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.
Introducing the Stony Brook University Saturday Executive MBA Program. A blended program of Saturday and online classes.