Preprints:

Risky Sovereign Capital Structure: Fundamentals, 2016. [SSRN]

• Global Derivatives 2015, Rising Stars of Quantitative Finance, Amsterdam 2015

Risky Sovereign Capital Structure: Macrofinancial Diagnostics, 2016. [SSRN]

• 8th International Finance Conference, Paris 2015

Risky Sovereign Capital Structure: Relative Value and Arbitrage, 2016. [SSRN]

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis, 2015. [SSRN]

• Challenges in Derivatives Markets, Munich 2015

Multi-currency (Risky) Sovereign Bonds Arbitrage, 2015. [SSRN]

• Workshop Stochastic Models and Control, Kaiserslautern 2015

Soft Currency Intricacies: OIS Discounting and Quanto Adjustments, 2015. [SSRN]

Strategic and Tactical Ideas in Fixed Income and Derivatives Trading Strategies and Active Portfolio Management, 2014.

• XI CIS Baltic Region Bond Congress, Sochi 2014

Inside the Currency Board Arrangement Risky Spreads and Credit Default Swap - Sovereign Bonds Basis, with Prodanov, K., Totkov, A.,  2015. [SSRN]

Dynamic CDO Pricing and Hedging in a Forward Setting, 2016. [SSRN]

• 2nd IMA Conference on Mathematics in Finance, Manchester 2015

Inside the CDO Correlation Surface, 2016. [SSRN]

• 38th Conference on Stochastic Processes and their Applications, Oxford 2015

Bootstrapping a Single-Tranche CDO, 2016. [SSRN]

Portfolio Credit Derivatives Top Down Dependence Diagnostics via Majorization, 2016. [SSRN]

• 9th World Congress of Bachelier Finance Society, New York 2016

Optimal Financial Portfolios via Majorization: The Static Case, 2016. [SSRN]

• Festival for New Economic Thinking (INET), Edinburgh 2017

Systemic Financial Turmoil: Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics, 2015. [SSRN]

• Workshop Stochastic Models and Control, Kaiserslautern 2015

Publications:

The Bulgarian Foreign and Domestic Debt - A No-Arbitrage Macrofinancial View, The William Davidson Institute at the UMichigan, WP 1032, 2012. [SSRN]

Compound Real Option Valuation with Phase-Specific Volatility: A Multi-Phase Mobile Payments Case Study, with Cassimon, D., Engelen, P. J., Technovation 31, 240-255, 2011. [SSRN]

Incorporating Technical Risk in Compound Real Option Models to Value a Pharmaceutical R&D Licensing Opportunity, with Cassimon, D., De Backer, M., Engelen, P. J., Van Wouwe, M., Research Policy, 40, 1200-1216, 2011. [SSRN]

Decomposing the Value of a Pharmaceutical Firm, with Cassimon, D., Engelen, P. J., International Journal of Pharmaceutical Medicine, 20(2):87-97, 2006. [SSRN]

Book chapters:

Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Editors: Glau, K., Grbac, Z., Scherer, M., Zagst, R. (Eds.), Springer, 2016

Book projects:

TBA

Work in progress:

Optimal Fixed Income Portfolios via Orthogonal Factors, 2017 (status - final review)

Optimal Fixed Income Portfolios via Machine Learning, 2017 (status - final review)

Dynamic Hedging and Vol Risk-Premium in Interest Rate and Inflation Derivatives, 2017 (status - final review)

Dynamic Hedging and Vol Risk-Premium in FX Derivatives, 2017 (status - final review)

Alpha Ideas in High Frequency Trading, 2017 (status - final review)

Currency Board Arrangement Capital Structure Macrofinancial Diagnostics, 2014 (status - final review)

• Financial Management Association Annual Meeting, Nashville, Tennessee 2014

Three Curves, Ones Sovereign: The Russian and Turkish Foreign and Domestic Debt Macrofinancial Diagnostics (status - in progress).