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Portfolio analysis with multivariate normal tempered stable processes and distributions
Krause, Dirk - 2011
Persistent link: https://www.econbiz.de/10009627764
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Asset liability management : a review and some new results in the presence of heavy tails
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003
Persistent link: https://www.econbiz.de/10001882195
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The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach
Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969
Persistent link: https://www.econbiz.de/10001734458
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Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003583006
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Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
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Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Finance research letters 28 (2019), pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
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Introduction to stochastic processes
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765840
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Realized volatility and correlation estimators under non-Gaussian microstructure noise
Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009
Persistent link: https://www.econbiz.de/10003867880
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A profit model for spread trading with an application to energy futures
Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - In: The journal of trading 5 (2010) 1, pp. 48-62
Persistent link: https://www.econbiz.de/10003931729
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Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Račev, … - 2010
Persistent link: https://www.econbiz.de/10003964894