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
2024-04-01 |Fractal and Fractional
2024-03-01 |Fractal and Fractional
On a Mathematical Model of a General Autoimmune Disease
2023-11-01 |Axioms
2023-10-01 |Fractal and Fractional
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
2020-03-06 |Mathematics
Mathematical Modeling of Bulgarian Wines by Using Parameters of the Applied Photonics
2019-11-13 |AIP Conference Proceedings
2019-04-03 |Journal of Physics: Conference Series
Publications with Numerical methods and Options pricing valuation
2023-03-30 |Mathematical Methods in the Applied Sciences
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
- 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
- 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.
- 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/
- 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/
- 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.