2 citations · 3 across the 6 of their papers we have counts for
6 papers
Alternatives to classical option pricing
W. Brent Lindquist, Svetlozar T. Rachev
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this app…
Enhancing CVaR portfolio optimisation performance with GAM factor models
Davide Lauria, W. Brent Lindquist, Svetlozar T. Rachev
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particula…
The Financial Market of Environmental Indices
Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar Rachev +1
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mit…
Bachelier's Market Model for ESG Asset Pricing
Svetlozar Rachev, Nancy Asare Nyarko, Blessing Omotade +1
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating a…
The Financial Market of Indices of Socioeconomic Wellbeing
Thilini V. Mahanama, Abootaleb Shirvani, Svetlozar Rachev
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools suc…
Pricing Derivatives in Hermite Markets
Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financi…