# Svetlozar T. Rachev

According to our database

Collaborative distances :

^{1}, Svetlozar T. Rachev authored at least 16 papers between 1990 and 2017.Collaborative distances :

## Timeline

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## Bibliography

2017

Tempered stable Ornstein- Uhlenbeck processes: A practical view.

Communications in Statistics - Simulation and Computation, 2017

2013

Efficient global portfolios: Big data and investment universes.

IBM Journal of Research and Development, 2013

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics.

Annals OR, 2013

An Application of Data Mining in Consumer Credit.

Proceedings of the Advances in Data Mining, 13th Industrial Conference, 2013

2012

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.

Annals OR, 2012

2010

Stochastic models for risk estimation in volatile markets: a survey.

Annals OR, 2010

2009

Introduction to special issue: studies in mathematical and empirical finance.

Math. Meth. of OR, 2009

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

Math. Meth. of OR, 2009

2008

Delta hedging strategies comparison.

European Journal of Operational Research, 2008

2006

Calibrated FFT-based density approximations for alpha.

Computational Statistics & Data Analysis, 2006

2005

An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks.

Proceedings of the Data Analysis and Decision Support, 2005

A GARCH option pricing model with alpha-stable innovations.

European Journal of Operational Research, 2005

2004

Time-Scale Transformations: Effects on VaR Models.

Proceedings of the Computational Science, 2004

2002

Quantitative Stability in Stochastic Programming: The Method of Probability Metrics.

Math. Oper. Res., 2002

2001

New Tendencies in Rating SMEs with Respect to Basel II.

Informatica, Lith. Acad. Sci., 2001

1990

Volume functions of historical texts and the amplitude correlation principle.

Computers and the Humanities, 1990