Svetlozar (Zari) Todorov Rachev is a professor at Texas Tech University who works in the field of

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 requir ...

, probability theory, and statistics. He is known for his work in probability metrics,

derivative In mathematics, the derivative of a function of a real variable measures the sensitivity to change of the function value (output value) with respect to a change in its argument (input value). Derivatives are a fundamental tool of calculus. ...

pricing, financial risk modeling, and

econometrics Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8� ...

. 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 Sofia University, "St. Kliment Ohridski" at the University of Sofia, ( bg, Софийски университет „Св. Климент Охридски“, ''Sofijski universitet „Sv. Kliment Ohridski“'') is the oldest higher education i ...

in 1974, a PhD degree from

Lomonosov Moscow State University M. V. Lomonosov Moscow State University (MSU; russian: Московский государственный университет имени М. В. Ломоносова) is a public research university in Moscow, Russia and the most prestigious ...

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 Leonid Vitalyevich Kantorovich ( rus, Леони́д Вита́льевич Канторо́вич, , p=lʲɪɐˈnʲit vʲɪˈtalʲjɪvʲɪtɕ kəntɐˈrovʲɪtɕ, a=Ru-Leonid_Vitaliyevich_Kantorovich.ogg; 19 January 19127 April 1986) was a Sovie ...

, a Nobel Prize winner in economic sciences,

Andrey Kolmogorov Andrey Nikolaevich Kolmogorov ( rus, Андре́й Никола́евич Колмого́ров, p=ɐnˈdrʲej nʲɪkɐˈlajɪvʲɪtɕ kəlmɐˈɡorəf, a=Ru-Andrey Nikolaevich Kolmogorov.ogg, 25 April 1903 – 20 October 1987) was a Sovi ...

and

Yuri Prokhorov Yuri Vasilyevich Prokhorov (russian: Ю́рий Васи́льевич Про́хоров; 15 December 1929 – 16 July 2013) was a Russian mathematician, active in the field of probability theory. He was a PhD student of Andrey Kolmogorov at th ...

. Currently, he is Professor of Financial Mathematics at

Texas Tech University Texas Tech University (Texas Tech, Tech, or TTU) is a public research university in Lubbock, Texas. Established on , and called Texas Technological College until 1969, it is the main institution of the five-institution Texas Tech University Sy ...

. In mathematical finance, Rachev is known for his work on application of non- Gaussian models for risk assessment, option pricing, and the applications of such models in

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 diversificatio ...

. He is also known for the introduction of a new risk-return ratio, the " Rachev Ratio", designed to measure the reward potential relative to tail risk in a non-Gaussian setting. In probability theory, his books on probability metrics and mass-transportation problems are widely cited.

FinAnalytica

Rachev's academic work on non-Gaussian models in mathematical finance was inspired by the difficulties of common classical Gaussian-based models to capture empirical properties of financial data. Rachev and his daughter, Borjana Racheva-Iotova, established Bravo Group in 1999, a company with the goal to develop software based on Rachev's research on fat-tailed models. The company was later acquired by FinAnalytica. The company has won the Waters Rankings "Best Market Risk Solution Provider" award in 2010, 2012, and 2015, and also the "Most Innovative Specialist Vendor" Risk Award in 2014.

Awards and honors

* Fellow of the

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 ...

Humboldt Research Award 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 G ...

for Foreign Scholars (1995) * Honorary Doctor of Science at

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 o ...

(1992) * Foreign Member of the

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 de ...

Selected publications

Books

* * * * * *

Articles

* * * * * * * *

References

External links

* A definition of th
Rachev Ratio

FinAnalytica Inc
{{DEFAULTSORT:Rachev, Svetlozar Bulgarian mathematicians Living people 1951 births