Vilimir Yordanov

Independent

SCHOLARLY PAPERS

17

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Scholarly Papers (17)

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 112 (227,322)

Abstract:

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

2.

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 102 (242,690)

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

3.

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 97 (251,168)

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

4.

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 93 (258,120)

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

5.

Optimal Financial Portfolios via Majorization: The Static Case

1st Festival for New Economic Thinking (INET), Edinburgh, UK
Posted: 19 Jul 2016 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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portfolio theory, CAPM, Lorenz Curve, majorization, dependence

6.

Portfolio Credit Derivatives Top Down Dependence Diagnostics via Majorization

9th World Congress of the Bachelier Finance Society, New York, USA
Posted: 18 Jul 2016 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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CDO, Lorenz curve, majorization, dependence, copula

7.

Risky Sovereign Capital Structure: Relative Value and Arbitrage

Posted: 01 May 2015 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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

8.

Risky Sovereign Capital Structure: Macrofinancial Diagnostics

Posted: 30 Apr 2015 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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

9.

Dynamic CDO Pricing and Hedging in a Forward Setting

Posted: 11 Dec 2014
Vilimir Yordanov
Independent

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CDO, tranche, dependence, forward rate, hedging

10.

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Challenges in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Munich, 2015
Posted: 11 Dec 2014 Last Revised: 17 Apr 2018
Vilimir Yordanov
Independent

Abstract:

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HJM, foreign debt, domestic debt, risk premia, CDS-bond basis

11.

Systemic Financial Turmoil: Inside the Subprime and the Eurozone Crises Quantitative Architecture and Empirics

Workshop Stochastic Models and Control, Kaiserslautern, 2015
Posted: 03 Dec 2014 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

Abstract:

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eurozone crisis, subprime crisis, sovereign debt, CDO, HJM

12.

Inside the CDO Correlation Surface

38th Conference on Stochastic Processes and their Applications, Oxford, UK
Posted: 02 May 2014 Last Revised: 17 Apr 2018
Vilimir Yordanov
Independent

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CDO, correlation, compensator, term structure, portfolio

13.

Bootstrapping a Single-Tranche CDO

Posted: 30 Apr 2014 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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swap, bootstrap, compensator, recovery, copula

14.

Risky Sovereign Capital Structure: Fundamentals

Global Derivatives, Amsterdam, 2015
Posted: 05 Nov 2013 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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

15.

Multi-currency (Risky) Sovereign Bonds Arbitrage

Workshop Stochastic Models and Control, Kaiserslautern, 2015
Posted: 04 Nov 2013 Last Revised: 17 Apr 2018
Vilimir Yordanov
Independent

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HJM, term structure, foreign debt, local currency debt, principal components

16.

Soft Currency Intricacies: OIS Discounting and Quanto Adjustments

Posted: 04 Nov 2013 Last Revised: 16 Apr 2018
Vilimir Yordanov
Independent

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exchange rate, yield curve, credit risk, OIS, quanto adjustment

17.

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

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credit spread, currency spread, CDS-Bond basis