Svetlozar T. Rachev's Books

Mass Transportation Problems

Applications

By: Svetlozar T. Rachev,Ludger Rüschendorf

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Mass Transportation Problems

Applications

By: Svetlozar T. Rachev,Ludger Rüschendorf

The first comprehensive account of the theory of mass transportation problems and its applications. In Volume I, the authors systematically develop the theory with emphasis on the Monge-Kantorovich mass transportation and the Kantorovich-Rubinstein mass transshipment problems. They then discuss a variety of different approaches towards solving these problems and exploit the rich interrelations to several mathematical sciences - from functional analysis to probability theory and mathematical economics. The second volume is devoted to applications of the above problems to topics in applied probability, theory of moments and distributions with given marginals, queuing theory, risk theory of probability metrics and its applications to various fields, among them general limit theorems for Gaussian and non-Gaussian limiting laws, stochastic differential equations and algorithms, and rounding problems. Useful to graduates and researchers in theoretical and applied probability, operations research, computer science, and mathematical economics, the prerequisites for this book are graduate level probability theory and real and functional analysis.

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450

Publisher

Springer Science & Business Media

Published Date

ISBN 10

0387227563

ISBN 13

9780387227566

Ill-posed Problems in Probability and Stability of Random Sums

By: Lev Borisovich Klebanov,Tomasz J. Kozubowski,Svetlozar Todorov Rachev

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Ill-posed Problems in Probability and Stability of Random Sums

By: Lev Borisovich Klebanov,Tomasz J. Kozubowski,Svetlozar Todorov Rachev

This volume is concerned with the problems in probability and statistics. Ill-posed problems are usually understood as those results where small changes in the assumptions lead to arbitrarily large changes in the conclusions. Such results are not very useful for practical applications where the presumptions usually hold only approximately (because even a slightest departure from the assumed model may produce an uncontrollable shift in the outcome). Often, the ill-posedness of certain practical problems is due to the lack of their precise mathematical formulation. Consequently, one can deal with such problems by replacing a given ill-posed problem with another, well-posed problem, which in some sense is 'close' to the original one. The goal in this book is to show that ill-posed problems are not just a mere curiosity in the contemporary theory of mathematical statistics and probability. On the contrary, such problems are quite common, and majority of classical results fall into this class. The objective of this book is to identify problems of this type, and re-formulate them more correctly. Thus, alternative (more precise in the above sense) versions are proposed of numerous classical theorems in the theory of probability and mathematical statistics. In addition, some non-standard problems are considered from this point of view.

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454

Publisher

Nova Publishers

Published Date

ISBN 10

160021262X

ISBN 13

9781600212628

Risk and Uncertainty

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

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Risk and Uncertainty

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

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization The finance industry is seeing increased interest in new risk measures and techniques for portfolio optimization when parameters of the model are uncertain. This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers. They also clearly show how stochastic models, risk assessment, and optimization are essential to mastering risk, uncertainty, and performance measurement. Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization provides quantitative portfolio managers (including hedge fund managers), financial engineers, consultants, and academic researchers with answers to the key question of which risk measure is best for any given problem.

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404

Publisher

John Wiley & Sons

Published Date

ISBN 10

111808618X

ISBN 13

9781118086186

A Probability Metrics Approach to Financial Risk Measures

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

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A Probability Metrics Approach to Financial Risk Measures

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

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters

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Page Count

264

Publisher

John Wiley & Sons

Published Date

ISBN 10

1444392700

ISBN 13

9781444392708

The Methods of Distances in the Theory of Probability and Statistics

By: Svetlozar T. Rachev,Lev Klebanov,Stoyan V. Stoyanov,Frank Fabozzi

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The Methods of Distances in the Theory of Probability and Statistics

By: Svetlozar T. Rachev,Lev Klebanov,Stoyan V. Stoyanov,Frank Fabozzi

This book covers the method of metric distances and its application in probability theory and other fields. The method is fundamental in the study of limit theorems and generally in assessing the quality of approximations to a given probabilistic model. The method of metric distances is developed to study stability problems and reduces to the selection of an ideal or the most appropriate metric for the problem under consideration and a comparison of probability metrics. After describing the basic structure of probability metrics and providing an analysis of the topologies in the space of probability measures generated by different types of probability metrics, the authors study stability problems by providing a characterization of the ideal metrics for a given problem and investigating the main relationships between different types of probability metrics. The presentation is provided in a general form, although specific cases are considered as they arise in the process of finding supplementary bounds or in applications to important special cases. Svetlozar T. Rachev is the Frey Family Foundation Chair of Quantitative Finance, Department of Applied Mathematics and Statistics, SUNY-Stony Brook and Chief Scientist of Finanlytica, USA. Lev B. Klebanov is a Professor in the Department of Probability and Mathematical Statistics, Charles University, Prague, Czech Republic. Stoyan V. Stoyanov is a Professor at EDHEC Business School and Head of Research, EDHEC-Risk Institute—Asia (Singapore). Frank J. Fabozzi is a Professor at EDHEC Business School. (USA)

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616

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461448697

ISBN 13

9781461448693

Financial Econometrics

From Basics to Advanced Modeling Techniques

By: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić

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Financial Econometrics

From Basics to Advanced Modeling Techniques

By: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

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560

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470121521

ISBN 13

9780470121528

Bayesian Methods in Finance

By: Svetlozar T. Rachev,John S. J. Hsu,Biliana S. Bagasheva,Frank J. Fabozzi

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Bayesian Methods in Finance

By: Svetlozar T. Rachev,John S. J. Hsu,Biliana S. Bagasheva,Frank J. Fabozzi

Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

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351

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470249242

ISBN 13

9780470249246

Rating Based Modeling of Credit Risk

Theory and Application of Migration Matrices

By: Stefan Trueck,Svetlozar T. Rachev

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Rating Based Modeling of Credit Risk

Theory and Application of Migration Matrices

By: Stefan Trueck,Svetlozar T. Rachev

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev

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279

Publisher

Academic Press

Published Date

ISBN 10

0080920306

ISBN 13

9780080920306

Financial Models with Levy Processes and Volatility Clustering

By: Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi

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Financial Models with Levy Processes and Volatility Clustering

By: Svetlozar T. Rachev,Young Shin Kim,Michele L. Bianchi,Frank J. Fabozzi

An in-depth guide to understanding probability distributions and financial modeling for the purposes of investment management In Financial Models with Lévy Processes and Volatility Clustering, the expert author team provides a framework to model the behavior of stock returns in both a univariate and a multivariate setting, providing you with practical applications to option pricing and portfolio management. They also explain the reasons for working with non-normal distribution in financial modeling and the best methodologies for employing it. The book's framework includes the basics of probability distributions and explains the alpha-stable distribution and the tempered stable distribution. The authors also explore discrete time option pricing models, beginning with the classical normal model with volatility clustering to more recent models that consider both volatility clustering and heavy tails. Reviews the basics of probability distributions Analyzes a continuous time option pricing model (the so-called exponential Lévy model) Defines a discrete time model with volatility clustering and how to price options using Monte Carlo methods Studies two multivariate settings that are suitable to explain joint extreme events Financial Models with Lévy Processes and Volatility Clustering is a thorough guide to classical probability distribution methods and brand new methodologies for financial modeling.

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316

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470937262

ISBN 13

9780470937266

Advanced REIT Portfolio Optimization

Innovative Tools for Risk Management

By: W. Brent Lindquist,Svetlozar T. Rachev,Yuan Hu,Abootaleb Shirvani

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Advanced REIT Portfolio Optimization

Innovative Tools for Risk Management

By: W. Brent Lindquist,Svetlozar T. Rachev,Yuan Hu,Abootaleb Shirvani

This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.

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Page Count

268

Publisher

Springer Nature

Published Date

ISBN 10

3031152867

ISBN 13

9783031152863

Probability and Statistics for Finance

By: Svetlozar T. Rachev,Markus Hoechstoetter,Frank J. Fabozzi,Sergio M. Focardi

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Probability and Statistics for Finance

By: Svetlozar T. Rachev,Markus Hoechstoetter,Frank J. Fabozzi,Sergio M. Focardi

A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline. Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter of your practices, in a clear, concise manner. Informative and accessible, this guide starts off with the basics and builds to an intermediate level of mastery. • Outlines an array of topics in probability and statistics and how to apply them in the world of finance • Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis • Offers real-world illustrations of the issues addressed throughout the text The authors cover a wide range of topics in this book, which can be used by all finance professionals as well as students aspiring to enter the field of finance.

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676

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470400935

ISBN 13

9780470400937

The Basics of Financial Econometrics

Tools, Concepts, and Asset Management Applications

By: Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli

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The Basics of Financial Econometrics

Tools, Concepts, and Asset Management Applications

By: Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli

An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.

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433

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118727231

ISBN 13

9781118727232

Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing

By: Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi

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Fat-Tailed and Skewed Asset Return Distributions

Implications for Risk Management, Portfolio Selection, and Option Pricing

By: Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi

While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

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