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Svetlozar Rachev

Affiliations: 
University of California, Santa Barbara, Santa Barbara, CA, United States 
Area:
Finance, Statistics
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"Svetlozar Rachev"
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Parents

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Vladimir Zolotarev grad student 1979 Lomonosov Moscow State University
Leonid Vitaliyevich Kantorovich grad student 1986 Steklov Mathematical Institute
Andrei N. Kolmogorov grad student 1986 Steklov Mathematical Institute
Yuri Prokhorov grad student 1986 Steklov Mathematical Institute

Children

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Seonkoo Han grad student 2000 UC Santa Barbara
Irina N. Khindanova grad student 2000 UC Santa Barbara
Yesim Tokat grad student 2002 UC Santa Barbara
Dylan M. D'Souza grad student 2003 UC Santa Barbara
Jorge L. Hernandez grad student 2003 UC Santa Barbara
Anna S. Tchernobai grad student 2006 UC Santa Barbara
Biliana Bagasheva grad student 2007 UC Santa Barbara
Dezhong Wang grad student 2007 UC Santa Barbara

Collaborators

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Publications

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STOYANOV SV, RACHEV ST, MITTNIK S, et al. (2019) PRICING DERIVATIVES IN HERMITE MARKETS International Journal of Theoretical and Applied Finance. 22: 1950031
Kim YS, Stoyanov S, Rachev S, et al. (2019) Enhancing binomial and trinomial equity option pricing models Finance Research Letters. 28: 185-190
Kim Y, Stoyanov S, Rachev S, et al. (2016) Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion Economics Letters. 145: 225-229
Carchano O, Kim YS, Sun EW, et al. (2015) A quasi-maximum likelihood estimation strategy for value-at-risk forecasting: Application to equity index futures markets Handbook of Financial Econometrics and Statistics. 1325-1340
Chernobai A, Rachev ST, Fabozzi FJ. (2015) Composite goodness-of-fit tests for left-truncated loss samples Handbook of Financial Econometrics and Statistics. 575-596
Beck A, Aaron Kim YS, Rachev S, et al. (2013) Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data Studies in Nonlinear Dynamics and Econometrics. 17: 167-177
Fabozzi FJ, Stoyanov SV, Rachev ST. (2013) Computational aspects of portfolio risk estimation in volatile markets: A survey Studies in Nonlinear Dynamics and Econometrics. 17: 103-120
Guerard JB, Rachev ST, Shao BP. (2013) Efficient global portfolios: Big data and investment universes Ibm Journal of Research and Development. 57
Stoyanov SV, Rachev ST, Fabozzi FJ. (2013) CVaR sensitivity with respect to tail thickness Journal of Banking and Finance. 37: 977-988
Stoyanov SV, Rachev ST, Fabozzi FJ. (2013) Sensitivity of portfolio VaR and CVaR to portfolio return characteristics Annals of Operations Research. 205: 169-187
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