Research & Preprints:

Economics & Finance:

Fixed Income, Credit, and FX:

Risky Sovereign Capital Structure: Fundamentals, 2026. [SSRN]

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

Risky Sovereign Capital Structure: Macrofinancial Diagnostics, 2026. [SSRN]

Financial Management Association Annual Meeting, Nashville, Tennessee 2014  [shorter preliminary version presented]

Risky Sovereign Capital Structure: Relative Value and Arbitrage, 2026. [SSRN]

Corporate Capital Structure: Relative Value and Arbitrage under Multi-currency debt, 2026.

♦ Inside the Risky Sovereign Bond Spreads and CDS-bond Basis: EMs, DMs, and the Eurozone, 2026. [SSRN]

Challenges in Derivatives Markets, Munich 2015 [a shorter preliminary version in a book chapter, ref. below]

Inside the Risky Sovereign Bonds Covexity and Risk Premia: EMs, DMs, and the Eurozone, 2026.

Inside the Corporate Bond Spreads, CDS-bond Basis, Convexity, and Risk Premia, 2026.

Inside the Sovereign Local Currency Bonds: A Quantitative Macrofinancial Perspective, 2026.

Inside the Sovereign Inflation-linked Bonds: A Quantitative Macrofinancial Perspective, 2026.

Multi-currency Sovereign Bonds Arbitrage: A Dynamic Factors Approach, 2026. [SSRN]

Workshop Stochastic Models and Control, Kaiserslautern 2015

Multi-currency Corporate Bonds Arbitrage: A Dynamic Factors Approach, 2026.

Derivatives:

Dynamic Hedging and Vol Risk-Premium in Interest Rate and Inflation Derivatives, 2026.

Dynamic Hedging and Vol Risk-Premium in FX Derivatives, 2026.

Dynamic Hedging and Vol Risk-Premium in Equity Derivatives, 2026.

Aspects in Option Pricing and Hedging via AI, 2026.

Aspects in 0DTE Options, 2026.

Aspects in Perpetual Futures, 2026.

Portfolio Theory & Investing:

Optimal Fixed Income Portfolios via Orthogonal Factors, 2026.

Optimal Equity Portfolios via Orthogonal Factors, 2026.

Aspects in Optimal Financial Portfolios via AI, 2026.

Equity:

Navigating Equity Sector Rotation: The Role of Options, Volatility, and Correlation, 2026.

High-Tech Valuation & Arbitrage: A Trading Playbook, 2026.

Schumpeter, Hayek, and High-Tech Bubbles: A Note, 2026.

Pricing Equity Risk Premia: The Role of Volatility and Credit Risk, 2026.

Trading Strategies:

Strategic and Tactical Ideas in Active Portfolio Management, 2026.

Alpha Ideas in Equity and FX High Frequency Trading, 2026.

Alpha Ideas in Derivatives Quantitative Investment Strategies, 2026.

Alpha Ideas in Fixed Income, Credit, and FX Quantitative Investment Strategies, 2026.

XI CIS and Baltic Region Bond Congress, Sochi 2014  [EM fixed income ideas presented]

Monetary Theory and Policy & Macro:

Monetary Policy under Unstable Asset Prices: A Strategic Reckoning, 2026. [Based on & Expanded from CEU Master’s Thesis]

Optimal Treasuries Issuance: Aspects in Managing Sovereign Debt in a Eurozone Country, 2026

Quantitative Finance & Applied Mathematics:

Inside the CDO Correlation Surface: Market Models Perspective, 2026. [SSRN]

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

Dynamic CDO Pricing and Hedging in a Forward Setting, 2026. [SSRN]

2nd IMA Conference on Mathematics in Finance, Manchester 2015

Systemic Financial Turmoil: Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics, 2026. [SSRN]

Workshop Stochastic Models and Control, Kaiserslautern 2015

Portfolio Credit Derivatives Top Down Dependence Diagnostics via Majorization, 2026. [SSRN]

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

♦ On Iterated Lorenz Curves with Applications, with Ignatov, Z., 2025. [Arxiv | code]

Annual of Sofia University “St.Kliment Ohridski”, vol. 24, 71 - 118, 2025

On Iterated Lorenz Curves with Applications: The Multivariate Case, 2026. [Arxiv | code]

13th World Congress of Bachelier Finance Society, Bologna 2026

Optimal Financial Portfolios via Majorization: The Static Case, 2026. [SSRN]

Festival for New Economic Thinking (INET), Edinburgh 2017

Publications:

On Iterated Lorenz Curves with Applications, with Ignatov, Z., Annual of Sofia University “St.Kliment Ohridski”, vol. 24, 71 –118, 2025. [Article | Arxiv | code]

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 | code]

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 | code ]

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 | code ]

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:

preprints updates & others