Academic research

 

 

 

 

 

 

Preprints:

Risky Sovereign Capital Structure: Fundamentals, 2015. [SSRN]

Risky Sovereign Capital Structure: Macrofinancial Diagnostics, 2015. [SSRN]

Risky Sovereign Capital Structure: Relative Value and Arbitrage, 2015. [SSRN]

Inside the EMs Risky Spreads and CDS-Sovereign Bonds Basis, 2015. [SSRN]

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

Local Currency Intricacies: IR Derivatives, Quantos, OIS Discounting, and XVA, 2018. [SSRN]

Strategic and Tactical Ideas in Fixed Income and Derivatives Trading Strategies and Active Portfolio Management, 2018.

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, 2015. [SSRN]

Inside the CDO Correlation Surface, 2015. [SSRN]

Bootstrapping a Single-Tranche CDO, 2015. [SSRN]

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

Optimal Financial Portfolios via Majorization: The Static Case, 2017. [SSRN]

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

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, 2018 (status - final review)

Optimal Fixed Income Portfolios via Machine Learning, 2018 (status - final review)

Dynamic Hedging and Vol Risk-Premium in Interest Rate and Inflation Derivatives, 2018 (status - final review)

Dynamic Hedging and Vol Risk-Premium in FX Derivatives, 2018 (status - final review)

Dynamic Hedging and Vol Risk-Premium in Equity Derivatives, 2018 (status - final review)

Alpha Ideas in Equity and FX HFT and STS, 2018 (status - final review)

Inside the Risky Sovereign Spreads and CDS-bond Basis, 2018 (status - final review)

Inside the Risky Sovereign Spreads Risk Premia, 2018 (status - final review)

Inside the Risky Sovereign Inflation-Linked Bonds, 2018 (status - final review)

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

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