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Svetlozar Rachev
Professor Endowed Chair of Statistics, Econometrics and
Mathematical Finance , School of Economics and Business
Engineering, Karlsruhe University and Karlsruhe Institute of
Technology (KIT), Germany
Current
research interests in the area of mathematical and empirical
finance include:
-
modeling
financial time series: asset returns time series models with
heavy-tailed innovations, exhibiting clustering of the
volatility, and short and long range dependence;
-
pricing and
hedging in volatile markets;
-
portfolio
optimization;
-
risk management
(market, credit and operational risk management)
-
asset liability
management.
e-mail:
rachev@statistik.uni-karlsruhe.de
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