| Financial models with Lévy processes and volatility clustering ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi John Wiley & Sons, 2011 | 228 | 2011 |
| Financial market models with Lévy processes and time-varying volatility YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Journal of Banking & Finance 32 (7), 1363-1378, 2008 | 145 | 2008 |
| Time series analysis for financial market meltdowns YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi Journal of Banking & Finance 35 (8), 1879-1891, 2011 | 126 | 2011 |
| Tempered stable and tempered infinitely divisible GARCH models YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Journal of Banking & Finance 34 (9), 2096-2109, 2010 | 119 | 2010 |
| The modified tempered stable distribution, GARCH-models and option pricing YS Kim, ST Rachev, DM Chung, ML Bianchi Probability and Mathematical statistics 29 (1), 91-117, 2009 | 114 | 2009 |
| Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model YS Kim, R Giacometti, ST Rachev, FJ Fabozzi, D Mignacca Annals of operations research 201, 325-343, 2012 | 97 | 2012 |
| Computing VaR and AVaR in infinitely divisible distributions YS Kim, S Rachev, ML Bianchi, FJ Fabozzi PROBABILITY AND MATHEMATICAL STATISTICS 30 (2), 223-245, 2010 | 95 | 2010 |
| Tempered stable distributions and processes in finance: numerical analysis ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010 | 59 | 2010 |
| A new tempered stable distribution and its application to finance YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Risk Assessment: Decisions in Banking and Finance, 77-109, 2009 | 57 | 2009 |
| Foster–Hart optimal portfolios A Anand, T Li, T Kurosaki, YS Kim Journal of Banking & Finance 68, 117-130, 2016 | 42 | 2016 |
| Tempered infinitely divisible distributions and processes ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi Theory of Probability & Its Applications 55 (1), 2-26, 2011 | 40 | 2011 |
| Tempered infinitely divisible distributions and processes M Bianchi, ST Rachev, YS Kim, FJ Fabozzi Теория вероятностей и ее применения 55 (1), 59-86, 2010 | 40 | 2010 |
| Quanto option pricing in the presence of fat tails and asymmetric dependence YS Kim, J Lee, S Mittnik, J Park Journal of Econometrics 187 (2), 512-520, 2015 | 37 | 2015 |
| Barrier option pricing by branching processes GK Mitov, ST Rachev, YS Kim, FJ Fabozzi International Journal of Theoretical and Applied Finance 12 (07), 1055-1073, 2009 | 36 | 2009 |
| Approximation of skewed and leptokurtic return distributions M Scherer, ST Rachev, YS Kim, FJ Fabozzi Applied Financial Economics 22 (16), 1305-1316, 2012 | 35 | 2012 |
| Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion YS Kim, S Stoyanov, S Rachev, F Fabozzi Economics Letters 145, 225-229, 2016 | 31 | 2016 |
| Reward-risk momentum strategies using classical tempered stable distribution J Choi, YS Kim, I Mitov Journal of Banking & Finance 58, 194-213, 2015 | 31 | 2015 |
| System and method for estimating portfolio risk using an infinitely divisible distribution ST Rachev, G Samorodnitsky, YS Kim US Patent 8,301,537, 2012 | 31 | 2012 |
| Option pricing with time-changed Lévy processes S Klingler, YS Kim, ST Rachev, FJ Fabozzi Applied financial economics 23 (15), 1231-1238, 2013 | 29 | 2013 |
| Option pricing under stochastic volatility and tempered stable Lévy jumps TS Zaevski, YS Kim, FJ Fabozzi International Review of Financial Analysis 31, 101-108, 2014 | 27 | 2014 |
Svetlozar RachevProfessor of Applied MathematicsVerified email at ttu.edu
