Assoc. Prof. Mariyan Milev, PhD

Since 2023, Dr. Mariyan Milev has been an Associate Professor in the Department of Statistics and Econometrics at the Faculty of Economics and Business Administration, Sofia University "St. Kliment Ohridski".

Assoc. Prof. Milev's main scientific interests are in applied mathematics, probabilities and statistics, econometrics, financial derivatives, numerical methods, and fractional equations.

In November 2004, Associate Professor Dr. Mariyan Milev was admitted to the International Doctoral School of Mathematics at the University of Trento, Trento, Italy, after a competition held by the Italian Ministry of Education. In May 2009, he completed a four-year international doctoral program in mathematics with academic advisors Prof. Aldo Tagliani from the Department of Computer Systems and Economic Sciences, Faculty of Economics, and Prof. MD. Luciano Tubaro from the Faculty of Mathematics, Physics, and Natural Sciences at the University of Trento, Italy.

In 2009, Dr. M. Milev, following a competition, joined the program "Methods for Assessing Exotic Options" under a European project as a postdoctoral researcher in economics at the Faculty of Economics, University of Venice, Italy. This included research on the Black-Scholes model, numerical methods for computer modeling and evaluation of financial derivatives, assessment of European and American vanilla and exotic options, and the creation of special numerical algorithms for evaluating discretely observed exotic options with two barriers. Along with other scientists, he applied new methods for option assessment such as radial functions, known as splines in mathematics or neural networks in computer science, to the Black-Scholes equation.

Dr. Mariyan Milev has successively held positions as an Assistant, Chief Assist. Prof., and Assoc. Prof. at Plovdiv University "Paisii Hilendarski" and the UNT- Plovdiv.

He continues to work on international research projects with Prof. Aldo Tagliani from the University of Trento, Italy, Prof. Ahmad Golbabai from Iran University of Science and Technology, Davood Ahmadian from the University of Tabriz, Amir Sobhani from the University of Semnan, and other scholars from Europe, Asia, and America. Most of his scientific publications are indexed in the scientific databases Science Direct, Zentralblatt, Math, Elsevier, Scirus, and MathSciNet of the American Mathematical Society.

Dr. Mariyan Milev is the author of the manual "Application of MATLAB in Economics," edited by Prof. D. Sc. Ivan Ganchev from the Department of Statistics and Econometrics, Sofia University "St. Kliment Ohridski." He is also a co-author of four other manuals on statistics, higher mathematics, and modeling of real processes.

Mariyan Milev is a co-author with Prof. Aldo Tagliani of the book 'Quantitative Methods for Pricing Options with Exotic Characteristics and under Non-standard Hypotheses', 2012, Publishing house: Eudemonia Production Ltd. , Sofia, ISBN: 978-954-92924-1-1.

Contacts

email: m.milev@feb.uni-sofia.bg
Adress: 1113 Sofia, bul. "Tzarigradsko Shausse" 125, Block 3, Office 516

Office hours

Thursday 13.00-15.00, after confirmation by e-mail

Mariyan Milev is the co-supervisor of the successfully defended doctoral students:

Anna Nikolova, 20.9.2021, Sofia Technical University

Dissertation Topic: Wishart Distribution and Application.

Irina Naskinova, 06.10.2023, Southwest University "Neofit Rilski", Blagoevgrad

Topic: Mathematical and computer models for intelligent data analysis in medicine.

Scientific Publications/ Milev, Mariyan

Sofia University “St. Kliment Ohridski”, Sofia, Bulgaria

Scopus Author Identifier: 35119326600, Researcher ID: O-8374-2017

https://orcid.org/0000-0002-1756-3358 ORCID profile

241 Citations by 188 documents,

40 Documents in Web of Science and Scopus, 9 h-index

Recent papers in the following scientific directions

(available in the ResearchGate ID: O-8374-2017 of Mariyan Milev):

1) Probability and Statistics,

2) Fractional calculus and PDE,

3) Medicine,

4) Quantitative methods,

5) Option Pricing and Discrete Barriers

Fundamental Matrix, Integral Representation and Stability Analysis of the Solutions of Neutral Fractional Systems with Derivatives in the Riemann-Liouville Sense

2024-04-01 |Fractal and Fractional

Variable-Order Fractional Linear Systems with Distributed Delays-Existence, Uniqueness and Integral Representation of the Solutions

2024-03-01 |Fractal and Fractional

On a Mathematical Model of a General Autoimmune Disease

2023-11-01 |Axioms

Continuous Dependence on the Initial Functions and Stability Properties in Hyers-Ulam-Rassias Sense for Neutral Fractional Systems with Distributed Delays

2023-10-01 |Fractal and Fractional

On Stability Criteria Induced by the Resolvent Kernel for a Fractional Neutral Linear System with Distributed Delays

2023-02-01 |Mathematics

LEONTIEF MODEL WITH MS EXCEL SOLVER

2023-01-01 |Mathematics and Informatics

ALGORITHM FOR SOLUTION OF A TRANSPORTATION PROBLEM WITH MS EXCEL SOLVER

2023-01-01 |Mathematics and Informatics

About the Resolvent Kernel of Neutral Linear Fractional System with Distributed Delays

2022-12-01 |Mathematics

Modeling the Transportation Assesment with MS Excel Solver

2021-01-01 |AIP Conference Proceedings

Moment Problem and Entropy Convergence: A Unified Approach

2021-01-01 |AIP Conference Proceedings

Integral Representation for the Solutions of Autonomous Linear Neutral Fractional Systems with Distributed Delay

2020-03-06 |Mathematics

Mathematical Modeling of Bulgarian Wines by Using Parameters of the Applied Photonics

2019-11-13 |AIP Conference Proceedings

Comparative analysis of red wines on the base of optical and chemical characteristics by statistical methods

2019-04-03 |Journal of Physics: Conference Series

Publications with Numerical methods and Options pricing valuation

A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes

2023-03-30 |Mathematical Methods in the Applied Sciences

An Investigation on the Existence and Uniqueness Analysis of the Optimal Exercise Boundary of American Put Option

2021-01-01 |Filomat

A numerical method for pricing discrete double barrier option by Legendre multiwavelet

2018-01-15 |Journal of Computational and Applied Mathematics

Discontinuous payoff option pricing by Mellin transform: A probabilistic approach

2017-01-01 |Finance Research Letters

Laplace transform inversion on the real line is truly ill-conditioned

2013-01-01 |Applied Mathematics and Computation

Laplace Transform and finite difference methods for the Black-Scholes equation

2013-01-01 |Applied Mathematics and Computation

Selected papers in Probability and Statistics journals

Indeterminate Hamburger moment problem: Entropy convergence, https://www.sciencedirect.com/science/article/abs/pii/S016771522400124X

Statistics and Probability Letters, May 2024, 212, 110155

Moment Problem and Entropy Convergence: A Unified Approach

2021-01-01 |AIP Conference Proceedings

Entropy convergence of finite moment approximations in Hamburger and Stieltjes problems

2017-01-01 Statistics and Probability Letters

Conference papers in Scopus

A Step Beyond the Monte Carlo Method in Economics: Application of Multivariate Normal Distribution

2015-01-01 |AIP Conference Proceedings

Fast Explicit Positivity-preserving Schemes for the Black-Scholes Equation

2014-01-01 |APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE)

Using Real Options Analysis to Support Strategic Management Decisions

2013-01-01 |AIP Conference Proceedings

Valuation of Exotic Options in the Framework of Levy Processes

2013-01-01 |39TH INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE13)

Efficient Option Valuation of Single and Double Barrier Options

2017-12-07 |AIP Conference Proceedings

Selected papers before 2012

Moment information and entropy evaluation for probability densities

2012-01-01 |Applied Mathematics and Computation

Radial basis functions with application to finance: American put option under jump diffusion

2012-01-01 |Mathematical and Computer Modelling

Numerical valuation of discrete double barrier options

2010-01-01 |Journal of Computational and Applied Mathematics

Efficient implicit scheme with positivity preserving and smoothing properties

2013-01-01 |Journal of Computational and Applied Mathematics

Handbook and manuals for students

1. M. Milev, P. Pevicharov, Short course of calculus, manual for solving problems – part I, ISBN 978-619-7010-47-3., Publishing house ‘Blakom’, Plovdiv 2016г., 100 pages., reviewer Associate Prof. PhD George Gelepov, http://booksinprint.bg
2. M. Milev, P. Pevicharov, Short course of calculus, manual for solving problems – part II, Publishing house ‘Blakom’, Plovdiv, 2017, ISBN: 978-619-7209-54-1.
3. M. Terziyska, M. Milev, Information technologies in Statistics, handbook of problems with Excel, (in Bulgarian, 206 pages), ISBN 978-619-7209-28-0, Publishing house ‘Evdemonia Production’, Bulgaria, Sofia 1000, 2018, reviewer Associate Prof. PhD Kаloyan Haralampiev, http://booksinprint.bg/Publication/Details/
4. K. Nicolova, M. Milev, K. Nikolova, Calculus 2 – modelling of real processes,ISBN 978-619-221-429-6, Varna, 9002, Publishing house ‘Marin Drinov’ 55 str., (+359 52) 677 117, press@mu-varna.bg2023г., 30.04.2023, handbook for students of physics and economy, University of medicine ‘’Prof. PhD Paraskev Stoyanov’ - Varna, reviewer Prof. PhD Andrey Zahariev, http://booksinprint.bg/
5. M. Milev, Application of MATLAB for Modeling and Analysis of Financial Derivatives – manual of econometrics, Publishing house ‘Evdemonia Production’, Bulgaria, Sofia 1000, ISBN: 978-954-92924-2-8., 2012, under the editorship of Prof. D.Sc. Ivan Ivanov.