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Svetlozar Rachev
Svetlozar (Zari) Todorov Rachev (Bulgarian: ''Светлозар Тодоров Рачев'', born September 6, 1951) is a Bulgarian mathematician 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 Emeritus at University of California Santa Barbara, professor of finance at the College of Business at Stony Brook University and the director of its Center for Finance.
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. 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.
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