Bayesian Methods in Finance

By Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva and Frank J. Fabozzi

Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

• Language: English
• Publisher: Wiley
• Release date: Feb 13, 2008
• ISBN: 9780470249246

Svetlozar T. Rachev

Svetlozar (Zari) Rachev completed his PhD in 1979 from Moscow State University, and his Doctor of Science degree in 1986 from the Steklov mathematical Institute in Moscow. Currently he is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California Santa Barbara in the Dept of Statistics and Applied Probability. He has published six monographs and over 230 research articles. He is a Fellow of the Institute of Mathematical Statistics, Elected member of the International statistical Institute, foreign Member of the Russian Academy of Natural Science, and hols an honorary doctorate degree from St. Petersburg Technical University. He is co-founder of Bravo Risk Management Group specializing in financial risk management software. Bravo Group was recently acquired by FinAnalytics for which he currently serves as Chief-Scientist.

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