Dr. Sci. Svetlozar (Zari) Rachev
Research Activities, 2009-2010
General Research Projects:
1. Finance and Econometrics: non-Gaussian models in mathematical and empirical finance, financial econometrics, factor models for asset returns, market and credit risk management, operational risk assessment and forecast, asset liability modeling, optimal choice of performance measures, momentum and risk-neutral strategies, statistical arbitrage, optimal portfolio theory for highly volatile markets, option pricing with stable and tempered stable GARCH-type; processes for the underlying risk factors, statistical tests for CAPM and APT in the presence of heavy-tailed distributed financial returns, Bayesian methods in finance, tempered stable processes in finance, modeling high-frequency data, statistical analysis of hedge-fund industry, risk analysis and optimization of funds of hedge funds, statistical models energy markets, forecasting market structural breaks;
2. Probability and Statistics: general stability and ill-posed problems in stochastic modeling , probability metrics, robustness versus heavy-tailed models in statistics.
In 2009-2010, the work on these projects was based on a joint collaborative research with; Frank J. Fabozzi, (Yale University, School of Management), Lev Klebanov (Charles University ), Wei Sun, Aaron Kim, Stefan Trueck, Markus Hoechstoetter, Sebastian Kring, Michael Stein, Matthias Scherer, Christian Scherrer, Alexander Beck, Michael Pieper, Omid Rezania , Zuodong Lin (University of Karlsruhe),Stoyan Stoyanov, Boryana Racheva-Iotova, Ivan Mitov, Georgi Mitov (FinAnalytica) , John Hsu, Biliana Bagasheva (UCSB), Marida Bertocchi, Rosella Giacometti, Sergio Ortobelli and Michele-Leonardo Bianchi (University of Bergamo), Haim Shalit (Ben-Gurion University ), Carlo Marinelli (University of Bonn ), Silika Prohl (University of Zurich ), Takashi Kanamura; (J-Power, Japan), Audrius Kabasinskas, Leonidas Sakalauska, Igoris Belovas (Kaunas University of Techonology ) and others.
Business Honors Program Application Now Available
Apply for the College of Business Dean's Choice Award: Deliver COB Department Convocation Address and receive $1,000
Each year a College of Business graduating student is selected to be the recipient of the Dean's Choice Award. The selected student will deliver the COB Department Convocation Address and receive a $1,000 award. This is a great opportunity to address the College of Business graduating class, family members, friends, faculty and staff. Both undergraduate and MBA students who are participating in the May 21 College of Business department convocation are invited to apply for this prestigious honor.
Speeches should be no more than 3 minutes. Speech submissions are due by 4:00 pm on Friday April 17, 2015. A winner will be selected by a committee of College of Business faculty and staff.
MBA Information Sessions (RSVP to MBA@stonybrook.edu)
- Saturday, April 18 at 11 am; Wang 201
- Wednesday, April 29 at 6:30, Wang 201
Center for Behavioral Finance launches website: The Center for Behavioral Finance at Stony Brook University brings together researchers from different disciplines to conduct research in behavioral finance. We aim at producing cutting-edge research in all fields of behavioral finance and (financial) decision making, mostly using experiments, publishable in top-tier journals in finance, judgment and decision making and psychology.