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Svetlozar Rachev
Svetlozar (Zari) Todorov Rachev is a professor at Texas Tech University who works in the field of mathematical finance, probability theory, and statistics. He is known for his work in probability metrics, derivative pricing, financial risk modeling, and econometrics. In the practice of risk management, he is the originator of the methodology behind the flagship product of FinAnalytica. Life and work Rachev earned a MSc degree from the Faculty of Mathematics at Sofia University in 1974, a PhD degree from Lomonosov Moscow State University under the supervision of Vladimir Zolotarev in 1979, and a Dr Sci degree from Steklov Mathematical Institute in 1986 under the supervision of Leonid Kantorovich, a Nobel Prize winner in economic sciences, Andrey Kolmogorov and Yuri Prokhorov. Currently, he is Professor of Financial Mathematics at Texas Tech University. In mathematical finance, Rachev is known for his work on application of non-Gaussian models for risk assessment, option pricing, and ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often by help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on mathematical fina ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modern Portfolio Theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. It uses the variance of asset prices as a proxy for risk. Economist Harry Markowitz introduced MPT in a 1952 essay, for which he was later awarded a Nobel Memorial Prize in Economic Sciences; see Markowitz model. Mathematical model Risk and expected return MPT assumes that investors are risk averse, meaning that given two portfolios that offer the same expected return, investors will prefer the less risky one. Thus, an investor will take on increased risk only if compensat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Bulgarian Mathematicians
Bulgarian may refer to: * Something of, from, or related to the country of Bulgaria * Bulgarians, a South Slavic ethnic group * Bulgarian language, a Slavic language * Bulgarian alphabet * A citizen of Bulgaria, see Demographics of Bulgaria * Bulgarian culture * Bulgarian cuisine, a representative of the cuisine of Southeastern Europe See also * * List of Bulgarians, include * Bulgarian name, names of Bulgarians * Bulgarian umbrella, an umbrella with a hidden pneumatic mechanism * Bulgar (other) * Bulgarian-Serbian War (other) The term Bulgarian-Serbian War or Serbian-Bulgarian War may refer to: * Bulgarian-Serbian War (839-842) * Bulgarian-Serbian War (853) * Bulgarian-Serbian wars (917-924) * Bulgarian-Serbian War (1330) * Bulgarian-Serbian War (1885) * Bulgarian-Serbi ... {{disambiguation Language and nationality disambiguation pages ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Russian Academy Of Natural Sciences
The Russian Academy of Natural Sciences (Russian: Российская академия естественных наук) is a Russian non-governmental organization founded on August 31 1990 in Moscow in the former Soviet Union, following a decree by the Supreme Soviet of Russia. , the Academy operates under the Federal Law of August 23, 1996 No. 127-FZ "On Science and State Scientific-Technical Politics". The academy states that it seeks to unite scholars in different fields for the betterment of Russia. As of 2020, its president is Oleg Leonidovich Kuznetsov and its Vice President and Chief Secretary is Lida Vladimirovna Ivanitskaya. The academy is not associated with the Russian Academy of Sciences. It has been criticised because many members lack scientific credentials and some espouse pseudoscientific theories such as Aušra Augustinavičiūtė's socionics and Anatoly Fomenko's " New Chronology".Опасность лженауки("Danger of Pseudoscience") Currently, the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Saint Petersburg State Institute Of Technology
Saint Petersburg State Institute of Technology (Technical University) (russian: Санкт-Петербургский Технологический Институт (Технический Университет)) was founded in 1828. It is one of the oldest institutions of higher education in Russia, and it currently trains around 5,000 students. History In the past, the institute was named ''Imperial Petersburg Institute of Technology'' (russian: Императорский Петербургский Технологический Институт and ''Lensoviet Leningrad Institute of Technology'' (russian: Лениградский Технологический Институт имени Ленсовета), the institute's name changing with that of the city. During the Imperial period, unlike most other Russian universities, the institute did not require completion of gymnasium education as a condition of entry; the only requirement was to pass the institute's examinat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Humboldt Prize
The Humboldt Prize, the Humboldt-Forschungspreis in German, also known as the Humboldt Research Award, is an award given by the Alexander von Humboldt Foundation of Germany to internationally renowned scientists and scholars who work outside of Germany in recognition of their lifetime's research achievements. Recipients are "academics whose fundamental discoveries, new theories or insights have had a significant impact on their own discipline and who are expected to continue producing cutting-edge academic achievements in the future". The prize is currently valued at €60,000 with the possibility of further support during the prize winner's life. Up to one hundred such awards are granted each year. Nominations must be submitted by established academics in Germany. The award is named after the Prussian naturalist and explorer Alexander von Humboldt. Past winners Biology Günter Blobel, Serge Daan, Aaron M. Ellison, Eberhard Fetz, Daniel Gianola, Hendrikus Granzier, Dan ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Institute Of Mathematical Statistics
The Institute of Mathematical Statistics is an international professional and scholarly society devoted to the development, dissemination, and application of statistics and probability. The Institute currently has about 4,000 members in all parts of the world. Beginning in 2005, the institute started offering joint membership with the Bernoulli Society for Mathematical Statistics and Probability as well as with the International Statistical Institute. The Institute was founded in 1935 with Harry C. Carver and Henry L. Rietz as its two most important supporters. The institute publishes a variety of journals, and holds several international conference every year. Publications The Institute publishes five journals: *''Annals of Statistics'' *'' Annals of Applied Statistics'' *''Annals of Probability'' *''Annals of Applied Probability'' *'' Statistical Science'' In addition, it co-sponsors: * The ''Current Index to Statistics'' * ''Electronic Communications in Probability'' * ''Ele ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Fat-tailed Distribution
A fat-tailed distribution is a probability distribution that exhibits a large skewness or kurtosis, relative to that of either a normal distribution or an exponential distribution. In common usage, the terms fat-tailed and Heavy-tailed distribution, heavy-tailed are sometimes synonymous; fat-tailed is sometimes also defined as a subset of heavy-tailed. Different research communities favor one or the other largely for historical reasons, and may have differences in the precise definition of either. Fat-tailed distributions have been empirically encountered in a variety of areas: physics, earth sciences, economics and political science. The class of fat-tailed distributions includes those whose tails decay like a power law, which is a common point of reference in their use in the scientific literature. However, fat-tailed distributions also include other slowly-decaying distributions, such as the log-normal distribution, log-normal. The extreme case: a power-law distribution The m ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Transportation Theory (mathematics)
In mathematics and economics, transportation theory or transport theory is a name given to the study of optimal transportation and allocation of resources. The problem was formalized by the French mathematician Gaspard Monge in 1781.G. Monge. ''Mémoire sur la théorie des déblais et des remblais. Histoire de l’Académie Royale des Sciences de Paris, avec les Mémoires de Mathématique et de Physique pour la même année'', pages 666–704, 1781. In the 1920s A.N. Tolstoi was one of the first to study the transportation problem mathematically. In 1930, in the collection ''Transportation Planning Volume I'' for the National Commissariat of Transportation of the Soviet Union, he published a paper "Methods of Finding the Minimal Kilometrage in Cargo-transportation in space". Major advances were made in the field during World War II by the Soviet mathematician and economist Leonid Kantorovich.L. Kantorovich. ''On the translocation of masses.'' C.R. (Doklady) Acad. Sci. URSS (N.S. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Tail Risk
Tail risk, sometimes called "fat tail risk," is the financial risk of an asset or portfolio of assets moving more than three standard deviations from its current price, above the risk of a normal distribution. Tail risks include low-probability events arising at both ends of a normal distribution curve, also known as tail events. However, as investors are generally more concerned with unexpected losses rather than gains, a debate about tail risk is focused on the left tail. Prudent asset managers are typically cautious with the tail involving losses which could damage or ruin portfolios, and not the beneficial tail of outsized gains. The common technique of theorizing a normal distribution of price changes underestimates tail risk when market data exhibit fat tails, thus understating asset prices, stock returns and subsequent risk management strategies. Tail risk is sometimes defined less strictly: as merely the risk (or probability) of rare events. The arbitrary definition of t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rachev Ratio
The Rachev Ratio (or R-Ratio) is a risk-return performance measure of an investment asset, portfolio, or strategy. It was devised by Dr. Svetlozar Rachev and has been extensively studied in quantitative finance. Unlike the ''reward-to-variability'' ratios, such as Sharpe ratio and Sortino ratio, the Rachev ratio is a ''reward-to-risk'' ratio, which is designed to measure the right tail reward potential relative to the left tail risk in a non-Gaussian setting. Intuitively, it represents the potential for extreme positive returns compared to the risk of extreme losses (negative returns), at a rarity frequency q (quantile level) defined by the user. The ratio is defined as the Expected Tail Return (ETR) in the best q% cases divided by the Expected shortfall, Expected tail loss (ETL) in the worst q% cases. The Expected shortfall, ETL is the average loss incurred when losses exceed the Value at Risk at a predefined quantile level. The ETR, defined by symmetry to the ETL, is the average p ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Gaussian
Carl Friedrich Gauss (1777–1855) is the eponym of all of the topics listed below. There are over 100 topics all named after this German mathematician and scientist, all in the fields of mathematics, physics, and astronomy. The English eponymous adjective ''Gaussian'' is pronounced . Mathematics Algebra and linear algebra Geometry and differential geometry Number theory Cyclotomic fields *Gaussian period *Gaussian rational *Gauss sum, an exponential sum over Dirichlet characters ** Elliptic Gauss sum, an analog of a Gauss sum **Quadratic Gauss sum Analysis, numerical analysis, vector calculus and calculus of variations Complex analysis and convex analysis *Gauss–Lucas theorem *Gauss's continued fraction, an analytic continued fraction derived from the hypergeometric functions * Gauss's criterion – described oEncyclopedia of Mathematics* Gauss's hypergeometric theorem, an identity on hypergeometric series *Gauss plane Statistics *Gauss–Kuzmi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
