Vilimir Yordanov

Independent

SCHOLARLY PAPERS

21

DOWNLOADS

427

CITATIONS

0

Scholarly Papers (21)

1.

Compound Real Option Valuation with Phase-Specific Volatility: A Multi-Phase Mobile Payments Case Study

Technovation, Volume 31, Issues 5-6, May-June 2011, Pages 240-255
Number of pages: 17 Posted: 12 Dec 2012 Last Revised: 05 Mar 2013
Danny Cassimon, Peter-Jan Engelen and Vilimir Yordanov
University of Antwerp - Institute for Development Policy and Management, Utrecht University - Utrecht University School of Economics and Independent
Downloads 80 (224,618)

Abstract:

R&D, Real options, Compound option model, Phase-specific volatility, Mobile payments

2.

Decomposing the Value of a Pharmaceutical Firm

International Journal of Pharmaceutical Medicine, Vol. 20, No. 2, pp. 87-97, 2006
Number of pages: 11 Posted: 12 Dec 2012 Last Revised: 05 Mar 2013
Danny Cassimon, Peter-Jan Engelen and Vilimir Yordanov
University of Antwerp - Institute for Development Policy and Management, Utrecht University - Utrecht University School of Economics and Independent
Downloads 68 (239,108)

Abstract:

R&D, real options, compound option model, pharmaceutical, value decomposition

3.

The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View

William Davidson Institute Working Paper No. 1032
Number of pages: 45 Posted: 05 Jun 2012 Last Revised: 19 Dec 2015
Vilimir Yordanov
Independent
Downloads 63 (255,354)

Abstract:

arbitrage, term structure, credit risk, credit spread, currency spread, HJM

4.

Incorporating Technical Risk in Compound Real Option Models to Value a Pharmaceutical R&D Licensing Opportunity

Research Policy, Vol. 40, No. 9, November 2011
Number of pages: 16 Posted: 12 Dec 2012 Last Revised: 18 Apr 2013
University of Antwerp - Institute for Development Policy and Management, Johnson & Johnson, Utrecht University - Utrecht University School of Economics, University of Antwerp - Department of Mathematics Statistics and Actuarial Sciences and Independent
Downloads 61 (240,787)

Abstract:

Pharmaceutical R&D, Real options, Compound option model, Technical risk, Case study

5.

Currency Board Arrangement Capital Structure Macrofinancial Diagnostics

Financial Management Association, Nashville, Tennessee, Annual Meeting, 2014
Number of pages: 60 Posted: 30 Jun 2015 Last Revised: 14 May 2017
University of Piraeus - Department of Maritime Studies, Credit Suisse AG and Independent
Downloads 21 (293,776)

Abstract:

sovereign risk, credit spread, currency spread, foreign debt, domestic debt, Merton model, capital structure, Currency Board

6.

Inside the Currency Board Arrangement Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Posted: 26 Jun 2012 Last Revised: 18 Dec 2015
Vilimir Yordanov, Konstantin Prodanov and Atanas Totkov
Independent, Independent and Independent

Abstract:

credit spread, currency spread, CDS-Bond basis

7.

Optimal Financial Portfolios via Majorization: The Static Case

Posted: 19 Jul 2016 Last Revised: 09 Dec 2016
Vilimir Yordanov
Independent

Abstract:

Portfolio Theory, CAPM, Lorenz Curve, Majorization, Dependence

8.

Portfolio Credit Derivatives Top Down Dependence Diagnostics via Majorization

9th World Congress of the Bachelier Finance Society, New York, USA
Posted: 18 Jul 2016
Vilimir Yordanov
Independent

Abstract:

CDO, Lorenz curve, majorization, dependence, copula

9.

Abstract:

capital structure, Merton model, risky sovereign spreads, relative value, arbitrage

10.

Risky Sovereign Capital Structure: Macrofinancial Diagnostics (Part II)

Posted: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

capital structure, Merton model, risky sovereign spreads, macrofinancial flows, macro potential

11.

Dynamic CDO Pricing and Hedging in a Forward Setting

Posted: 11 Dec 2014
Vilimir Yordanov
Independent

Abstract:

CDO, tranche, dependence, forward rate, hedging

12.

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis (Part IV)

Posted: 11 Dec 2014 Last Revised: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

arbitrage, credit spread, currency spread, CDS-Bond basis, z-spread, par equivalent CDS spread, recovery

Abstract:

CDO, HJM, correlation, dependence, forward rate, hedging, sovereign debt, Eurozone crisis, Subprime crisis

14.

Inside the CDO Correlation Surface

Posted: 02 May 2014 Last Revised: 26 Jan 2015
Vilimir Yordanov
Independent

Abstract:

CDO, correlation, copula, compensator, intensity

15.

Bootstrapping a Single-Tranche CDO

Posted: 30 Apr 2014
Vilimir Yordanov
Independent

Abstract:

swap, bootstrap, intensity, compensator, recovery, copula, dependence

16.

Three Curves, One Sovereign: The Russian Foreign and Domestic Debt Macrofinancial Diagnostics

Posted: 29 Apr 2014 Last Revised: 11 Sep 2014
Vilimir Yordanov
Independent

Abstract:

yield curve, sovereign, Eurobond, treasuries, ruble, CDS, basis, credit spread, currency spread, OIS

17.

Is the Fiscal Reserve Negative Sovereign Debt?

Posted: 08 Dec 2013 Last Revised: 10 Jul 2015
Eleftherios Ioannis Thalassinos and Vilimir Yordanov
University of Piraeus - Department of Maritime Studies and Independent

Abstract:

Merton model, Currency Board Arrangement, CCA, fiscal reserve, cash

18.

Soft Currency Quanto Adjustment (Part VII)

Posted: 06 Nov 2013 Last Revised: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

exchange rate, quanto adjustment, change of measure, forward rate, quanto CDS, convexity adjustment

19.

Risky Sovereign Capital Structure: Fundamentals (Part I)

Posted: 05 Nov 2013 Last Revised: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

capital structure, Merton model, risky sovereign spreads, Modigliani-Miller irrelevance, CCA

20.

Multi-currency Risky Sovereign Bonds Arbitrage (Part V)

Posted: 04 Nov 2013 Last Revised: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

arbitrage, term structure, HJM, foreign debt, local currency debt, credit spread, currency spread, affine setting, exchange rate, inflation

21.

Soft Currency OIS Discounting (Part VI)

Posted: 04 Nov 2013 Last Revised: 30 Apr 2015
Vilimir Yordanov
Independent

Abstract:

liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, exchange rate, credit risk, currency risk, collateral