Welcome

My name is Mariyan Milev and I am Assistant Ph.D. Professor at the Department of Informatics and Statistics, Faculty of Economy, University of Food Technologies , Plovdiv, Bulgaria. I am currently working with Prof. Aldo Tagliani , DISA , Faculty of Economics , University of Trento, Italy .

My research interests lie in quantitative finance: computational methods for derivatives pricing, pricing of options with a discontinuous payoff, the Black-Schoes equation and parabolic problems with applications to finance, nonstandard finite difference schemes and numerical algorithms for pricing of discrete barrier options, utilizing nonstandard finite difference discretization techniques to increase performance and accuracy of computational methods in Finance. Visit my SSRN author page for my publications.

I completed my Ph.D. studies at the International Doctoral School of Mathematics, 2009 XX cycle, Faculty of Mathematics, University of Trento, Italy under the supervision of Prof. Aldo Tagliani, Department of Computer and Management Sciences (DISA), Faculty of Economics, University of Trento, Italy and Prof. Luciano Tubaro, Department of Mathematics, Faculty of Mathematical, Physical and Natural Sciences, University of Trento, Italy.

The topic of my dissertation is Discontinuous Payoff Option Pricing: Finite "Difference Approach" in which I have explored both numerical and semi-analytical approaches using the Black-Scholes model for valuation of discrete double barrier knock-out options. Some of my research papers are available online at the scientific databases of ScienceDirect, Zentralblatt Math, Elsevier, Scirus, or MathSciNet of American Mathematical Society. I propose a fast and accurate algorithm for valuation of a m-dimensional definite integral that represents an analytical formula for the option value of discrete double barrier knock-out options. The presented algorithm has a very simple computer implementation and is appropriate not only for academic researchers but also for general practitioners in Finance.

For more details on my research see papers and presentations.

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