Edit Profile (opens in new tab) Rachev, Svetlozar T. Compute Distance To: Compute Author ID: rachev.svetlozar-t Published as: Rachev, S. T.; Rachev, Svetlozar T.; Rachev, Svetlozar; Rachev, S.; Rachev, Svetlozar (Zari) T.; Rachev, Svetlosar T. more...less Homepage: http://www.pstat.ucsb.edu/faculty%20pages/RACHEV.htm External Links: MGP · Wikidata · ResearchGate · Math-Net.Ru · GND · IdRef Documents Indexed: 278 Publications since 1978, including 12 Books 9 Contributions as Editor · 1 Further Contribution Reviewing Activity: 39 Reviews Co-Authors: 142 Co-Authors with 253 Joint Publications 2,492 Co-Co-Authors all top 5 Co-Authors 29 single-authored 41 Fabozzi, Frank J. 27 Mittnik, Stefan 22 Klebanov, Leo B. 22 Stoyanov, Stoyan V. 21 Rüschendorf, Ludger 19 Yakovlev, Andrej Yu. 13 Ortobelli, Sergio 11 Samorodnitsky, Gennady Pinkhosovich 9 Obretenov, Apostol 8 Kalashnikov, Vladimir Vyacheslavovich 7 Bianchi, Michele Leonardo 7 Hanin, Leonid G. 6 Anastassiou, George Angelos 6 Dimitrov, Boyan N. 6 Giacometti, Rosella 6 Ignatov, Zvetan G. 6 Kim, Young Shin S. 5 Biglova, Almira 5 Kim, Jeong-Ryeol 5 Kozubowski, Tomasz J. 4 Kadyrova, N. O. 4 Marinelli, Carlo 4 Menn, Christian 4 Paolella, Marc S. 4 Paulauskas, Vygantas Ionovič 4 Schwartz, Eduardo S. 4 Sun, Wei 3 Bertocchi, Marida 3 Gamrowski, Bertrand 3 Gani, Joseph Mark 3 Goot, R. E. 3 Haynatzka, Vera R. 3 Haynatzki, Gleb R. 3 Höchstötter, Markus 3 Khindanova, Irina N. 3 Maejima, Makoto 3 Shirvani, Abootaleb 3 Trück, Stefan 3 Yukich, Joseph Elliott 2 Balinski, Michel Louis 2 Baxter, Laurence A. 2 Belovas, Igoris 2 Bol, Georg 2 D’Addona, Stefano 2 Doganoglu, Toker 2 Focardi, Sergio M. 2 Hu, Yuan 2 Hurst, Simon R. 2 Kabašinskas, Audrius 2 Kakosyan, Ashot V. 2 Kring, Sebastian 2 Lee, Mei-Ling Ting 2 Melamed, Joseph A. 2 Myasnikova, Ekaterina M. 2 Olkin, Ingram 2 Platen, Eckhard 2 Römisch, Werner 2 Russo, Vincenzo 2 Sakalauskas, Leonidas L. 2 Schief, Andreas 2 Shalit, Haim 2 Shortt, Rae Michael 2 Tokat, Yesim 2 Tsodikov, Alexander D. 2 Volkovich, Vladimir E. 2 Vyndev, D. 2 Weron, Aleksander 2 Weron, Rafał 1 Atakhanova, Zauresh 1 Beirlant, Jan 1 Brodsky, Boris 1 Bronshteĭn, Efim Mikhaĭlovich 1 Burnecki, Krzysztof 1 Caviezel, Valeria 1 Cheng, Benny N. 1 Chenyao, D. 1 Chernobai, Anna 1 Chernobal, A. 1 Chobanov, Georgi S. 1 Chung, Dong Myung 1 Cuesta-Albertos, Juan Antonio 1 Darkhovsky, Boris S. 1 De Giovanni, Domenico 1 de Haan, Laurens 1 Dokov, Steftcho P. 1 Donchev, Doncho S. 1 Dostoglou, Stamatis 1 Epstein, Raisa 1 Fomenko, Anatoliĭ Timofeevich 1 Fomenko, T. G. 1 Fomenko, V. P. 1 Götzenberger, G. 1 Han, Seonkoo 1 Hauksson, Höskuldur Ari 1 Heathcote, Christopher R. 1 Hernández, Jorge E. 1 Heyde, Christopher Charles 1 Huber, Isabella 1 Jašić, Teo 1 Kalev, Petko S. ...and 50 more Co-Authors all top 5 Serials 17 Mathematical and Computer Modelling 11 Journal of Soviet Mathematics 9 Probability and Mathematical Statistics 9 International Journal of Theoretical and Applied Finance 8 Teoriya Veroyatnosteĭ i eë Primeneniya 8 Journal of Computational Analysis and Applications 7 Advances in Applied Probability 7 The Mathematical Scientist 7 Applied Mathematics Letters 6 Theory of Probability and its Applications 6 The Annals of Probability 5 Journal of Applied Probability 5 Statistics & Probability Letters 5 Serdica 5 Journal of Applied Functional Analysis 4 Journal of Theoretical Probability 4 Mathematical Methods of Operations Research 3 Mathematical Biosciences 3 Journal of Computational and Applied Mathematics 3 Journal of Multivariate Analysis 3 Numerical Functional Analysis and Optimization 3 Soviet Mathematics. Doklady 3 Insurance Mathematics & Economics 3 Statistics & Decisions 3 Communications in Statistics. Stochastic Models 3 Annals of Operations Research 3 European Journal of Operational Research 3 Quantitative Finance 2 Computers & Mathematics with Applications 2 Biometrical Journal 2 Econometric Reviews 2 Journal of Economic Dynamics & Control 2 Economics Letters 2 The Annals of Applied Probability 2 Stochastic Processes and their Applications 2 Applied Mathematical Finance 2 Studies in Nonlinear Dynamics and Econometrics 2 Asia-Pacific Financial Markets 2 Contributions to Economics 1 Journal of Mathematical Analysis and Applications 1 Dissertationes Mathematicae 1 Journal of Econometrics 1 Management Science 1 Mathematics of Operations Research 1 Publications de l’Institut de Statistique de l’Université de Paris 1 SIAM Journal on Control and Optimization 1 Statistica Neerlandica 1 PLISKA. Studia Mathematica Bulgarica 1 Acta Applicandae Mathematicae 1 Statistics 1 Probability Theory and Related Fields 1 SIAM Journal on Matrix Analysis and Applications 1 Queueing Systems 1 Siberian Advances in Mathematics 1 Computational Statistics 1 Doklady Bolgarskoĭ Akademii Nauk 1 Communications in Statistics. Simulation and Computation 1 Communications in Statistics. Theory and Methods 1 Proceedings of the National Academy of Sciences of the United States of America 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Systems Analysis, Modelling Simulation 1 Statistical Papers 1 Serdica Mathematical Journal 1 Mathematical Finance 1 The Econometrics Journal 1 Informatica (Vilnius) 1 Sibirskiĭ Zhurnal Industrial’noĭ Matematiki 1 Econometric Theory 1 AStA. Allgemeines Statistisches Archiv 1 North American Actuarial Journal 1 Review of Derivatives Research 1 Journal of Concrete and Applicable Mathematics 1 Lecture Notes in Statistics 1 Monografii Matematice (Timișoara) 1 Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta Imeni V. A. Steklova 1 Journal of Statistical Theory and Practice 1 Annals of Finance 1 Springer Series in Statistics 1 Wiley Series in Probability and Mathematical Statistics all top 5 Fields 166 Probability theory and stochastic processes (60-XX) 113 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 93 Statistics (62-XX) 23 Operations research, mathematical programming (90-XX) 15 Biology and other natural sciences (92-XX) 11 Numerical analysis (65-XX) 10 General and overarching topics; collections (00-XX) 3 Measure and integration (28-XX) 3 Integral transforms, operational calculus (44-XX) 2 Approximations and expansions (41-XX) 2 Functional analysis (46-XX) 2 General topology (54-XX) 1 History and biography (01-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Partial differential equations (35-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Abstract harmonic analysis (43-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Quantum theory (81-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 213 Publications have been cited 2,337 times in 1,618 Documents Cited by ▼ Year ▼ Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications. Zbl 0990.60500Rachev, S. T.; Rüschendorf, Ludger 253 1998 Probability metrics and the stability of stochastic models. Zbl 0744.60004Rachev, Svetlozar T. 179 1991 Stable Paretian models in finance. Zbl 0972.91060Rachev, Svetlozar; Mittnik, Stefan 172 2000 Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096Mittnik, Stefan; Rachev, Svetlozar T. 94 1993 The Monge-Kantorovich mass transference problem and its stochastic applications. Zbl 0581.60010Rachev, S. T. 76 1985 Mass transshipment problems and ideal metrics. Zbl 0725.60002Rachev, S. T. 62 1991 A characterization of random variables with minimum \(L^ 2\)-distance. Zbl 0688.62034Rüschendorf, L.; Rachev, S. T. 56 1990 Quantitative stability in stochastic programming: the method of probability metrics. Zbl 1082.90080Rachev, Svetlozar T.; Römisch, Werner 49 2002 Probability metrics and recursive algorithms. Zbl 0829.60094Rachev, S. T.; Rüschendorf, L. 46 1995 Approximation of sums by compound Poisson distributions with respect to stop-loss distances. Zbl 0729.62101Rachev, S. T.; Rüschendorf, L. 30 1990 Multivariate stable futures prices. Zbl 0862.62089Cheng, B. N.; Rachev, S. T. 29 1995 Approximate independence of distributions on spheres and their stability properties. Zbl 0732.62014Rachev, S. T.; Rüschendorf, L. 29 1991 Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D. 28 1999 The methods of distances in the theory of probability and statistics. Zbl 1280.60005Rachev, Svetlozar T.; Klebanov, Lev B.; Stoyanov, Stoyan V.; Fabozzi, Frank J. 28 2013 The theory of geometric stable distributions and its use in modeling financial data. Zbl 0803.90008Kozubowski, Tomasz J.; Rachev, Svetlozar T. 26 1994 Testing multivariate symmetry. Zbl 0863.62059Heathcote, C. R.; Rachev, S. T.; Cheng, B. 25 1995 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Zbl 1260.91228Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico 25 2012 Univariate geometric stable laws. Zbl 1055.60503Kozubowski, T. J.; Rachev, S. T. 24 1999 Option pricing for a logstable asset price model. Zbl 0990.91022Hurst, S. R.; Platen, E.; Rachev, S. T. 24 1999 Mathematical methods for construction of queueing models. Transl. from the Russian by L. Cannon. Zbl 0709.60096Kalashnikov, V. V.; Rachev, S. T. 24 1990 Optimal financial portfolios. Zbl 1151.91542Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J. 23 2007 Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 20 2008 Financial models with Lévy processes and volatility clustering. Zbl 1217.91003Rachev, Svetlozar T.; Kim, Young Shim; Bianchi, Michele Leonardo; Fabozzi, Frank J. 20 2011 Subordinated market index models: A comparison. Zbl 1153.91788Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. 20 1997 Limit laws for a stochastic process and random recursion arising in probabilistic modelling. Zbl 0819.60024Rachev, Svetlozar T.; Samorodnitsky, Gennady 19 1995 The modified tempered stable distribution, GARCH models and option pricing. Zbl 1166.60013Kim, Yong Shin; Rachev, Svetlozar T.; Chung, Dong Myung; Bianchi, Michele Leonardo 19 2009 A stochastic model of radiation carcinogenesis: Latent time distributions and their properties. Zbl 0777.92008Klebanov, Lev B.; Rachev, Svetlozar T.; Yakovlev, Andrej Yu. 18 1993 Stable distributions for asset returns. Zbl 0709.62708Mittnik, Stefan; Rachev, Svetlozar T. 18 1989 Test for association of random variables in the domain of attraction of multivariate stable law. Zbl 0807.62047Rachev, Svetlozar T.; Xin, Huang 16 1993 Stable GARCH models for financial time series. Zbl 0836.90037Panorska, A. K.; Mittnik, S.; Rachev, S. T. 16 1995 Tempered infinitely divisible distributions and processes. Zbl 1215.60013Bianchi, M. L.; Rachev, S. T.; Kim, Y. S.; Fabozzi, F. J. 16 2011 Computing VaR and AVaR in infinitely divisible distributions. Zbl 1222.60018Kim, Young Shin S.; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. 16 2010 Monge-Kantorovich problem on mass transition and its applications in stochastics. Zbl 0565.60010Rachev, S. T. 15 1984 Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Zbl 1269.91082Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 14 2013 Calibrating affine stochastic mortality models using term assurance premiums. Zbl 1218.91093Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; Rachev, Svetlozar; Fabozzi, Frank J. 14 2011 Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S. 14 1998 Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 14 1998 The problem of stability in queueing theory. Zbl 0676.60090Rachev, S. T. 14 1989 Stationarity of stable power-GARCH processes. Zbl 1043.62074Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 13 2002 Stable distributions in the Black-Litterman approach to asset allocation. Zbl 1190.91136Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. 13 2007 An ideal metric and the rate of convergence to a self-similar process. Zbl 0624.60010Maejima, Makoto; Rachev, Svetlozar T. 13 1987 Stochastic models for risk estimation in volatile markets: a survey. Zbl 1233.91332Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, Svetlozar T.; Fabozzi, Frank J. 12 2010 Duality theorems for Kantorovich-Rubinstein and Wasserstein functionals. Zbl 0716.60005Rachev, S. T.; Shortt, R. M. 12 1990 Alternative multivariate stable distributions and their applications to financial modeling. Zbl 0725.90006Mittnik, Stefan; Rachev, Svetlozar T. 12 1991 Tail estimation of the stable index \(\alpha\). Zbl 0855.62015Mittnik, S.; Rachev, S. T. 12 1996 Cointegrated processes with infinite variance innovations. Zbl 0941.62092Paulauskas, Vygantas; Rachev, Svetlozar T. 12 1998 Tempered stable Ornstein-Uhlenbeck processes: a practical view. Zbl 1366.60078Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Fabozzi, Frank J. 11 2017 Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023Mittnik, S.; Rachev, S. T. 11 1999 A testable version of the Pareto-Stable CAPM. Zbl 1014.91047Gamrowski, B.; Rachev, S. T. 11 1999 Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case. Zbl 1255.91395Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio 11 2006 Mass transportation problems in probability theory. Zbl 0860.60083Cuesta-Albertos, J. A.; Matrán, C.; Rachev, S. T.; Rüschendorf, L. 11 1996 Solution of some transportation problems with relaxed or additional constraints. Zbl 0797.60019Rachev, S. T.; Rüschendorf, L. 11 1994 Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V. 11 2007 Sums of a random number of random variables and their approximations with \(\nu\)-accompanying infinitely divisible laws. Zbl 0939.60003Klebanov, L.; Rachev, S. T. 11 1996 Rounding proportions: Methods of rounding. Zbl 0935.65046Balinski, Michel L.; Rachev, Svetlozar T. 10 1997 The proper use of risk measures in portfolio theory. Zbl 1117.91035Ortobelli, Sergio; Rachev, Svetlozar T.; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 10 2005 A GARCH option pricing model with \(\alpha\)-stable innovations. Zbl 1067.90120Menn, Christian; Rachev, Svetlozar T. 10 2005 A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates. Zbl 1235.91089Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. 9 2012 Mathematical methods for the construction of stochastic queueing models. (Matematicheskie metody postroeniya stokhasticheskikh modelej obsluzhivaniya.) Zbl 0714.60083Kalashnikov, V. V.; Rachev, S. T. 9 1988 Laplace-Weibull mixtures for modeling price changes. Zbl 0785.90024Rachev, S. T.; SenGupta, A. 9 1993 Rates of convergence in multivariate extreme value theory. Zbl 0735.60053Omey, E.; Rachev, S. T. 9 1991 The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S. 9 2003 Calibrated FFT-based density approximations for \(\alpha\)-stable distributions. Zbl 1445.60018Menn, Christian; Rachev, Svetlozar T. 9 2006 Estimation of \(\alpha\)-stable sub-Gaussian distributions for asset returns. Zbl 1154.91601Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J. 9 2009 Characterization problems in queueing and their stability. Zbl 0582.60084Kalashnikov, V. V.; Rachev, S. T. 8 1985 A stochastic model of carcinogenesis and tumor size at detection. Zbl 0892.60021Hanin, L. G.; Rachev, S. T.; Tsodikov, A. D.; Yakovlev, A. Yu. 8 1997 Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo 8 2007 On the optimal control of cancer radiotherapy for non-homogeneous cell populations. Zbl 0767.60011Hanin, L. G.; Rachev, S. T.; Yakovlev, A. Yu. 8 1993 Maximum submatrix traces for positive definite matrices. Zbl 0772.15009Olkin, I.; Rachev, S. T. 8 1993 Max-geometric infinite divisibility and stability. Zbl 0736.60015Rachev, S. T.; Resnick, S. 8 1991 Mass transportation problems with capacity constraints. Zbl 0946.60009Rachev, S. T.; Olkin, I. 8 1999 Portfolio management with stable distributions. Zbl 1016.91060Rachev, Svetlozar; Han, Seonkoo 8 2000 Barrier option pricing by branching processes. Zbl 1196.91058Mitov, Georgi K.; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. 7 2009 Smoothly truncated stable distributions, GARCH-models, and option pricing. Zbl 1166.91022Menn, Christian; Rachev, Svetlozar T. 7 2009 Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T. 7 2012 Modelling catastrophe claims with left-truncated severity distributions. Zbl 1164.62411Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; Trück, Stefan; Weron, Rafał 7 2006 Integral and asymptotic representations of geo-stable densities. Zbl 0867.60005Klebanov, L. B.; Melamed, J. A.; Mittnik, S.; Rachev, S. T. 7 1996 Rates for the CLT via new ideal metrics. Zbl 0675.60018Rachev, S. T.; Yukich, J. E. 7 1989 Safety-first analysis and stable Paretian approach to portfolio choice theory. Zbl 1018.91026Ortobelli, L. S.; Rachev, S. T. 6 2001 Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070Mittnik, S.; Paulauskas, V.; Rachev, S. T. 6 2001 Stable modeling of value at risk. Zbl 1008.91063Khindanova, I.; Rachev, S.; Schwartz, E. 6 2001 Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S. 6 2008 Orderings and probability functionals consistent with preferences. Zbl 1169.91375Ortobelli, Sergio; Rachev, Svetlozar T.; Shalit, Haim; Fabozzi, Frank J. 6 2009 Maximum likelihood estimators in regression models with infinite variance innovations. Zbl 1180.62124Paulauskas, Vygantas; Rachev, Svetlozar T. 6 2003 Orderings and risk probability functionals in portfolio theory. Zbl 1158.60322Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; Fabozzi, Frank J. 6 2008 Models for option prices. Zbl 0833.90020Rachev, S. T.; Rüschendorf, L. 6 1994 Association of stable random variables. Zbl 0716.60017Lee, Mei-Ling Ting; Rachev, Svetlozar T.; Samorodnitsky, Gennady 6 1990 A generalized binomial model and option pricing formulae for subordinated stock-price processes. Zbl 0849.90013Karandikar, Rajeeva L.; Rachev, Svetlozar T. 6 1995 Long strange segments in a long-range-dependent moving average. Zbl 1053.60036Rachev, Svetlozar T.; Samorodnitsky, Gennady 6 2001 Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093Rachev, S. T.; Mittnik, S.; Kim, J.-R. 6 1998 Minimal metrics in the random variables space. Zbl 0494.60012Rachev, S. T. 5 1982 On a class of minimal functionals on the space of probability measures. Zbl 0531.60008Rachev, S. T. 5 1984 Metrization of stochastic dominance rules. Zbl 1282.91162Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 5 2012 Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan 5 1997 Characterizations of the bivariate exponential distribution and Marshall- Olkin distribution and stability. Zbl 0518.60019Obretenov, A.; Rachev, S. 5 1983 Long strange segments of a stochastic process. Zbl 1052.60025Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady 5 2001 Multi-tail generalized elliptical distributions for asset returns. Zbl 1231.91488Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Bianchi, Michele Leonardo 5 2009 A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 5 1998 Geometric stable distributions and Laplace-Weibull mixtures. Zbl 0762.60012Rachev, S. T.; SenGupta, A. 5 1992 Probability and statistics for finance. Zbl 1229.91002Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Focardi, Sergio M. 5 2010 Option pricing in markets with informed traders. Zbl 1457.91378Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. 1 2020 Pricing derivatives in Hermite markets. Zbl 1426.91279Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank J. 1 2019 Tempered stable Ornstein-Uhlenbeck processes: a practical view. Zbl 1366.60078Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Fabozzi, Frank J. 11 2017 Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion. Zbl 1400.91654Kim, Y. S.; Stoyanov, S.; Rachev, S.; Fabozzi, F. 3 2016 Smooth monotone covariance for elliptical distributions and applications in finance. Zbl 1402.62263Zhou, Xiaoping; Malioutov, Dmitry; Fabozzi, Frank J.; Rachev, Svetlozar T. 1 2014 The methods of distances in the theory of probability and statistics. Zbl 1280.60005Rachev, Svetlozar T.; Klebanov, Lev B.; Stoyanov, Stoyan V.; Fabozzi, Frank J. 28 2013 Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Zbl 1269.91082Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 14 2013 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Zbl 1260.91228Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico 25 2012 A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates. Zbl 1235.91089Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. 9 2012 Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T. 7 2012 Metrization of stochastic dominance rules. Zbl 1282.91162Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 5 2012 On a class of distributions stable under random summation. Zbl 1245.60022Klebanov, L. B.; Kakosyan, A. V.; Rachev, S. T.; Temnov, G. 1 2012 Financial models with Lévy processes and volatility clustering. Zbl 1217.91003Rachev, Svetlozar T.; Kim, Young Shim; Bianchi, Michele Leonardo; Fabozzi, Frank J. 20 2011 Tempered infinitely divisible distributions and processes. Zbl 1215.60013Bianchi, M. L.; Rachev, S. T.; Kim, Y. S.; Fabozzi, F. J. 16 2011 Calibrating affine stochastic mortality models using term assurance premiums. Zbl 1218.91093Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; Rachev, Svetlozar; Fabozzi, Frank J. 14 2011 Comment on “Weak convergence to a matrix stochastic integral with stable processes”. Zbl 1274.62935Paulauskas, Vygantas; Rachev, Svetlozar T.; Fabozzi, Frank J. 2 2011 Computing VaR and AVaR in infinitely divisible distributions. Zbl 1222.60018Kim, Young Shin S.; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. 16 2010 Stochastic models for risk estimation in volatile markets: a survey. Zbl 1233.91332Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, Svetlozar T.; Fabozzi, Frank J. 12 2010 Probability and statistics for finance. Zbl 1229.91002Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Focardi, Sergio M. 5 2010 Portfolio selection based on a simulated copula. Zbl 1197.91180Ortobelli, Sergio; Biglova, Almira; Rachev, Svetlozar (Zari) T.; Stoyanov, Stoyan 2 2010 Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. Zbl 1192.91193Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, Wei; Belovas, Igoris 1 2010 A note on the impact of nonlinear reward and risk measures. Zbl 1197.91175Biglova, Almira; Ortobelli, Sergio; Rachev, Svetlozar (Zari) T.; Stoyanov, Stoyan 1 2010 The modified tempered stable distribution, GARCH models and option pricing. Zbl 1166.60013Kim, Yong Shin; Rachev, Svetlozar T.; Chung, Dong Myung; Bianchi, Michele Leonardo 19 2009 Estimation of \(\alpha\)-stable sub-Gaussian distributions for asset returns. Zbl 1154.91601Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J. 9 2009 Barrier option pricing by branching processes. Zbl 1196.91058Mitov, Georgi K.; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. 7 2009 Smoothly truncated stable distributions, GARCH-models, and option pricing. Zbl 1166.91022Menn, Christian; Rachev, Svetlozar T. 7 2009 Orderings and probability functionals consistent with preferences. Zbl 1169.91375Ortobelli, Sergio; Rachev, Svetlozar T.; Shalit, Haim; Fabozzi, Frank J. 6 2009 Multi-tail generalized elliptical distributions for asset returns. Zbl 1231.91488Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Bianchi, Michele Leonardo 5 2009 Pricing tranches of a CDO and a CDS index: Recent advances and future research. Zbl 1154.91517Wang, Dezhong; Rachev, Svetlozar T.; Fabozzi, Frank J. 5 2009 A new tempered stable distribution and its application to finance. Zbl 1154.91507Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. 4 2009 Alpha-stable paradigm in financial markets. Zbl 1165.91454Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, Wei; Belovas, Igoris 4 2009 Stable ETL optimal portfolios and extreme risk management. Zbl 1154.91471Rachev, Svetlozar T.; Martin, R. Douglas; Racheva, Borjana; Stoyanov, Stoyan 3 2009 Construction of probability metrics on classes of investors. Zbl 1178.91046Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. 2 2009 Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 20 2008 Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S. 6 2008 Orderings and risk probability functionals in portfolio theory. Zbl 1158.60322Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; Fabozzi, Frank J. 6 2008 Multivariate skewed Student’s \(t\) copula in the analysis of nonlinear and asymmetric dependence in the German equity market. Zbl 1193.91183Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; Fabozzi, Frank J. 5 2008 Computing VaR and AVaR of skewed-T distribution. Zbl 1158.91394Dokov, Steftcho; Stoyanov, Stoyan V.; Rachev, Svetlozar T. 5 2008 Delta hedging strategies comparison. Zbl 1142.91514De Giovanni, Domenico; Ortobelli, Sergio; Rachev, Svetlozar 4 2008 Asymptotic distribution of the sample average value-at-risk. Zbl 1132.62088Stoyanov, Stoyan V.; Rachev, Svetlozar T. 1 2008 Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns. Zbl 1158.91389Stoyanov, Stoyan V.; Rachev, Svetlozar T. 1 2008 Optimal financial portfolios. Zbl 1151.91542Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J. 23 2007 Stable distributions in the Black-Litterman approach to asset allocation. Zbl 1190.91136Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. 13 2007 Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V. 11 2007 Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo 8 2007 A comparison of some univariate models for value-at-risk and expected shortfall. Zbl 1141.91535Marinelli, Carlo; D’Addona, Stefano; Rachev, Svetlozar T. 1 2007 Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case. Zbl 1255.91395Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio 11 2006 Calibrated FFT-based density approximations for \(\alpha\)-stable distributions. Zbl 1445.60018Menn, Christian; Rachev, Svetlozar T. 9 2006 Modelling catastrophe claims with left-truncated severity distributions. Zbl 1164.62411Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; Trück, Stefan; Weron, Rafał 7 2006 Ill-posed problems in probability and stability of random sums. Zbl 1147.60001Klebanov, Lev B.; Kozubowski, Tomasz J.; Rachev, Svetlozar T. 5 2006 Risk attribution and portfolio performance measurement. An overview. Zbl 1169.91395Zhang, Yongli; Rachev, Svetlozar T. 2 2006 The proper use of risk measures in portfolio theory. Zbl 1117.91035Ortobelli, Sergio; Rachev, Svetlozar T.; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 10 2005 A GARCH option pricing model with \(\alpha\)-stable innovations. Zbl 1067.90120Menn, Christian; Rachev, Svetlozar T. 10 2005 Handbook of computational and numerical methods in finance. Zbl 1068.91001 1 2004 The problem of optimal asset allocation with stable distributed returns. Zbl 1106.91034Rachev, Svetlozar; Ortobelli, Sergio; Schwartz, Eduardo 1 2004 Optimal portfolio selection and risk management: a comparison between the stable Paretian approach and the Gaussian one. Zbl 1138.91466Ortobelli, Sergio; Rachev, Svetlozar; Huber, Isabella; Biglova, Almira 1 2004 The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S. 9 2003 Maximum likelihood estimators in regression models with infinite variance innovations. Zbl 1180.62124Paulauskas, Vygantas; Rachev, Svetlozar T. 6 2003 Quantitative stability in stochastic programming: the method of probability metrics. Zbl 1082.90080Rachev, Svetlozar T.; Römisch, Werner 49 2002 Stationarity of stable power-GARCH processes. Zbl 1043.62074Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 13 2002 Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo 3 2002 Optimal policies for investment with time-varying return distributions. Zbl 1118.91320Donchev, Doncho S.; Rachev, Svetlosar T.; Steigerwald, Douglas G. 1 2002 Safety-first analysis and stable Paretian approach to portfolio choice theory. Zbl 1018.91026Ortobelli, L. S.; Rachev, S. T. 6 2001 Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070Mittnik, S.; Paulauskas, V.; Rachev, S. T. 6 2001 Stable modeling of value at risk. Zbl 1008.91063Khindanova, I.; Rachev, S.; Schwartz, E. 6 2001 Long strange segments in a long-range-dependent moving average. Zbl 1053.60036Rachev, Svetlozar T.; Samorodnitsky, Gennady 6 2001 Long strange segments of a stochastic process. Zbl 1052.60025Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady 5 2001 Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence. Zbl 1006.60011Marinelli, C.; Rachev, S. T.; Roll, R. 2 2001 Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis. Zbl 0982.62054Klebanov, L. B.; Kozubowski, T. J.; Rachev, S. T.; Volkovich, V. E. 2 2001 Special issue: Stable non-Gaussian models in finance and econometrics. Zbl 0991.00020 1 2001 Stable Paretian models in finance. Zbl 0972.91060Rachev, Svetlozar; Mittnik, Stefan 172 2000 Portfolio management with stable distributions. Zbl 1016.91060Rachev, Svetlozar; Han, Seonkoo 8 2000 A new representation for the characteristic function of strictly geo-stable vectors. Zbl 0979.60008Klebanov, Lev B.; Mittnik, Stefan; Rachev, Svetlozar T.; Volkovich, Vladimir E. 2 2000 Local prelimit theorems and their applications to finance. Zbl 0958.60024Klebanov, L. B.; Rachev, S. T.; Safarian, M. 1 2000 Value at risk: Recent advances. Zbl 0978.91050Khindanova, Irina N.; Rachev, Svetlozar T. 1 2000 The spread of AIDS among interactive transmission groups. Zbl 0971.92027Haynatzka, V. R.; Gani, J.; Rachev, S. T. 1 2000 Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D. 28 1999 Univariate geometric stable laws. Zbl 1055.60503Kozubowski, T. J.; Rachev, S. T. 24 1999 Option pricing for a logstable asset price model. Zbl 0990.91022Hurst, S. R.; Platen, E.; Rachev, S. T. 24 1999 Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023Mittnik, S.; Rachev, S. T. 11 1999 A testable version of the Pareto-Stable CAPM. Zbl 1014.91047Gamrowski, B.; Rachev, S. T. 11 1999 Mass transportation problems with capacity constraints. Zbl 0946.60009Rachev, S. T.; Olkin, I. 8 1999 Stable Paretian models in econometrics. I. Zbl 0956.91065Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan 5 1999 Multivariate geometric stable laws. Zbl 0964.62039Kozubowski, T. J.; Rachev, S. T. 5 1999 Pre-limit theorems and their applications. Zbl 0949.60036Klebanov, L. B.; Rachev, S. T.; Szekely, G. J. 4 1999 Test of association between multivariate stable vectors. Zbl 1098.62534Mittnik, S.; Rachev, S. T.; Rüschendorf, L. 3 1999 Stable distributions and the term structure of interest rates. Zbl 1051.60018Dostoglou, S. A.; Rachev, S. T. 2 1999 Stable Paretian models in econometrics. II. Zbl 0962.91065Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan 2 1999 CED model for asset returns and fractal market hypothesis. Zbl 0992.91040Rachev, S. T.; Weron, A.; Weron, R. 1 1999 Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications. Zbl 0990.60500Rachev, S. T.; Rüschendorf, Ludger 253 1998 Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S. 14 1998 Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 14 1998 Cointegrated processes with infinite variance innovations. Zbl 0941.62092Paulauskas, Vygantas; Rachev, Svetlozar T. 12 1998 Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093Rachev, S. T.; Mittnik, S.; Kim, J.-R. 6 1998 A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. 5 1998 Solving moment problems with application to stochastics. Zbl 1151.44300Anastassiou, G. A.; Rachev, S. T. 1 1998 Subordinated market index models: A comparison. Zbl 1153.91788Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T. 20 1997 Rounding proportions: Methods of rounding. Zbl 0935.65046Balinski, Michel L.; Rachev, Svetlozar T. 10 1997 A stochastic model of carcinogenesis and tumor size at detection. Zbl 0892.60021Hanin, L. G.; Rachev, S. T.; Tsodikov, A. D.; Yakovlev, A. Yu. 8 1997 Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan 5 1997 ...and 113 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,188 Authors 87 Rachev, Svetlozar T. 27 Rüschendorf, Ludger 26 Fabozzi, Frank J. 19 Kozubowski, Tomasz J. 18 Yakovlev, Andrej Yu. 17 Mittnik, Stefan 13 Aissani, Djamil 12 Grabchak, Michael 12 Römisch, Werner 11 Chen, Zhiping 11 McCann, Robert J. 11 Neininger, Ralph 11 Panorska, Anna K. 10 Gordienko, Evgueni I. 10 Mahmoud, Hosam M. 10 Ortobelli, Sergio 10 Samorodnitsky, Gennady Pinkhosovich 10 Stoyanov, Stoyan V. 10 Wyłomańska, Agnieszka 9 Klebanov, Leo B. 9 Puccetti, Giovanni 8 Čekanavičius, Vydas 8 Cuesta-Albertos, Juan Antonio 8 Hanin, Leonid G. 8 Paolella, Marc S. 8 Prochno, Joscha 8 Tian, Zheng 7 Kolesnikov, Alexander V. 7 Korolev, Viktor Yur’evich 7 Meerschaert, Mark Marvin 7 Meintanis, Simos G. 7 Paulauskas, Vygantas Ionovič 7 Pflug, Georg Ch. 7 Pichler, Alois 7 Schmid, Wolfgang 7 Xia, Aihua 6 Anastassiou, George Angelos 6 Bassetti, Federico 6 Beiglböck, Mathias 6 Bogachev, Vladimir Igorevich 6 Broutin, Nicolas 6 del Barrio, Eustasio 6 Gao, Zhenlong 6 Goldstein, Larry 6 Heinich, Henri 6 Matrán, Carlos 6 Munk, Axel 6 Nadarajah, Saralees 6 Ortobelli Lozza, Sergio 6 Qin, Ruibing 6 Tichý, Tomáš 6 Tsionas, Efthymios G. 6 Xu, Huifu 6 Zhang, Rongmao 5 Abbas, Karim 5 Balakrishnan, Narayanaswamy 5 Berckmoes, Ben 5 Bianchi, Michele Leonardo 5 Blake, David 5 Boucher, Kenneth M. 5 Brenier, Yann 5 Chan, Ngai Hang 5 Denuit, Michel M. 5 Durante, Fabrizio 5 Gajda, Janusz 5 Giacometti, Rosella 5 Golomozyĭ, V. V. 5 Heyde, Christopher Charles 5 Jourdain, Benjamin 5 Kalashnikov, Vladimir Vyacheslavovich 5 Liu, Yongchao 5 Mikami, Toshio 5 Pass, Brendan W. 5 Peng, Liang 5 Regazzini, Eugenio 5 Richter, Wolf-Dieter 5 Roitershtein, Alexander 5 Seneta, Eugene 5 Sulzbach, Henning 5 Tsodikov, Alexander D. 5 Zeifman, Alexander Izrailevich 4 Balbás, Alejandro 4 Balinski, Michel Louis 4 Bodnar, Taras 4 Calzolari, Giorgio 4 Carlier, Guillaume 4 Chafaï, Djalil 4 Chen, Zhanshou 4 De Pascale, Luigi 4 Fasen, Vicky 4 Guo, Shaoyan 4 Han, Youpan 4 Ibragimov, Rustam 4 Ignatieva, Katja 4 Janson, Svante 4 Jiang, Jie 4 Jin, Hao 4 Kim, Young Shin S. 4 Kokoszka, Piotr S. 4 Kreinovich, Vladik Yakovlevich ...and 2,088 more Authors all top 5 Cited in 355 Serials 68 Statistics & Probability Letters 44 Journal of Multivariate Analysis 42 Mathematical and Computer Modelling 40 Annals of Operations Research 38 Journal of Econometrics 35 Stochastic Processes and their Applications 34 European Journal of Operational Research 30 Quantitative Finance 29 The Annals of Applied Probability 28 Journal of Applied Probability 26 Journal of Mathematical Analysis and Applications 24 The Annals of Probability 24 Insurance Mathematics & Economics 24 Communications in Statistics. 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