a Structural Model with Alpha-Stable Distributions
A New Approach for Using Levy Processes for Determining High-Frequency Value-at-Risk Predictions
Alpha-Stable Paradigm in Financial Markets
Analysis of the Factors Influencing Momentum Profits
Barrier Option Pricing by Branching Processes
Relative Deviation Metrics and the Problem of Strategy Replication
Desirable Properties of an Ideal Risk Measure in Portfolio Theory
Fractals in Trade Duration: Capturing Long-Range Dependence and Heavy Tailedness in Modelling Trade Duration
Financial Market Models with Levy Processes and Time-Varying Volatility
Multivariate Skewed Student's t Copula in Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Aggregation Issues in Operational Risk
Orderings and Risk Probability Functionals in Portfolio Theory
Funds of Hedge Funds: A Comparison among Different Portfolio Optimization Models Implementing the Zero-Investment Strategy
Modeling, Risk Assessment and Portfolio Optimization of Energy Futures
The World of Funds of Funds
A New Solution for Finance-Stable Family Models
Hedgefonds im Risikomanagement
Every Risk Also Holds an Opportunity
Long-Range Dependence, Fractal Processes, and Intraday Trading
Bayesian Applications to the Investment Management Process
A Modified Tempered Stable Distribution with Volatility Clustering
Realized Volatility and Correlation Estimators under Non-Gaussian Microstructure Noise
Risk Measures and Portfolio Selection
Black-Scholes Option Pricing Model
Basic Data Description for Financial Modeling and Analysis
Regression Analysis
Momentum Strategies Based on Reward–Risk Stock Selection Criteria
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
Heavy-Tailed Distributional Model for Operational Losses
A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall
Fractal or I.I.D.: Evidence of Long-Range Dependence and Heavy Tailedness in Modelling German Equity Market Volatility
Spot and Derivative Pricing in the EEX Power Market
Optimal Financial Portfolios
Asymptotic Distribution of Unbiased Linear Estimators in the Presence of Heavy-Tailed Regressors and Residuals
Stable Distributions in the Black-Litterman Approach to Asset Allocation
Quantifying Risk in the Electricity Business: A RAROC-Based Approach
Delta Hedging Strategies Comparison
Portfolio Performance Attribution
Calibrated FFT-Based Density Approximations of Stable Distributions
Construction of Levy Drivers for Financial Models
Risk Attributions and Portfolio Performance Measurements
Applying Robust Methods to Operational Risk Modelling
Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case
An Empirical Comparison among VaR Models and Time Rules with Elliptical and Stable Distributed Returns
VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns
Modelling Catastrophe Claims with Left-Truncated Severity Distribution
Eine empirische Untersuchung der Performance und Faktorenbestimmung von Hedgefonds
Performance-Analyse und Style Factors von Hedgefonds
Klassifikation und Anlagestrategien von Hedgefonds
Empirical Examination of Operational Loss Distributions
A GARCH Option Pricing Model with Alpha-Stable Innovations
The Proper Use of Risk Measures in Portfolio Theory
The Impact of Different Distributional Hypotheses on Returns in Asset Allocation
Stochastic Programming Methods in Asset-Liability Management
Distributional Analysis of the Stocks Comprising the DAX 30
Credit Portfolio Risk and PD Confidence Sets through the Business Cycle
Stable Modeling of Different European Power Markets
A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks
Different Approaches to Risk Estimation in Portfolio Theory
The Term Structure of Credit Spreads and Credit Default Swaps: An Empirical Investigation
Profitability of Momentum Strategies: Application of Novel Risk/Return Ratio Stock Selection Criteria
Basel II: Letzte Änderungen der Risikogewichtskurve im IRB-Ansatz
Time-Scale Transformations: Effects on VaR Models
Profitability of Momentum Strategies (conference paper)
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One
GARCH-Type Processes in Modeling Energy Prices
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One (Martin, Rachev, Schwartz)
The Problem of Optimal Asset Allocation with Stable Distributed Returns, Stochastic Processes and Functional Analysis
Stable Modelling of Operational Risk
Loss Given Default und Recovery Rates: Eine Einführung
Risk Management in Power Markets: Advanced Spot Price Models and Value-at-Risk Approaches
The Stable Non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach
Maximum Likelihood Estimators in Regression Models with Infinite Variance Innovations
Portfolio Choice Theory with Non-Gaussian Distributed Returns
Phi-Alpha Optimal Portfolios and Extreme Risk Management
Stable Non-Gaussian Models for Credit Risk Management
Value-at-Risk and Asset Allocation with Stable Return Distributions
Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails
Stable Non-Gaussian Credit Risk Model: The Cognity Approach
Stable Modeling of Market and Credit Value at Risk
A Comparison among Gaussian and Non-Gaussian Portfolio Choice Models
Approaches to Credit Risk in the New Basel Accord
Default Recovery Rates II: Impact Factors and Estimation of Average Recovery Rates
Stationarity of the Stable Power-GARCH Process
The Maximum of a Tree-Indexed Random Process, with Applications
Optimal Policies for Investment with Time-Varying Return Distributions
Portfolio Selection in the Presence of Heavy-Tailed Asset Returns
Default Recovery Rates I
Long Strange Segments in a Long-Range-Dependent Moving Average
Stable Modelling of Value at Risk
Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence
Statistical Inference in Regression with Heavy-Tailed Integrated Variables
The Distribution of Test Statistics for Outlier Detection in Heavy-Tailed Samples
Long Strange Segments of a Stochastic Process
Safety-First Analysis and Stable Paretian Approach to Portfolio Choice Theory
The GARCH-Stable Option Pricing Model
New Tendencies in Rating SMEs with Respect to Basel II
A Stable Co-Integrated VAR Model for Credit Returns with Time-Varying Volatility
Stable Modelling of Energy Risk
A Comparison among Gaussian and Non-Gaussian Portfolio Choice Models (IFAC)
Stable Models in Finance with Applications to Market Risk Management
Regulation and Risk Management in the Greek Financial Markets
Characterization of Distributions Symmetric with Respect to a Group of Transformations and Testing of Corresponding Statistical Hypotheses
A New Representation for the Characteristic Function of Strictly Geo-Stable Vectors
Local Pre-Limit Theorems and Their Applications to Finance
Portfolio Management with Stable Distributions
Value-at-Risk: Recent Advances (Handbook)
Asset and Liability Management: Recent Advances
Diagnosing and Treating the Fat Tails in Financial Returns Data
Value-at-Risk: Recent Advances
A Steady-State Model for the Spread of HIV among Drug Users
The Spread of AIDS among Interactive Transmission Groups
Computational Issues in Stable Financial Modelling
Performance Measurements: The Stable Paretian Approach
Metrization of Epi-Convergence: An Application to the Strong Consistency of M-Estimators
Mass Transportation Problems with Capacity Constraints
Testing for Structural Breaks in Time Series Regressions with Heavy-Tailed Disturbances
Option Pricing for a Logstable Asset Price Model
CED Model for Asset Returns and Fractal Market Hypothesis
Stable Distributions and the Term Structure of Interest Rates
Univariate Geometric Stable Laws
Multivariate Geometric Stable Laws
A Testable Version of the Pareto-Stable CAPM
Option Pricing for Stable and Infinitely Divisible Asset Returns
Test of Association between Multivariate Stable Vectors
Maximum Likelihood Estimation of Stable Paretian Models
Pre-Limit Theorems and Their Applications
Subordinated Stock Price Models: Heavy Tails and Long-Range Dependence in the High-Frequency Deutsche Bank Price Record
Stable Paretian Models in Econometrics: Part I
Stable Paretian Models in Econometrics: Part II
Chi-Square-Type Distributions for Heavy-Tailed Variates
A Tail Estimator for the Index of the Stable Paretian Distribution
Cointegrated Processes with Infinite Variance Innovations
Stable Paretian Modelling in Finance: Some Empirical and Theoretical Aspects
Time Series with Unit Roots and Infinite-Variance Disturbances
Unconditional and Conditional Distributional Models for the Nikkei Index
Subordinated Market Index Models: A Comparison
Rates of Convergence in the Multivariate Max-Stable Limit Theorem
Computer Tomography and Quantum Mechanics
A Stochastic Model of Carcinogenesis and Tumour Size and Detection
Conditionally Exponential Dependence Model for Asset Returns
Econometric Modelling in the Presence of Heavy-Tailed Innovations: A Survey of Some Recent Advances
Probability Metrics and Limit Theorems in AIDS Epidemiology
The Method of Moments in Tomography and in Quantum Mechanics
Rounding Proportions: Method of Rounding
Book Review: Stochastic Models of Tumor Latency and Their Biostatistical Applications
Distribution of Exchange Rates: A Geometric Summation-Stable Model
Tail Estimation of the Stable Index
Rates of Convergence in the Operator-Stable Limit Theorem
Integral and Asymptotic Representations of Geo-Stable Densities
A Distribution of Tumor Size at Detection and Its Limiting Form
Detecting Asymmetries in Observed Time Series and Disturbances
Queuing Models of Potentially Lethal Damage Repair in Irradiated Cells
Testing the Validity of Value-at-Risk Measures
On a Special Case of the Basic Problem in Diffraction Tomography
Mass Transportation Problems in Probability Theory
Modelling the Distribution of Highly Volatile Exchange-Rate Time Series
Discretization for Stochastic Differential Equations, Wasserstein Lp Metrics and Econometrical Models
Proximity of Probability Measures with Common Marginals in a Finite Number of Directions
Sums of a Random Number of Random Variables and Their Approximations with Accompanying Infinitely Divisible Laws
Multivariate Stable Futures Prices
Testing Multivariate Symmetry
Limit Laws for a Stochastic Process and Random Recursion Arising in Probabilistic Modelling
An Extension of the Kantorovich-Rubinstein Mass-Transshipment Problem
Stable GARCH Models for Financial Time Series
A Generalized Binomial Model and Option Formulae for Subordinated Stock-Price Processes
Probability Metrics and Recursive Algorithms
A Bivariate Limiting Distribution of Tumor Latency Time
The Methods of Moments in Computer Tomography
Financial Models Using Stable Laws
On the Cox, Ross and Rubinstein Model for Option Pricing
Geometric Stable Distributions in Banach Spaces
Propagation of Chaos and Contraction of Stochastic Mappings
Solution of Some Transportation Problems with Relaxed or Additional Constraints
Limit Theorems for Recursive Algorithms
Mass Transshipment Problems and Ideal Metrics
The Theory of Geometric Stable Distributions and Its Use in Modelling Financial Data
On the Rate of Convergence in the CLT with Respect to the Kantorovich Metric
Stable Models in Testable Asset Returns
On the Joint Estimation of Stable Law Parameters
Multivariate Probabilistic Wavelet Approximation
Dependence of Stable Random Variables
On the Optimal Control of Cancer Radiotherapy for Nonhomogeneous Cell Populations
Laplace-Weibull Mixtures for Modelling Price Changes
A Stochastic Model of Radiation Carcinogenesis: Latent Time Distributions and Their Properties
Rounding Proportions: Rules of Rounding
U-Statistics of Random-Size Samples and Limit Theorems for Systems of Markovian Particles with Non-Poisson Initial Distributions
Modelling Asset Returns with Alternative Stable Laws
Reply to Comments on "Modelling Asset Returns with Alternative Stable Laws"
Test on Association of Random Variables in the Domain of Attraction of a Multivariate Stable Law
Maximum Submatrix Traces for Positive Definite Matrices
Book Review: Stationary Stochastic Models, by A. Brandt, P. Franken and B. Lisek
Some Developments on the Theory of Rounding Proportions
On Constrained Transportation Problems
Stable Models for Asset Returns and Option Pricing
Rate of Convergence of Maxima of Random Arrays with Applications to Stock Returns
On the Parametric Estimation of Survival Functions
Option Pricing Formulae for Speculative Prices Modelled by Subordinated Stochastic Processes
Random Minima Scheme and Carcinogenic Risk Estimation
Uniformities for the Convergence in Law and in Probability
A New Ideal Metric with Applications to Multivariate Stable Limit Theorems
Rate of Convergence for Sums and Maxima and Doubly Ideal Metrics
On Lp-Minimal Metric
Geometric Stable Distributions and Laplace-Weibull Mixtures
Moment Problems and Their Applications to Characterization of Stochastic Processes, Queuing Theory and Rounding Problems
Kantorovich's Functional in the Space of Measures
Moment Problems and Their Applications to the Stability of Queuing Models
A Probabilistic Approach to Optimal Quality Usage
Theory of Probability Metrics and Recursive Algorithms
Rates of Convergence of Alpha-Stable Random Motions
Approximate Independence of Distributions on Spheres and Their Stability Properties
Max-Geometric Infinite Divisibility and Stability
Rates of Convergence in Multivariate Extreme Value Theory
The Stability of a Characterization of the Bivariate Marshall–Olkin Distribution
Recent Results in the Theory of Probability Metrics
Mass Transshipment Problems and Ideal Metrics (NFAO)
Alternative Multivariate Stable Distributions and Their Applications to Financial Modelling
Optimal Mass Transshipment Problems and Ideal Metrics
On the Rate of Convergence of Some Functionals of a Stochastic Process
A Counterexample to A.S. Constructions
Approximation of Sums by Compound Poisson Distributions with Respect to Stop-Loss Distances
A Transformation Property of Minimal Metrics
Duality Theorems for Kantorovich-Rubinstein and Wasserstein Functionals
Association of Stable Random Variables
Rates for CLT via New Ideal Metrics
Estimates of the Rate of Convergence for Max-Stable Processes
Classification Problem for Probability Metrics
Stable Distributions for Asset Returns
The Problem of Stability in Queuing Theory
Smoothing Metrics for Measures on Groups
Explicit Solutions of Moment Problems
Maximum Likelihood Estimation of the Bimodal Failure Rate for Censored and Tied Observations
Isotonic Maximum Likelihood Estimation of the Bimodal Failure Rate: A Computer-Based Study
Analysis of the Survival Rate after the Combined Radiation Effect: Synergism and Antagonism of the Effects of Two Factors
A Characterization of Random Variables with Minimum L2-Distance
Precise Upper Bounds for the Functionals Describing Tumour Treatment Efficiency
On the Products of a Random Number of Random Variables in Connection with a Problem from Mathematical Economics
New Duality Theorems for Marginal Problems with Some Applications in Stochastics
Approximation of a Random Queue by Means of Deterministic Queuing Models
Some Statistical Tests Associated with the Concept of Delta-Stochastic Ordering of Two Random Variables
Theory of Probability and Its Applications 33, 560–565
Theoretical Bounds for Tumor Treatment Efficiency
Bounds for Crude Survival Probabilities within the Competing Risks Framework and Statistical Application
Bounds for the Probabilistic Characteristics of Latent Failure Times within the Competing Risks Framework
On the Statistical Inference from Survival Experiments with Two Types of Failure
Some Problems of the Competing Risk Theory
The Stability of Stochastic Models
Theoretical Bounds for Radiation Therapy Efficiency
An Estimate of the Rate of Convergence to the Limit Distribution for the Minima Scheme for a Random Number of Identically Distributed Random Variables
The Problems of Stability in Insurance Mathematics
An Ideal Metric and the Rate of Convergence to a Self-Similar Process
Probability Metrics and Their Application to Problems of Stability of Stochastic Models
Estimates of the Deviation between the Exponential and New Classes of Bivariate Distributions
Metrization of the Vague Convergence
Characterization of Inverse Problems in Queuing and Their Stability
Lévy-Prokhorov Distance in a Space of Semi-Continuous Set Functions
Stability of Some Characterization Properties of the Exponential Distribution
Stability of the Service Process in a System of Type M/M/1
Ideal Quadratic Metrics
Characterization Problems in Queuing and Their Stability (VNIISI)
Characterization Problems in Queuing and Their Stability
Uniformity in Weak and Vague Convergences
Probability Metrics and Their Applications to the Problems of Stability for Stochastic Models
Maximum Likelihood Estimation of the Mortality Rate Function
Stability in the Mean of the Characterization of Queuing Models
Extreme Functionals in the Space of Probability Measures
Stability of the Lack of Memory Property of Multivariate Exponential Distributions in a Finite Number of Points
Rate of Convergence in Limit Theorems for the Max-Scheme
Bounds of Deviation from Exponentiality of Distribution Function Classes
On a Class of Functionals in a Space of Probability Measures
The Monge-Kantorovich Mass Transference Problem and Its Stochastic Applications
On a Problem of Dudley
On the Structure of the Average and Uniform Distances
Hausdorff Metric Construction in the Probability Measures Space
Minimality of Ideal Probabilistic Metrics
Minimal Metrics in the Real Valued Random Variables Space
Existence and Uniqueness of the Limit Gibbs' Distribution
Characterization of the Bivariate Exponential Distribution and the Marshall-Olkin Distribution and Stability
Compactness in the Probability Measures Space
Minimal Metrics
Minimal Metrics in the Random Variables Space
Metrics That Are Invariant Relative to Monotone Transformations
Stability of an Exponential Law Characterization
On Minimal Metrics in a Space of Real Valued Random Variables
Minimal Metrics in a Space of Random Vectors with Fixed One-Dimensional Marginal Distributions
Stochastic Inequalities for P-Functions
Hausdorff Metric Structures of the Space of Probability Measures
Maximum Likelihood Estimation of the U-Type Failure Rate Function
Theorems of Moments and Their Applications for NBU Distributions
Reliability of an Aging System
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Contact Dr. Svetlozar (Zari) Todorov Rachev
Phone Number
(806) 742-2566
Office
Texas Tech University
1108 Memorial Circle
Lubbock, TX 79409
1108 Memorial Circle
Lubbock, TX 79409
Office Hours
8 AM - 5 PM