R. R. Rachev : rechercher sur Z-Library

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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

Année:

2010

Langue:

english

Fichier:

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

Année:

2018

Langue:

english

Fichier:

PDF, 356 KB

english, 2018

3

The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications

Journal:

Theory of Probability & Its Applications

Année:

1985

Langue:

english

Fichier:

PDF, 2.73 MB

english, 1985

4

Stable distributions in the Black–Litterman approach to asset allocation

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

Journal:

Quantitative Finance

Année:

2007

Langue:

english

Fichier:

PDF, 168 KB

english, 2007

5

Delta hedging strategies comparison

Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev

Journal:

European Journal of Operational Research

Année:

2008

Langue:

english

Fichier:

PDF, 241 KB

english, 2008

6

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

Année:

2008

Langue:

english

Fichier:

PDF, 586 KB

english, 2008

7

Different Approaches to Risk Estimation in Portfolio Theory

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

Journal:

The Journal of Portfolio Management

Année:

2004

Langue:

english

Fichier:

PDF, 1.45 MB

english, 2004

8

Combining political and military considerations in assessing military conflicts*

Journal:

The Journal of Slavic Military Studies

Année:

1996

Langue:

english

Fichier:

PDF, 488 KB

english, 1996

9

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.

Année:

2014

Langue:

english

Fichier:

PDF, 295 KB

english, 2014

10

Option pricing for a logstable asset price model

S.R Hurst, E Platen, S.T Rachev

Journal:

Mathematical and Computer Modelling

Année:

1999

Langue:

english

Fichier:

PDF, 1.02 MB

english, 1999

11

Fat-Tailed Models for Risk Estimation

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

Journal:

The Journal of Portfolio Management

Année:

2011

Langue:

english

Fichier:

PDF, 1.26 MB

english, 2011

12

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

Année:

2008

Langue:

english

Fichier:

PDF, 195 KB

english, 2008

13

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

Année:

2010

Langue:

english

Fichier:

PDF, 539 KB

english, 2010

14

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

Année:

2011

Langue:

english

Fichier:

PDF, 398 KB

english, 2011

15

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

Année:

2008

Langue:

english

Fichier:

PDF, 599 KB

english, 2008

16

MCMC-based estimation of Markov Switching ARMA–GARCH models

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

Journal:

Applied Economics

Année:

2011

Langue:

english

Fichier:

PDF, 260 KB

english, 2011

17

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.

Année:

2012

Langue:

english

Fichier:

PDF, 117 KB

english, 2012

18

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.

Année:

2012

Langue:

english

Fichier:

PDF, 166 KB

english, 2012

19

Integral and asymptotic representations of geo-stable densities

L.B. Klebanov, J.A. Melamed, S. Mittnik, S.T. Rachev

Journal:

Applied Mathematics Letters

Année:

1996

Langue:

english

Fichier:

PDF, 179 KB

english, 1996

20

Stable distributions and the term structure of interest rates

S.A. Dostoglou, S.T. Rachev

Journal:

Mathematical and Computer Modelling

Année:

1999

Langue:

english

Fichier:

PDF, 296 KB

english, 1999

21

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

Christian Menn, Svetlozar T. Rachev

Journal:

Mathematical Methods of Operations Research

Année:

2009

Langue:

english

Fichier:

PDF, 374 KB

english, 2009

22

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

Année:

2009

Langue:

english

Fichier:

PDF, 581 KB

english, 2009

23

Subordinated Market Index Models: A Comparison

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

Journal:

Asia-Pacific Financial Markets

Année:

1997

Langue:

english

Fichier:

PDF, 240 KB

english, 1997

24

The problem of stability in queueing theory

Journal:

Queueing Systems

Année:

1989

Langue:

english

Fichier:

PDF, 1.34 MB

english, 1989

25

Momentum strategies based on reward–risk stock selection criteria

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

Journal:

Journal of Banking & Finance

Année:

2007

Langue:

english

Fichier:

PDF, 221 KB

english, 2007

26

Spot and derivative pricing in the EEX power market

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

Journal:

Journal of Banking & Finance

Année:

2007

Langue:

english

Fichier:

PDF, 257 KB

english, 2007

27

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

Année:

2008

Langue:

english

Fichier:

PDF, 299 KB

english, 2008

28

CVaR sensitivity with respect to tail thickness

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

Journal:

Journal of Banking & Finance

Année:

2013

Langue:

english

Fichier:

PDF, 496 KB

english, 2013

29

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

Année:

2013

Langue:

english

Fichier:

PDF, 220 KB

english, 2013

30

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

Année:

2013

Langue:

english

Fichier:

PDF, 1.08 MB

english, 2013

31

Option pricing with time-changed Lévy processes

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

Journal:

Applied Financial Economics

Année:

2013

Langue:

english

Fichier:

PDF, 249 KB

english, 2013

32

Tempered Infinitely Divisible Distributions and Processes

Bianchi, M. L., Rachev, S. T., Kim, Y. S., Fabozzi, F. J.

Journal:

Theory of Probability & Its Applications

Année:

2011

Langue:

english

Fichier:

PDF, 244 KB

english, 2011

33

METRIZATION OF STOCHASTIC DOMINANCE RULES

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

Journal:

International Journal of Theoretical and Applied Finance

Année:

2012

Langue:

english

Fichier:

PDF, 276 KB

english, 2012

34

Optimal Financial Portfolios

Stoyanov, S. V., Rachev, S. T., Fabozzi, F. J.

Journal:

Applied Mathematical Finance

Année:

2007

Langue:

english

Fichier:

PDF, 662 KB

english, 2007

35

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

Année:

2007

Langue:

english

Fichier:

PDF, 920 KB

english, 2007

36

A Phenomenological Model for Mechanically Mediated Growth, Remodeling, Damage, and Plasticity of Gel-Derived Tissue Engineered Blood Vessels

Raykin, Julia, Rachev, Alexander I., Gleason, Rudolph L.

Journal:

Journal of Biomechanical Engineering

Année:

2009

Langue:

english

Fichier:

PDF, 825 KB

english, 2009

37

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.

Année:

2014

Langue:

english

Fichier:

PDF, 310 KB

english, 2014

38

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

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

Année:

2011

Langue:

english

Fichier:

PDF, 439 KB

english, 2011

39

Approximate Independence of Distributions on Spheres and Their Stability Properties

Rachev, S. T., Ruschendorf, L.

Journal:

The Annals of Probability

Année:

1991

Fichier:

PDF, 1.57 MB

1991

40

Merging with the path not taken: Wilhelm Wundt’s work as a precursor to the embedded-processes approach to memory, attention, and consciousness

Cowan, Nelson, Rachev, Nikolay R.

Journal:

Consciousness and Cognition

Année:

2018

Langue:

english

Fichier:

PDF, 430 KB

english, 2018

41

[IEEE 2019 16th Conference on Electrical Machines, Drives and Power Systems (ELMA) - Varna, Bulgaria (2019.6.6-2019.6.8)] 2019 16th Conference on Electrical Machines, Drives and Power Systems (ELMA) - An Approach to Solving Ramp Start Issues in Sensorless Field Oriented Control with Sliding Mode Observer for Permanent Magnet Synchronous Motors

Rachev, Emil, Petrov, Vladislav

Année:

2019

Langue:

english

Fichier:

PDF, 556 KB

english, 2019

42

PMU55 UNDERSTANDING STAKEHOLDER PERSPECTIVES ON DRUG AFFORDABILITY: EVALUATING USE AND APPLICATION IN VALUE-BASED CARE

Uyei, J., Johnson, C.E., Campbell, C., Singh, R., Rachev, B., Kowal, S.

Journal:

Value in Health

Année:

2020

Fichier:

PDF, 379 KB

2020

43

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

Année:

2020

Fichier:

PDF, 1.13 MB

2020

44

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

Année:

2020

Fichier:

PDF, 1.84 MB

2020

45

Analysis of the effect of aging on the strain and stress distribution in the arterial wall

A. Rachev, S.E. Greenwald, T.P.C. Kane, J.E. Moore Jnr., S. Drenska, J.J. Meister

Journal:

Journal of Biomechanics

Année:

1994

Langue:

english

Fichier:

PDF, 143 KB

english, 1994

46

Quantifying risk in the electricity business: A RAROC-based approach

Marcel Prokopczuk, Svetlozar T. Rachev, Gero Schindlmayr, Stefan Trück

Journal:

Energy Economics

Année:

2007

Langue:

english

Fichier:

PDF, 723 KB

english, 2007

47

Moment problems and their applications to the stability of queueing models

George Anastassiou, Svetlozar T. Rachev

Journal:

Computers & Mathematics with Applications

Année:

1992

Langue:

english

Fichier:

PDF, 846 KB

english, 1992

48

Calibrated FFT-based density approximations for -stable distributions

Christian Menn, Svetlozar T. Rachev

Journal:

Computational Statistics & Data Analysis

Année:

2006

Langue:

english

Fichier:

PDF, 261 KB

english, 2006

49

Balancing energy strategies in electricity portfolio management

Christoph Möller, Svetlozar T. Rachev, Frank J. Fabozzi

Journal:

Energy Economics

Année:

2011

Langue:

english

Fichier:

PDF, 1.03 MB

english, 2011

50

Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis

L.B. Klebanov, T.J. Kozubowski, S.T. Rachev, V.E. Volkovich

Journal:

Statistics & Probability Letters

Année:

2001

Langue:

english

Fichier:

PDF, 100 KB

english, 2001