Academic research

 
"The science of today is the technology of tomorrow."
 Edward Teller
 

 

 

 

 

Preprints:

Risky Sovereign Capital Structure: Fundamentals, 2024. [SSRN]

Risky Sovereign Capital Structure: Macrofinancial Diagnostics, 2024. [SSRN]

Risky Sovereign and Corporate Capital Structure: Relative Value and Arbitrage, 2024. [SSRN]

Inside the Risky Sovereign Bond Spreads and CDS-bond Basis: EMs, DMs, and the Eurozone, 2024. [SSRN]

Inside the Risky Sovereign Bonds Covexity and Risk Premia: EMs, DMs, and the Eurozone, 2024.

Inside the Corporate Bond Spreads, CDS-bond Basis, Convexity, and Risk Premia, 2024.

Inside the Sovereign Local Currency Bonds: A Quantitative Macrofinancial Perspective, 2024.

Inside the Sovereign Inflation-linked Bonds: A Quantitative Macrofinancial Perspective, 2024.

Multi-currency Sovereign Bonds Arbitrage: A Dynamic Factors Approach, 2024. [SSRN]

Multi-currency Corporate Bonds Arbitrage: A Dynamic Factors Approach, 2024.

Dynamic Hedging and Vol Risk-Premium in Interest Rate and Inflation Derivatives, 2024.

Dynamic Hedging and Vol Risk-Premium in FX Derivatives, 2024.

Dynamic Hedging and Vol Risk-Premium in Equity Derivatives, 2024.

Aspects in Options Pricing and Hedging via AI, 2024.

Optimal Fixed Income Portfolios via Orthogonal Factors, 2024.

Optimal Equity Portfolios via Orthogonal Factors, 2024.

Aspects in Optimal Financial Portfolios via AI, 2024.

Strategic and Tactical Ideas in Active Portfolio Management, 2024.

Alpha Ideas in Equity and FX High Frequency Trading, 2024.

Alpha Ideas in Derivatives Quantitative Investment Strategies, 2024.

Alpha Ideas in Fixed Income, Credit, and FX Quantitative Investment Strategies, 2024.

Bootstrapping a Single-Tranche CDO, 2024. [SSRN]

Dynamic CDO Pricing and Hedging in a Forward Setting, 2024. [SSRN]

Inside the CDO Correlation Surface, 2024. [SSRN]

Portfolio Credit Derivatives Top Down Dependence Diagnostics via Majorization, 2024. [SSRN]

Systemic Financial Turmoil: Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics, 2024. [SSRN]

On Iterated Lorenz Curves, with Ignatov, Z., 2024.

On Iterated Lorenz Curves: The Multivariate Case, 2024.

Optimal Financial Portfolios via Majorization: The Static Case, 2024. [SSRN]

Publications:

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

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

Inside the Bulgarian Sovereign Bond Spreads and CDS - bond Basis, with Prodanov, K., Totkov, A.,  2024. [SSRN]

Preprints updates