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 in the financial field. In general, there exist two separate branches of finance that req ...

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

derivative In mathematics, the derivative is a fundamental tool that quantifies the sensitivity to change of a function's output with respect to its input. The derivative of a function of a single variable at a chosen input value, when it exists, is t ...

pricing,

financial risk modeling Financial risk modeling is the use of formal mathematical and econometric techniques to measure, monitor and control the market risk, credit risk, and operational risk on a firm's balance sheet, on a bank's accounting ledger of tradeable financial ...

, and

econometrics Econometrics is an 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" () is a public university, public research university in Sofia, Bulgaria. It is the oldest institution of higher education in Bulgaria. Founded on 1 October 1888, the edifice of the university was constr ...

in 1974, a PhD degree from

Lomonosov Moscow State University Moscow State University (MSU), officially M. V. Lomonosov Moscow State University,. is a public research university in Moscow, Russia. The university includes 15 research institutes, 43 faculties, more than 300 departments, and six branches. Al ...

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 (, ; 19 January 19127 April 1986) was a Soviet mathematician and economist, known for his theory and development of techniques for the optimal allocation of resources. He is regarded as the founder of linear programm ...

, 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 Soviet ...

and Yuri Prokhorov. Currently, he is Professor of Financial Mathematics at

Texas Tech University Texas Tech University (Texas Tech, Tech, or TTU) is a public university, public research university in Lubbock, Texas, United States. Established on February 10, 1923, and called Texas Technological College until 1969, it is the flagship instit ...

. In mathematical finance, Rachev is known for his work on application of non-

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 eponymo ...

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 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 ev ...

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.

Awards and honors

* Fellow of the Institute of Mathematical Statistics * Humboldt Research Award for Foreign Scholars (1995) * Honorary Doctor of Science at Saint Petersburg State Institute of Technology (1992) * Foreign Member of the

Russian Academy of Natural Sciences The Russian Academy of Natural Sciences (Russian language, Russian: Российская академия естественных наук) is a Russian non-governmental organization founded on August 31 1990 in Moscow in the former Soviet Uni ...

Selected publications

Books

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Articles

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References

External links

* A definition of th
Rachev Ratio

FinAnalytica Inc
{{DEFAULTSORT:Rachev, Svetlozar 20th-century Bulgarian mathematicians 21st-century Bulgarian mathematicians Living people 1951 births