Books:
Books:
Articles in Academic Journals:
Articles in Academic Journals:
Another look at the integral of exponential Brownian motion and the pricing of Asian options. Finance and Stochastics 20:4 1061-1096 (2016).
Another look at the integral of exponential Brownian motion and the pricing of Asian options. Finance and Stochastics 20:4 1061-1096 (2016).
The two fundamental theorems of asset pricing for a class of continuous time financial markets. Mathematical Finance 24:3 485-504 (2014).
The two fundamental theorems of asset pricing for a class of continuous time financial markets. Mathematical Finance 24:3 485-504 (2014).
(with Bernard Dumas) Incomplete-market equilibria solved recursively on an event tree. Journal of Finance 67:5 1897-1941 (2012).
(with Bernard Dumas) Incomplete-market equilibria solved recursively on an event tree. Journal of Finance 67:5 1897-1941 (2012).
Dynamic integration of interpolating functions and some concrete optimal stopping problems. Mathematica Journal 10:4 661-702 (2008).
Dynamic integration of interpolating functions and some concrete optimal stopping problems. Mathematica Journal 10:4 661-702 (2008).
Path Integral methods for parabolic PDEs with examples from computational finance. Mathematica Journal 9:2 399-422 (2004).
Path Integral methods for parabolic PDEs with examples from computational finance. Mathematica Journal 9:2 399-422 (2004).
Under the former name Ognian Enchev:
Under the former name Ognian Enchev:
(with Dan Stroock) Pinned Brownian motion and its perturbations. Advances in Mathematics 119:2 127-154 (1996).
(with Dan Stroock) Pinned Brownian motion and its perturbations. Advances in Mathematics 119:2 127-154 (1996).
(with Dan Stroock) Integration by parts for pinned Brownian motion. Mathematical Research Letters 2:2 161-169 (1995).
(with Dan Stroock) Integration by parts for pinned Brownian motion. Mathematical Research Letters 2:2 161-169 (1995).
(with Dan Stroock) Towards a Riemannian geometry on the path space over a Riemannian manifold. Journal of Functional Analysis 134:2 392-496 (1995).
(with Dan Stroock) Towards a Riemannian geometry on the path space over a Riemannian manifold. Journal of Functional Analysis 134:2 392-496 (1995).
Problem number 10390. American Mathematical Monthly, June 1994.
Problem number 10390. American Mathematical Monthly, June 1994.
(with Dan Stroock) Anticipative diffusion and related change of measures. Journal of Functional Analysis 116:2 449-477 (1993).
(with Dan Stroock) Anticipative diffusion and related change of measures. Journal of Functional Analysis 116:2 449-477 (1993).
Pathwise nonlinear filtering on abstract Wiener spaces. Annals of Probability 21:3 1728-1754 (1993).
Pathwise nonlinear filtering on abstract Wiener spaces. Annals of Probability 21:3 1728-1754 (1993).
(with Dan Stroock) Rademacher’s theorem for Wiener functionals. Annals of Probability 21:1 25-33 (1993).
(with Dan Stroock) Rademacher’s theorem for Wiener functionals. Annals of Probability 21:1 25-33 (1993).
Hilbert-space-valued quasimartingales, Bolletino di Unione Matematica Italiana. 7 2-B 19-39 (1988). [related publication by Paul A. Meyer].
Hilbert-space-valued quasimartingales, Bolletino di Unione Matematica Italiana. 7 2-B 19-39 (1988). [related publication by Paul A. Meyer].
Integration with respect to Wick powers of Gaussian random measures. C. R. Acad. Bulgare Sci. 34:6 763-766 (1981).
Integration with respect to Wick powers of Gaussian random measures. C. R. Acad. Bulgare Sci. 34:6 763-766 (1981).
(with Jordan Stoyanov) Stochastic integrals for Gaussian random functions. Stochastics (currently, Stochastics and Stochastic Reports) 3 277-289 (1980).
(with Jordan Stoyanov) Stochastic integrals for Gaussian random functions. Stochastics (currently, Stochastics and Stochastic Reports) 3 277-289 (1980).
(with Jordan Stoyanov) Stochastic integrals for Gaussian random processes. C. R. Acad. Bulgare Sci., 32:11 1467-1470 (1979).
(with Jordan Stoyanov) Stochastic integrals for Gaussian random processes. C. R. Acad. Bulgare Sci., 32:11 1467-1470 (1979).
Articles in Proceedings volumes
Articles in Proceedings volumes
Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions (with computational finance in view). In: Mathematical Control Theory and Finance (Andrey Sarychev et al. eds.), Berlin, DE: Springer-Verlag, pp. 265-291 (2008).
Spline cubatures for expectations of diffusion processes and optimal stopping in higher dimensions (with computational finance in view). In: Mathematical Control Theory and Finance (Andrey Sarychev et al. eds.), Berlin, DE: Springer-Verlag, pp. 265-291 (2008).
Under the former name Ognian Enchev:
Under the former name Ognian Enchev:
Stochastic calculus with anticipation and shift transformations of Wiener’s measure. In: Lecture Notes in Control and Information Sciences 176 (Boris Rozovskii and Richard Sowers eds., Proceedings of The International Conference on Stochastic Partial Differential Equations, Charlotte, NC, May 6-8, 1991), Berlin, DE: Springer-Verlag, pp. 54-61 (1992).
Stochastic calculus with anticipation and shift transformations of Wiener’s measure. In: Lecture Notes in Control and Information Sciences 176 (Boris Rozovskii and Richard Sowers eds., Proceedings of The International Conference on Stochastic Partial Differential Equations, Charlotte, NC, May 6-8, 1991), Berlin, DE: Springer-Verlag, pp. 54-61 (1992).
Doob-Meyer decomposition for processes which need not be semimartingales (L2-approach). In: Statistics and Control of Stochastic Processes (Nikolai V. Krylov et al. eds., Steklov Institute Seminar, Moscow, 1985-1986), New York, NY: Optimization Software, pp. 79-102 (1989).
Doob-Meyer decomposition for processes which need not be semimartingales (L2-approach). In: Statistics and Control of Stochastic Processes (Nikolai V. Krylov et al. eds., Steklov Institute Seminar, Moscow, 1985-1986), New York, NY: Optimization Software, pp. 79-102 (1989).
Nonlinear filtering for signal correlated with noise. In: Lecture Notes in Control and Information Sciences 136 (Jerzy Zabczyk, ed., Proceedings of the 6th IFIP WG7.1 Working Conference on Stochastic Systems and Optimization, Warsaw, Sep 12-16, 1988 ), Berlin, DE: Springer-Verlag, pp. 24-46, (1989).
Nonlinear filtering for signal correlated with noise. In: Lecture Notes in Control and Information Sciences 136 (Jerzy Zabczyk, ed., Proceedings of the 6th IFIP WG7.1 Working Conference on Stochastic Systems and Optimization, Warsaw, Sep 12-16, 1988 ), Berlin, DE: Springer-Verlag, pp. 24-46, (1989).
An estimation problem for generalized Gaussian processes. In: Lecture Notes in Control and Information Sciences 96 (Hans Jürgen Engelbert and Wolfgang Schmidt, eds., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Eisenach, GDR, Apr 6–13, 1986), Berlin, DE: Springer-Verlag, pp. 11-21, (1987).
An estimation problem for generalized Gaussian processes. In: Lecture Notes in Control and Information Sciences 96 (Hans Jürgen Engelbert and Wolfgang Schmidt, eds., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Eisenach, GDR, Apr 6–13, 1986), Berlin, DE: Springer-Verlag, pp. 11-21, (1987).
Differential calculus for gaussian random measures. In: Nonlinear Stochastic Problems (Richard S. Bucy and José M. F. Moura eds., Proceedings of the NATO Advanced Study Institute on Nonlinear Stochastic Problems, Armação de Pêra, Algarve, Portugal, May 16-28, 1982), Dordrecht, NL: D. Reidel Publishing Company, pp. 417-424, (1983).
Differential calculus for gaussian random measures. In: Nonlinear Stochastic Problems (Richard S. Bucy and José M. F. Moura eds., Proceedings of the NATO Advanced Study Institute on Nonlinear Stochastic Problems, Armação de Pêra, Algarve, Portugal, May 16-28, 1982), Dordrecht, NL: D. Reidel Publishing Company, pp. 417-424, (1983).
Spectral models of Q-spaces (an algebraic approach to probability theory) [in Bulgarian]. In: Lectures on Stochastic Problems in Modern Physics. Sofia, BG: Sofia University Press, pp. 26-41, (1983).
Spectral models of Q-spaces (an algebraic approach to probability theory) [in Bulgarian]. In: Lectures on Stochastic Problems in Modern Physics. Sofia, BG: Sofia University Press, pp. 26-41, (1983).
(with Jordan Stoyanov) Stochastic integration with respect to multiparameter Gaussian processes. in: Lecture Notes in Control and Information Sciences 36 (Miklós Arató et al., eds., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Visegrád, Hungary, Sep 15–20, 1980), Berlin, DE: Springer-Verlag, pp. 202-211, (1981).
(with Jordan Stoyanov) Stochastic integration with respect to multiparameter Gaussian processes. in: Lecture Notes in Control and Information Sciences 36 (Miklós Arató et al., eds., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Visegrád, Hungary, Sep 15–20, 1980), Berlin, DE: Springer-Verlag, pp. 202-211, (1981).
(with Jordan Stoyanov) Construction and properties of a class of stochastic Integrals. In: Lecture Notes in Control and Information Sciences 25 (Bronius Grigelionis, ed., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Vilnius, Lithuania, Aug 28–Sep 2, 1978), Berlin, DE: Springer-Verlag, pp. 270-275 (1980).
(with Jordan Stoyanov) Construction and properties of a class of stochastic Integrals. In: Lecture Notes in Control and Information Sciences 25 (Bronius Grigelionis, ed., Proceedings of the IFIP-WG 7/1 Working Conference on Stochastic Differential Systems, Vilnius, Lithuania, Aug 28–Sep 2, 1978), Berlin, DE: Springer-Verlag, pp. 270-275 (1980).