Bayesian Methods in Finance

by Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva

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.

Genres: Finance

352 pages, Hardcover

First published February 8, 2007

About the author

Svetlozar (Zari) T. Rachev completed his Ph.D. Degree in 1979 from Moscow State (Lomonosov) University, and his Doctor of Science Degree in 1986 from Steklov Mathematical Institute in Moscow. Currently he is Chair-Professor in Statistics, Econometrics and Mathematical Finance 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 Department of Statistics and Applied Probability. He has published seven monographs, eight handbooks and special-edited volumes, and over 250 research articles. Professor Rachev is cofounder of Bravo Risk Management Group specializing in financial risk-management software. Bravo Group was recently acquired by FinAnalytica for which he currently serves as Chief-Scientist.