Marshaling C/C++ function with callback function in parameter to C#

I have the following in my native code:

typedef void (__stdcall * HandlerCallBack)(float);

class ASSIMP_API NewProgressHandler : public ProgressHandler
{
    HandlerCallBack CallBack;
public:
    bool Update(float percentage = -1.f){
        if (CallBack) CallBack (percentage);
        return true;
    }

    void SetCallBack (HandlerCallBack callback) {
        CallBack = callback;
    }
};

void Importer::SetProgressHandlerCallBack (HandlerCallBack CallBack) {
   NewProgressHandler* pNewHandler = new NewProgressHandler ();
   pNewHandler->SetCallBack (CallBack);
   ProgressHandler* pHandler = pNewHandler;
   SetProgressHandler (pHandler);
}

I need to call

SetProgressHandlerCallBack (HandlerCallBack CallBack)

from c# code, so I do the following:

[UnmanagedFunctionPointer(CallingConvention.StdCall)]
public delegate void HandlerCallBack([MarshalAs(UnmanagedType.R4)]float percent);

[DllImport("my.dll")]
public static extern void SetProgressHandlerCallBack ([MarshalAs(UnmanagedType.FunctionPtr)] 
                                                      HandlerCallBack callBack);

public void AssimpCallBack ([MarshalAs(UnmanagedType.R4)]float percent) {
    Debug.Log (percent);
}



void SomeFunction () {
   HandlerCallBack cb = new HandlerCallBack (AssimpCallBack);
   SetProgressHandlerCallBack (cb);
}

but I'm getting an exception,

SetProgressHandlerCallBack

at (wrapper managed-to-native) ModellInstantiator:SetProgressHandlerCallBack (ModellInstantiator/HandlerCallBack)

and I cant figure out what am I missing.