Faculty Profile (Math)

Dr. Ionut Florescu

RESEARCH ASSOCIATE PROFESSOR, FSL DIRECTOR *
Building: Babbio
Room: 544
Phone: 201.216.5452
Fax: 201.216.8321
Email: ifloresc@stevens.edu
Website
School:  School of Systems & Enterprises
Department:  Financial Engineering
Education
  • Doctor of Philosophy in Statistics, Purdue University, West Lafayette, Indiana, USA December 2004. Primary Research Area: Mathematics of Finance.
  • Master of Science in Statistics with specialization in Computational Finance Purdue University, West Lafayette, Indiana, USA; December 2001.
  • Master of Science in Mathematics with specialization in Stochastic Processes University of Bucharest, Romania; July 1997.

 Note: This is my current CV

Research
  • Mathematics of Finance
  • Stochastic Processes
  • Stochastic Volatility Models
  • SDE's and SPDE's
  • Lyapunov Exponent
General Information

Ionut Florescu is a Research Associate Professor and Director of the Hanlon Financial Systems Lab at Stevens. His research interest is concentrated primarily in the area of Stochastic Processes and applications to Finance. Recently he became interested in applications of stochastic processes to other areas such as: Computer Vision tracking and Earthquake modeling.

After receiving his Masters’ in Stochastic Processes from the Mathematics Department of the University of Bucharest Romania, Dr. Florescu came to United States and earned a Masters’ Degree in Computational Finance and a Ph.D. degree in Statistics from Purdue University. Since he graduated he has been doing research and taught primarily graduate courses at Stevens Institute of Technology.

Experience
  • Stevens Institute of Technology, Department of Mathematical Sciences, U.S.A.  Research Associate Professor and Director of the Hanlon Financial Systems Lab 2012 - present.  Assistant Professor Fall 2005 - Spring 2012
  • Purdue University, Department of Statistics, U.S.A. Visiting Assistant Professor, Spring 2005.  Teaching Assistant, Fall 1998 - Fall 2004
  • Romanian Academy, Center for Mathematical Statistics, Bucharest, Romania.  Research Assistant, Fall 1997 - Spring 1998
  • University of Bucharest, Department of Physics, Romania. Lecturer, Fall 1997 - Spring 1998
Professional Service
  • Attended Summer School in Probability, Saint-Flour, France, 2003
  • Attended Summer School in Mathematics of Finance, Cortona, Italy, 1997 Co-author of the Option Calculator Program "K-Option," http://koptioncalc.sourceforge.net/

OTHER PROFESSIONAL ACTIVITIES

Editor:

  • Co-editor for the Handbook of High Frequency Data Models, with M. Mariani and F. Viens, Jan 2012.
  • Co-editor for a Special Issue on High frequency data models in Finance hosted by the Quantitative
  • Finance Journal. Co-edited with M. Mariani, H.E. Stanley and F. Viens. April 2012.
  • Future co-editor for two more volumes.

Reviewer of manuscripts for the following Journals:

  • Annals of Finance, Annals of Operations Research, Communications on Stochastic Analysis (COSA), Decisions in Economics and Finance, Financial Markets and Portfolio Management, IEEE Transactions in Pattern Analysis and Machine Intelligence (TPAMI), Mathematical and Computer Modeling, Mathematical Finance, Mathematical Reviews, Mechanical Systems and Signal Processing, Methodology and Computing in Applied Probability, Physica A, Quantitative Finance, RISK, SIAM Journal on Optimization.
  • Springer, Wiley, World Scientic Publishing (book reviews).
  • Natural Sciences and Engineering Research Council of Canada (NSERC)

Conference and Seminar Organizer

  • The 5th Annual Modeling High Frequency Data in Finance, Oct 24-26 2013. Principal organizer. Co-organizers M.C. Mariani, F. Viens and H.E. Stanley.
  • The 4th Annual Modeling High Frequency Data in Finance, July 19-22 2012. Principal organizer. Co-organizers Maria Mariani, Frederi Viens and H.E. Stanley.
  • Conference on Modeling High Frequency Data in Finance III, July 28-31 2011. Principalorganizer. Co-organizers Maria Mariani and Jose Figueroa-Lopez.
  • Conference on Modeling High Frequency Data in Finance II, June 24-27 2010. Principal organizer. Co-organizers Maria Mariani and Frederi Viens. This was the second edition of the workshop. Two collection volumes will be published from the proceedings.
  • Special session on "Financial Mathematics" at the Spring 2010 Meeting of the AMS Western
  • Section at University of New Mexico. Co-organizer with Maria Mariani and M.P. Beccar-Varella.
  • Conference on Modeling High Frequency Data in Finance, July 10-12 2009. Principal organizer.
  • Co-organizers Maria Mariani and Khaldoun Khashanah. The conference was one of the largest in the area with 123 participants.
  • Stevens Institute of Technology  Financial Engineering Seminar, Spring 2007 - Spring 2009
  • Stevens Institute of Technology  Stochastics Systems Seminar, Math Colloquium, Fall 2005
  • Section Chair,  JSM 2005, Section on Nonparametric Statistics, Aug 7-11, 2005

OUTREACH AND SERVICE

  • Member of the academic appeals committee, undergraduate curriculum committee and the library committee at Stevens Institute of Technology.
  • Collaboration and clearance obtained to work with the U.S. Commodity Futures Trading Commission (CFTC) to study the eect of high frequency traders on the U.S. markets. Part of this obtained a $10,000 from Stevens SSE internal grant to support this research.
  • Submitted an accepted internal proposal and worked with undergraduate students during the summers of 2007, 2008, 2009, 2010 as part of the Technogenesis project at Stevens Institute of Technology. Webmaster for the Mathematical Sciences Department, the Stochastic Systems program (current) and the Financial Engineering program (past) at Stevens Institute of Technology.

STUDENTS AND STUDENTS ADVISING

Ph.D. major advisor (graduated students):

  • Thomas Lonon, Thesis: Option Pricing Utilizing a Jump Diusion Model with a Log Mixture Normal Jump Distribution, May 2013
  • Forrest Levin, Thesis:  Monte Carlo estimation of stochastic volatility for stock values and potential applications to temperature and seismographic data, May 2010
  • Darryl Neil Penenberg, Thesis: Testing for the autoregressive structure in a time series, May 2010 (co-advisor with D. Dentcheva) Ph.D. major advisor: Dragos Bozdog (anticipated 2014), Kristina Krsteva (anticipated 2014), Christopher Flynn (anticipated 2015), Kai Liang, Zhao Zhe, Jiuxin Jiang (new students) Undergraduate students working on senior design project: Morgan Baron, Kirk Deligiannis, Colin Harrier, Matt Hochberger working on "Design of a Vision Guided Robotic Vehicle", AY 2007-2008, co-advising with G. Kamberov and R. Stolkin. (won the award for the best senior design project at Stevens 2008); Joe Trinsey "Comprehensive Statistics for the game of Voleyball" (2009)
  • Graduate committee member: Ludmyla Rekeda (Ph.D. Mathematics 2005), Thomas Surowiec (Masters' Mathematics 2006), Gregory Stock (Masters' Mathematics 2007), Yuri Aldrich (Masters' Financial Engineering 2007), Hongwei Qiu (Masters' FE 2010) Viorel Dragnea (Ph.D. Computer Sciences 2011), Laurentiu Sega (Ph.D. Mathematics, Purdue University, 2011), Luis Ortega (Ph.D. Financial Engineering, Stevens, 2013), Kristi Lee Luttrell (Ph.D., Mathematical Sciences, Stevens, 2013), Laksmhi Iswara Chandra Vidyasagar (Ph.D., Mathematical Sciences, Stevens, 2013), Eduardo Osorio (Ph.D. Mathematics, Rutgers, 2014).

INVITED CONFERENCE TALKS

  • Sixth Rutgers-Stevens Workshop on Optimization of Stochastic Systems, "Estimation of hidden Markov chain parameters and applications of the model to finance climate and geophysical data", Stevens Institute of Technology, New Jersey, USA, Nov 4-5, 2011.
  • Eastern Economic Association Annual Conference, 37 edition, "A Study of Persistence of Price Movement Using High Frequency Financial Data", New York, NY, USA, Feb 25-27, 2011.
  • AMS Special Session on Financial Mathematics, 2010 Spring Western Section Meeting, Albuquerque, New Mexico, USA, "Study of solution for a PIDE relevant for Mathematical finance using upper and lower solutions: Existence and approximation", April 17-18, 2010.
  • AMS Special Session on Mathematical Finance, Penn State University, USA, "Stochastic volatility models: Parameter estimation for a reduced model", Oct. 24-25, 2009.
  • Workshop on Stochastic Analysis, Purdue University, USA, "A study of an integro-differential parabolic problem arising in Mathematics of Finance ", Sep 29 - Oct 1, 2009.
  • Conference on Modeling High Frequency Data in Finance, Hoboken, NJ, USA, "Continuous time Stochastic Volatility models: Applications to High-Frequency Data", July 10-12, 2009.
  • Fifth Rutgers-Stevens Workshop on Optimization of Stochastic Systems, Rutgers University, USA, "Theoretical Comparison of Two Projection-Pursuit Clustering Algorithms", March 20-21, 2009.
  • 9eme Colloque Franco-Roumain de Mathematiques Appliquees, Universitatea Transilvania, Brasov, Romania, "A clustering/selection method to capture the systematic movement of equity's return", Aug. 28 - Sept. 2, 2008.
  • 2007 Fall Western Section Meeting AMS sectional meeting, University of New Mexico, "Stochastic Volatility models: Leverage effect in continuous time", October 13-14 2007.
  • Kent-Purdue Mini-symposium on Financial Mathematics (3rd edition), Kent University, "Estimating parameters for Diffusion Equations with a hidden factor", April 27-28, 2007.
  • Fourth Rutgers Stevens Workshop on Optimization of Stochastic Systems, Stevens Institute of Technology "Statistical methods in cryptography. An application to the Die-Hellman exchange protocol", March 30-31, 2007.
  • Third Rutgers-Stevens Workshop on Optimization of Stochastic Systems, Rutgers University, USA, "Option Pricing Using Recombining Trees", Sep 30-Oct 1, 2005.
  • Le 7'e Colloque Franco-Roumain de Matematique Appliquees, Craiova, Romania, "A Binomial Tree Approach to Stochastic Volatility Driven Model of the Stock Price", Aug 30-Sep 3, 2004.

CONTRIBUTED CONFERENCE TALKS

  • Mathematical Finance and Partial Dierential Equations 2011 "Numerical solutions to an integro-differential parabolic problem arising in the pricing of nancial options in a Levy market", New Brunswick, New Jersey, USA, Nov 4, 2011.
  • Mathematical Finance and Partial Dierential Equations 2010, "Numerical solutions to partial integro-dierential equations appearing in nancial mathematics", New Brunswick, New Jersey, USA, Dec 10, 2010.
  • Stochastic Processes and their Applications SPA 07 (32nd edition), University of Illinois at Urbana-Champaign, "Analyzing discrete time stochastic volatility models", August 6-10, 2007.
  • American Mathematical Society sectional meeting, Stevens Institute of Technology April 14-15, 2007.
  • 2006 International Workshop on Applied Probability, University of Connecticut, USA, "Coefcient Estimation for Stochastic Volatility Models", May 15-18, 2006.
  • Summer School in Probability, Saint-Flour, France, "Pricing using Implied Volatility Function", 2003.
  • Summer School in Mathematics of Finance, Cortona, Italy, "Equilibrium Prices in Incomplete Markets", 1997.
Honors & Awards
  • I.W. Burr award for academic excellence and quality of the thesis research, May 2005.
  • Purdue Research Foundation Grant, Purdue University, August 2003 - December 2004.
  • Puskas Memorial Fellowship for the Academic Year 2002-2003, Purdue Universit  Merit Scholarship, 1991-1997, University of Bucharest, Romania.
Professional Societies
  • IMS (Institute of Mathematical Statistics) , Member.
  • ASA (American Statistical Association), Member.
Grants, Contracts & Funds
  • Investor Responsibility Research Center (IRRC) Institute grant for developing a white paper on the current status and future of the High Frequency Traders in the nancial markets, co-PI, Aug 2013-Feb 2014, ($59,940).
  • Nvidia grant to develop GPU compute infrastructure based on Nvidia Tesla cards, and recognition of Stevens Institute as a Research Center in CUDA, PI, 8 GPU cards donated, market value at $28,000.
  • NSF-1309861 Conference on Modeling High Frequency Data in Finance 5; Fall 2013; Hoboken, NJ, Principal Investigator, June 1, 2013 - May 31, 2014 ($40,000).
  • NSF-1209054 Conference on Modeling High Frequency Data in Finance 4; Summer 2012; Hoboken, NJ, Principal Investigator, April 1, 2012 - March 31, 2013 ($44,410).
  • NSF-1106027 Collaborative research: Conference on Modeling High Frequency Data in Finance III; Summer 2011; Hoboken, NJ, Principal Investigator, April 1, 2011 - March 31, 2012 ($30,960).
  • Proposal "Rare events and connection with crash phenomena", (PI) submitted to CFTC, with K. Khashanah and D. Bozdog, partially funded by the School of Systems and Enterprises for collaboration with U.S. Commodity Futures Trading Commission (CFTC) May 15 - Oct 15, 2011 ($10,000).
  • NSF-1007650 Conference on Modeling High Frequency Data in Finance II; Summer 2010; Hoboken, NJ, Principal Investigator, April 15, 2010 - March 31, 2011 ($25,000). Other related awards received from International Mathematical Union (IMU), American Statistical Association (ASA), Institute of Mathematical Statistics (IMS).
  • NSF-0907371 Conference on Modeling High Frequency Data in Finance; Summer 2009; Hoboken, NJ, Principal Investigator, March 15, 2009 - February 28, 2010 ($15,000). Other related awards received from International Mathematical Union (IMU), American Statistical Association (ASA), Institute of Mathematical Statistics (IMS) and International Association of Financial Engineers (IAFE).
Patents & Inventions
  • Real-time tracking of non-rigid objects in image sequences for which the background may be changing, with Rustam Stolkin, US 8374388 B2, Feb 12, 2013.
  • Contributor to  Polymorphic tracked vehicle, US 8333256 B2, Dec 18,2012.
Selected Publications
Generic
  1. Florescu I.. "Pricing using Implied Volatility Surface" technical report, Purdue University, TR05-02.
  2. Florescu I. "Queuing Processes - An introduction with Proposed Applications to Finance', technical report, Purdue University, TR05-01.
  3. D. Bozdog, I. Florescu, R. Stolkin. "Single click image segmentation using mean shift". Abstract in Perception, Journal of the Applied Vision Association, vol. 38, pp. 625-626, 2009.
  4. D. Bozdog, I. Florescu, R. Stolkin. "Optimal parameter selection for mean shift type segmentation algorithms". Abstract in Perception, Journal of the Applied Vision Association, vol. 38, pp. 626, 2009.
Books
  1. Ionut Florescu. (Sep 2014). Probability and Stochastic Processes, Wiley - ISBN: 978-0-470-62455-5. 576 pages.  Wlley.com  .
  2. Ionut Florescu, Ciprian A. Tudor. (Nov 2013). Handbook of Probability, Wiley - ISBN 978-0-470-64727-1. 472 pages.  Wiley.com  .
  3. Frederi G. Viens, Maria C. Mariani, Ionut Florescu. (Dec 2011). Handbook of Modeling High-Frequency Data in Finance, Frederi G. Viens, Maria C. Mariani, Ionut Florescu , Wiley - ISBN: 978-0-470-87688-6. 456 pages.  Wiley.com  .
  4. Ionut Florescu. (Apr 20, 2010). Tree estimation for Stochastic Volatility Models The Anderson SPDE: Approximation for diffusion models using a recombining tree. Lyapunov exponent estimation for the Anderson model in continuous space, VDM Verlag Dr. Müller. 116 pages.  Amazon.com  .
Magazine
  1. Ionut Florescu. (2012). "Special Issue of Quantitative Finance on High frequency data analysis", Ionut Florescu, M.C. Mariani, H.E. Stanley, Quantitative Finance, ISSN 1469-7688,. 12 (4).
Conference Proceedings
  1. Stolkin R., D. Rees, M. Talha, I. Florescu. Bayesian Fusion of Thermal and Visible Spectra Camera Data for Region Based Tracking with Rapid Background Adaptation. Proceedings of 2012 IEEE International Conference on Multisensor Fusion and Information Integration, MFI 2012 13-15 Sep 2012 (top three paper in several categories).
  2. Stolkin R., D. Rees, M. Talha, I. Florescu. Bayesian fusion of thermal and visible spectra camera data for mean shift tracking with rapid background adaptation, Proceedings of IEEE Sensors, 11th IEEE SENSORS 2012 Conference, 28-31 October 2012.
  3. Stolkin R., I. Florescu, M. Baron, C. Harrier and B. Kocharov. Efficient visual servoing with the ABCshift tracking algorithm, Proceedings of the 2008 IEEE International Conference on Robotics and Automation, Pasadena, CA, 19-23 May 2008, p. 3219-3224.
  4. Stolkin R., I. Florescu, G. Kamberov. Probabilistic analysis of a passive acoustic diver detection system for optimal sensor placement and extensions to localization and tracking, Proc. IEEE MTS OCEANS 2007, Sept. 29 2007-Oct. 4 2007, p. 1-6.
  5. Stolkin R., I. Florescu, G. Kamberov. An adaptive background model for CAMSHIFT tracking with a moving camera, Advances In Pattern Recognition, Proceedings of the Sixth International Conference Indian Statistical Institute, Kolkata, India 2-4 January 2007, World Scientific Publishing, p. 147-151.
Journals
  1. Florescu I, R. Liu, M.C. Mariani, G. Sewell. "Numerical Schemes for Option Pricing in Regime - Switching Jump Diffusion Models", International Journal of Theoretical & Applied Finance, Vol. 16, No.8, Dec 2013.
  2. Mariani M.C., I. Florescu, I SenGupta, M.P. Beccar Varela, P. Bezdek, L. Serpa. "Levy models and scale invariance properties applied to Geophysics", Physica A, Volume 392, Issue 4, 15 - February 2013, Pages 824-839.
  3. Florescu I, R. Liu, M.C. Mariani. "Solutions to a Partial Integro-Differential Parabolic System Arising in the Pricing of Financial Options in Regime-Switching Jump Diffucion Models", Electronic Journal of Differential Equations, Vol. 2012 (2012), No. 231, pp. 1-12. 2012.
  4. Strigul N., I. Florescu, A. Welden and F. Michalczewski. "Modelling of forest stand dynamics using Markov chains", Environmental Modelling & Software, vol. 31, pp. 64-75, May 2012.
  5. Brock S., I. Florescu and L. Teran. "Tools for Change: An Examination of Transformative Learning and Its Precursor Steps in Undergraduate Students", ISRN Education, vol. 2012, Article ID 234125, 5 pages, 2012. (DOI:10.5402/2012/234125).
  6. Florescu I., M.C. Mariani and G. Sewell. (2012). "Numerical Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market", Quantitative Finance, (DOI:10.1080/14697688.2011.618144).
  7. Bozdog D., I. Florescu, K. Khashanah, and H. Qiu. (Jan 2012). "Construction of Volatility Indices using a Multinomial Tree Approximation Method", Handbook of high frequency data analysis, Chapter 5.
  8. E. Barany, M.P. Beccar Varela, I. Florescu and I. SenGupta. (May 2012). "Detecting Market crashes by analyzing long memory effects using high frequency data", Quantitative Finance special issue in High Frequency Data modeling, 12 (4), 623-634.
  9. Bozdog D., I. Florescu, K.Khashanah and J. Wang. (Jan 2012). "A study of persistence of price movement using High Frequency Financial Data", Handbook of high frequency data analysis, Chapter 2.
  10. Mariani M.C., P. Bezdek, L. Serpa, I. Florescu. (Nov 2011). "Ising type models applied to Geophysics and high frequency market data", Physica A, 390 4396-4402.
  11. Bozdog D., I. Florescu, K.Khashanah and J. Wang. (Jul 2011). "Rare Events Analysis of High - Frequency Equity Data", Wilmott Journal, 2011 (54), 74-81.
  12. Florescu I. and C. Tudor. (2011). "Estimation of the long memory parameter in stochastic volatility models by quadratic variations", Random Operators and Stochastic Equations (ROSE), Estimation of the long memory parameter in stochastic volatility models by quadratic variations. 19 (2), 197-216.
  13. Mariani M.C., I. Florescu, M.P. Beccar Varela and E. Ncheuguim. (Apr 2010). "Study of memory effects in international market indices", Physica A, 8 (398), 1653-1664.
  14. Florescu I. and M. C. Mariani. (2010). "Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Levy Market", Electronic Journal of Differential Equations, Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Levy market. 2010 (62), 1-10.
  15. Florescu I. and C. G. Pasarica. (Feb 2009). "A study about the existence of leverage effect in Stochastic Volatility models", Physica A, 4 (388), 419-432.
  16. Mariani M.C., I. Florescu, M.P. Beccar Varela and E. Ncheuguim. (Apr 2009). "Long correlations and Levy Models applied to the study of Memory effects in high frequency (tick) data", Physica A, 8 (388), 1659-1664.
  17. Ionut Florescu. (Mar 2009). "A summary of recent and old results on the security of the Diffie-Hellman key exchange protocol in finite groups", Handbook of Research on Secure Multimedia Distribution, Information Science Reference, New York, Book chapter in Ed/s S. Lian and Y. Zhang, chapter X ISBN: 978-1-60566-262-6. 181-200.
  18. Ulibarri C., I. Florescu, and J. Eidsath. (2009). "Regulating Noisy Short - Selling Of Troubled Firms?", Journal of Financial Economic Policy, 1 (3), 227-245.
  19. Ulibarri C., P. Anselmo, K. Hovespian and I. Florescu. (2009). "Noise-Trader Risk - And Bayesian Market Making In FX Derivatives: Rolling Loaded Dice?", International Journal of Finance and Economics, 14 (3), 268-279.
  20. Stolkin R. and I. Florescu. (2009). "Probability of detection and optimal sensor placement for threshold based detection systems", IEEE Sensors, 1 (9), 57-60.
  21. Bach, J.R, I. Florescu, I. Wendel. (Dec 2008). "A Christmas celebration for a sexually transmitted fatal condition", American Journal of Physical Medicine and Rehabilitation, 87 (12), 1052-1053.
  22. Florescu I. and F. Viens. (Apr 2008). "Stochastic volatility: option pricing using a multinomial recombining tree", Applied Mathematical Finance, 15 (2), 151-181.
  23. Florescu I. and F. Viens. (Aug 2006). "Sharp estimation for the almost-sure Lyapunov exponent of the Anderson model in continuous space", Probability Theory and Related Fields, 135 (4), 603-644.
  24. Florescu I. and F. Viens. (2005). "A Binomial Tree Approach to Stochastic Volatility Driven Model of the Stock Price", Annals of the University of Craiova, Mathematics and Computer Science Series, 32 126-142.
Courses
  • MA 611 Probability
  • MA 612 Mathematical Statistics
  • MA 623 Stochastic Processes
  • MA 635 Real Variables I
  • MA 636 Real Variables II
  • FE 610 Stochastic Calculus for Financial Engineers
  • FE 621 Computational Methods in Finance