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Svetlozar T. Rachev

Svetlozar T. Rachev

D-Index & Metrics

Economics and Finance

D-Index
63
Citations
13180
World Ranking
711
National Ranking
446

Mathematics

D-Index
65
Citations
15019
World Ranking
393
National Ranking
209

Overview

Svetlozar T. Rachev is affiliated with Texas Tech University in the United States. Their research spans the broad field of Economics, Econometrics and Finance, with a particular focus on several subfields including Finance, Economics and Econometrics, Management Science and Operations Research, Ocean Engineering, and Statistics and Probability.

Their research covers a range of main topics that reflect a strong emphasis on financial applications and market dynamics. These topics include:

  • Stochastic processes and financial applications
  • Financial Markets and Investment Strategies
  • Complex Systems and Time Series Analysis
  • Housing Market and Economics
  • Risk and Portfolio Optimization
  • Financial Risk and Volatility Modeling
  • Market Dynamics and Volatility

Their recent scholarly contributions include publications in various academic venues. Selected papers are:

  • "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," 2022, Journal of Economic Dynamics and Control
  • "Taylor's law and heavy-tailed distributions," 2021, Proceedings of the National Academy of Sciences
  • "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," 2021, The Journal of Derivatives
  • "Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading," 2024, arXiv (Cornell University)
  • "Option pricing in an investment risk-return setting," 2021, Applied Economics

Frequent publication venues include:

  • arXiv (Cornell University)
  • SSRN Electronic Journal
  • Journal of Economic Dynamics and Control
  • Proceedings of the National Academy of Sciences
  • The Journal of Derivatives

The scientist has collaborated extensively with other researchers. Some frequent coauthors are:

  • Abootaleb Shirvani
  • W. Brent Lindquist
  • Frank J. Fabozzi
  • Yuan Hu

In addition to journal publications, Svetlozar T. Rachev has contributed to book literature, including a publication with Springer Nature titled Advanced REIT Portfolio Optimization (2022).

Best Publications

  • Stable Paretian Models in Finance

    Svetlozar T. Rachev;Stefan Mittnik

  • Mass transportation problems

    Svetlozar T Rachev;Ludger Rüschendorf

  • Handbook of heavy tailed distributions in finance

    S. T. Rachev

  • Modeling asset returns with alternative stable distributions

    Stefan Mittnik;Svetlozar T. Rachev

  • Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing

    Svetlozar T. Rachev;Christian Menn;Frank J. Fabozzi

  • The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications

    S. T. Rachev

  • Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis

    Anna S. Chernobai;Svetlozar T. Rachev;Frank J. Fabozzi

  • Different Approaches to Risk Estimation in Portfolio Theory

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

  • The basics of financial econometrics : tools, concepts, and asset management applications

    Frank J. Fabozzi;Sergio M. Focardi;Svetlozar T. Rachev;Bala G. Arshanapalli

  • Financial Econometrics: From Basics to Advanced Modeling Techniques

    S. T. Rachev

  • Spot and derivative pricing in the EEX power market

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

  • The Methods of Distances in the Theory of Probability and Statistics

    Svetlozar T. Rachev;Lev B. Klebanov;Stoyan V. Stoyanov;Frank Fabozzi

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

    Svetlozar T. Rachev;Werner Römisch

  • A characterization of random variables with minimum L 2 -distance

    L. Rüschendorf;S. T. Rachev

  • Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures

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

  • Maximum likelihood estimation of stable Paretian models

    S. Mittnik;S. T. Rachev;T. Doganoglu;D. Chenyao

  • Momentum strategies based on reward-risk stock selection criteria

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

  • DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY

    Svetlozar Rachev;Sergio Ortobelli;Stoyan Stoyanov;Frank J. Fabozzi

  • Optimal Financial Portfolios

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

  • Financial market models with Lévy processes and time-varying volatility.

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

  • Simple Linear Regression

    Frank J. Fabozzi;Sergio M. Focardi;Svetlozar T. Rachev;Bala G. Arshanapalli

Frequent Co-Authors

Frank J. Fabozzi
Frank J. Fabozzi Johns Hopkins University
Stefan Mittnik
Stefan Mittnik Ludwig-Maximilians-Universität München
Ludger Rüschendorf
Ludger Rüschendorf University of Freiburg
Gennady Samorodnitsky
Gennady Samorodnitsky Cornell University
Eduardo S. Schwartz
Eduardo S. Schwartz Simon Fraser University
Rafał Weron
Rafał Weron Wrocław University of Science and Technology
George A. Anastassiou
George A. Anastassiou University of Memphis
Aleksander Weron
Aleksander Weron Wrocław University of Science and Technology
Eckhard Platen
Eckhard Platen University of Technology Sydney
Werner Römisch
Werner Römisch Humboldt-Universität zu Berlin

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