Dr. Ionut Florescu
- 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
- Probability and Statistics
- Mathematics of Finance
- Stochastic Processes
- Stochastic Volatility Models
Dr. Ionut Florescu is a Research Professor in Financial Engineering. He also serves as Director of the Financial Analytics ptogram , 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, however his work is about applying sound mathematical modeling techniques to any area of science and engineering such as: Computer Vision, Cryptography, Geophysical Studies, Ocean studies, Weather forecasting, Biomedical Engineering, etc..
Dr. Florescu is working at Stevens since 2005, right after he obtained his Ph.D. in Statistics from Purdue University in December 2004. His education include a Bachelors in Mathematics (1996) and a Masters' in Stochastic Processes (1997) from University of Bucharest, Romania as well as a Masters in Computational Finance (Dec. 2001) from Purdue University.
- Stevens Institute of Technology, Financial Engineering, Research Professor, Director of the Hanlon Financial Systems Laboratories, Director of the Financial Analytics program 2019 - present.
- Stevens Institute of Technology, Financial Engineering, Research Associate Professor, Director of the Hanlon Financial Systems Lab 2012 - 2019.
- Stevens Institute of Technology, Department of Mathematical Sciences, U.S.A. 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
Academic Appeals committee, FE Ph.D. Committee member, Institute GCC member, Library committee member, FE Ph.D. committee, Faculty Senate.
- Associate Editor for Frontiers in MAthematical Finance, Journal Site (2020 -)
- Co-Editor in Chief for the High Frequency Journal (ISSN)2470-6981 Journal Site (2017-2019)
- Co-editor for the Handbook of High Frequency Data Models, with M. Mariani and F. Viens, Wiley, Jan 2012.
- Co-editor for a Special Issue on High frequency data models, Quantitative Finance Journal. Co-edited with M. Mariani, H.E. Stanley and F. Viens. April 2012.
- Co-editor for the Handbook of High Frequency Trading, with M. Mariani, H.E. Stanley, and F. Viens, Wiley, Nov 2015.
- Co-editor for Special Issue on High Frequency Data Modeling in Finance. Co-edited with M. Mariani, H.E. Stanley, and F. Viens. Quantitative Finance Journal, August 2015
Reviewer of manuscripts for the following:
- Ain Shams Engineering Journal, American Statistician, Annals of Finance, Annals of Operations Research, Communications on Stochastic Analysis (COSA), Decisions in Economics and Finance, Electronic Commerce Research and Applications, Financial Markets and Portfolio Management, Frontiers in Mathematical Finance, IEEE Transactions in Pattern Analysis and Machine Intelligence (TPAMI), International Journal of Theoretical and Applied Finance, International Journal of Computer and Mathematics, Journal of Scientific Research and Reports JSRR, Mathematical and Computer Modeling, Mathematical Problems In Engineering, Mathematical Finance, Mathematical Reviews, Mechanical Systems and Signal Processing, Methodology and Computing in Applied Probability, Physica A, Quantitative Finance, RISK, SIAM Journal on Optimization, Stochastics.
- Elsevier, Springer, Wiley, World Scientific Publishing, Taylor\&Francis (book reviews).
- NSF, DHS, Natural Sciences and Engineering Research Council of Canada (NSERC), Czech Science Foundation
Conference and Seminar Organizer
- Main organizer for the High Frequency and Data Analytics Conference Series. 2009-2019
- Many other small sessions for AMS and JSM
- Stevens Institute of Technology Financial Engineering Seminar, Spring 2007 - Spring 2009, 2015-present
- Stevens Institute of Technology Stochastics Systems Seminar, Math Colloquium, Fall 2005
Outreach and Service
- Working with numerous students during the summer on research projects to enrich student's experience (about 5 students every summer).
Ph.D. major advisor (graduated students):
Thiago Winkler Alves, Thesis: A Laboratory Environment for Financial Markets, Ph.D. in Financial Engineering, August 2020, Current Position: Interactive Brokers
Ziwen Ye, Thesis: Detecting, Analyzing and Categorizing Financial Events in High Frequency Trading and Its Application, Ph.D. in Financial Engineering, May 2020, Current Position: Quant Internship at AlphaCrest Capital Management LLC
Parisa Golbayani Thesis: Application of statistical and machine learning techniques to detect rare events in high frequency financial data and assess corporate credit rating, Ph.D. in Financial Engineering, Dec 2019, Current Position: Associate Data Strategy and Analytics, RAMPP Quants at RBC Capital Markets
Amin Salighehdar Combining distinct measurements into a comprehensive indicator: a study in High Frequency finance and climatology, Ph.D. in Financial Engineering, June 2018, Current position: Vice President, Data Scientist Lead at JPMorgan Chase\&Co
Honglei Zhao, Thesis: Pricing variance derivatives using trees, Ph.D. in Financial Engineering, May 2018, Current position: Quantitative research associate - Fixed Income at JPMorgan Chase\&Co
Christopher Flynn, Thesis: Hurst parameter estimation of a discretely sampled Ito integral with fractional Brownian motion driven integrand, Ph.D. in Mathematical Sciences, Dec 2015.
Current Position: Director of Machine Learning Systems at SimpleBet
Kristina Krsteva, Thesis: Estimation and optimization of linear multi-factor models of stock returns and detection of an underlying regime-switching process, Ph.D. in Mathematical Sciences, Dec 2014. Current position: Vice-President at Goldman Sachs
Dragos Bozdog, Thesis: A study of rare events in high-frequency financial data, Ph.D. in Financial Engineering, Dec 2014. Current position: Deputy Director Hanlon Lab at Stevens Institute of Technology
Thomas Lonon, Thesis: Option Pricing Utilizing a Jump Diffusion Model with a Log Mixture Normal Jump Distribution, Ph.D. in Mathematical Sciences, May 2013. Current position: Teaching Associate Professor at Stevens Institute of Technology.
Forrest Levin. Thesis: Monte Carlo estimation of stochastic volatility for stock values and potential applications to temperature and seismographic data, Ph.D. in Mathematical Sciences, May 2010. Current position: Adjunct Instructor at Nassau Community College
Darryl Neil Penenberg. Thesis: Statistical tests for the autoregressive structure in a time series, Ph.D. in Mathematical Science, May 2010, (co-advisor with D. Dentcheva). Current position: CEO and owner at DNP Consultants
Ph.D. major advisor: Zhao Zhe (2020), Dan Wang (2022), Zhiyuan Yao, William Long (2023, both co-supervising with Chihoon Lee), Francesco Fabozzi (2024)
Ph.D. Committee member: Ludmyla Rekeda (Ph.D. Mathematics 2005), 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), Eli Wolfhagen (Ph.D. mathematics, Stevens, 2015), May Wang Chao (Ph.D. Physics, Stevens, 2015), Monika M. Heinig (Ph.D. Mathematics, Stevens, 2015) Ph.D. Bartosz Luczynski (Ph.D. Computer Science, Stevens, 2015), Greg Stock (Ph.D. Mathematical Sciences, Stevens, 2017), Gary Engler (Ph.D. Mathematical Sciences, Stevens, 2017), Ying Zheng (Ph.D. Mathematical Sciences, Stevens, 2020), Serkan Alkan (Ph.D. Financial Engineering, Stevens, 2019) Qiang Wu (Ph.D. Operations Research, Rutgers University, 2018).
Master theses major advisor:
- Timothy Stanton, FE Dec 2019, ``Predicting CRISPR Cas-9 Negative Selection Outcomes from sgRNA Sequences'',
- Nikhil Nirhale, FE May 2018, `Estimation of the Hurst exponent in fractional Brownian motion driven volatility using high frequency data and option prices''
- David Carnahan, FE May 2015,``Does a 130/30 Tangency Strategy give higher returns than a Long Only Strategy in the Chinese Stock Market''
Senior design project advisor:
- Apeksha Jain, Dec 2018, ``Feature selection in Credit Rating'', undergraduate thesis for Birla Institute of Technology and Science (BITS) Pilani, Goa Campus (co-advising with Mayanik Goel)
- Matthew Murphy, Mike Wezyk, Arthur Krivoruk, Andrew Kubis, Laramie Regalado, ``Robo Advisor'', 2017-2018.
- Morgan Baron, Kirk Deligiannis, Colin Harrier, Matt Hochberger, Boris Kocherov "Design of a Vision Guided Robotic Vehicle", 2007-2008, (co-advising with G. Kamberov and R. Stolkin), won the award for the best senior design project at Stevens 2008;
- Alicia Welden and Fabian Michalczewski, ``Hierarchical scaling of forest dynamics to the landscape level: modeling of forest stand dynamics'' (2011) (co-advising with Nikolay Strigul),
- Joe Trinsey ``Comprehensive Statistics for the game of Voleyball'' (2009)
- 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 University Merit Scholarship, 1991-1997, University of Bucharest, Romania.
- IMS (Institute of Mathematical Statistics) , Member.
- ASA (American Statistical Association), Member.
- CME Foundation grant to support the research projects at the Financial Systems Center at Stevens, PI, July 2017-Dec 2017, $100,000
- CME Foundation grant to support the research projects at the Financial Systems Center at Stevens, PI, April 2015-Dec 2016, $85,000
- 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 financial 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).
- 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.
- Maria C. Mariani and Florescu I.. (Dec 12, 2019). Quantitative Finance, Wiley Interscience. ISBN/EAN 1118629957 / 9781118629956. 472 pages. Wiley.com .
- Ionut Florescu. (Sep 2014). Probability and Stochastic Processes, Wiley - ISBN: 978-0-470-62455-5. 576 pages. Wiley.com .
- Ionut Florescu, Ciprian A. Tudor. (Nov 2013). Handbook of Probability, Wiley - ISBN 978-0-470-64727-1. 472 pages. Wiley.com .
- 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 .
- Florescu I., M.C. Mariani, H.E. Stanley, and F. Viens. Special Issue of Quantitative Finance on ‘High frequency data analysis’, published by Quantitative Finance, ISSN 1469-7688, volume 12, issue 4, 2012, link .
- Florescu I., M.C. Mariani, H.E. Stanley, and F. Viens. Special Issue of Quantitative Finance on ‘High Frequency Data Modeling in Finance’, published by Quantitative Finance, ISSN 1469-7688, August 2015, pp 1277 , link .
- Florescu I., M.C. Mariani, H.E. Stanley, and F. Viens. (Apr 5, 2016). Handbook of High-Frequency Trading and Modeling in Finance, Wiley, ISBN 978-1-118-44398-9, 456. link on Wiley site .
- 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 .
- Parisa Golbayani, Ionuţ Florescu, Rupak Chatterjee. "A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees", The North American Journal of Economics and Finance. 54, 101251, Nov 1, 2020. DOI .
- Xiao C., I. Florescu, J. Zhou. "A comparison of pricing models for mineral rights:Copper Mine in China", Resources Policy. Volume 65, March 2020, 101546. DOI .
- Mariani M.C, Masum-Bhuiyan Md, Tweneboah O., Beccar-Varela M,I. Florescu. "Analysis of stock market data by using Dynamic Fourier and Wavelets techniques", Physica A. Volume 537, 1 January 2020,. DOI .
- Ye Z. and I. Florescu. "Extracting information from the limit order book: New measures to evaluate equity data flow", High Frequency Journal. vol 2, 37-47, March 2019. DOI .
- Zhao H., R. Chatterjee, T. Lonon, Ionut Florescu. "Pricing Bermudan Variance Swaptions Using Multinomial Trees", Journal of Derivatives. Spring 2019, 26 (3) 22-34;. DOI .
- Zhao Z., Z. Cui, and I. Florescu. "VIX derivatives valuation and estimation based on closed-form series expansions", Journal of Financial Engineering. vol. 5, No. 2, June 2018.
- Florescu I and F. Viens. "Editorial", High Frequency Journal. vol. 1(1), April 2018, pages 1-2.
- Mariani M.C., M. Bhuiyan, O. Tweneboah, H. Gonzalez-Huizar, and I. Florescu,. (2018). "Volatility models applied to geophysics and High Frequency financial market data", Physica A. vol. 503, Aug 2018, pages 304-321.
- Zhao H., Z. Zhao, R. Chatterjee, T. Lonon, and I. Florescu. (Oct 2017). "Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees", Journal of Derivatives. Winter 2017, 25 (2), pages 7-21.
- Salighehdar A., Z. Ye, M. Liu, A. Blumberg, and I. Florescu. (Oct 2017). "Ensemble based storm surge forecasting models", Weather and Forecasting. vol. 32, nr. 5, Oct 2017, pages 1921-1936.
- Salighehdar A., Y. Liu, D. Bozdog, and I. Florescu. (Aug 3, 2017). "Cluster analysis of liquidity measures in a stock market using high frequency data", Vol.2, No.2, August 2017, Journal of Management Science and Business Intelligence. 2 (2).
- Patel V., P. Thukral, M. Burns, I. Florescu, R. Chandramouli, R. Vinjamuri. (2017). "Hand Grasping Synergies as Biometrics", Bionics and Biomimetics, May 2017, doi: 10.3389/fbioe.2017.00026, Frontiers in Bioengineering and Biotechnology.
- Patel V., J. Craig, M. Schumacher, M. Burns, I. Florescu, R. Vinjamuri. (2017). "Synergy Repetition Training Versus Task Repetition Training in Acquiring New Skill", section Bionics and Biomimetics, February 2017, doi: 10.3389/fbioe.2017.00009, Frontiers in Bioengineering and Biotechnology.
- Burns M., V. Patel, I. Florescu, K. Pochiraju, and R. Vinjamuri,. (2017). "Low Dimensional Synergistic Representation of Bilateral Reaching Movements", January 2017, doi: 10.3389/fbioe.2017.00002, Frontiers in Bioengineering and Biotechnology.
- Beccar-Varela M, M. Mariani, O. Tweneboah, and I. Florescu. "Analysis of the Lehman Brothers collapse and the Flash Crash event by applying wavelets methodologies", January 2017, DOI:10.1016/j.physa.2017.01.064, Physica A: Statistical Mechanics and its Applications. link .
- Beccar-Varela Maria P., Francis Biney, and Ionut Florescu. (2015). "Long correlations and fractional difference analysis applied to the study of memory effects in high frequency data", Quantitative Finance, August 2015, pp 1365-1374 DOI: 10.1080/14697688.2015.1032547. link .
- Lienard J., I. Florescu, N. Strigul. "An Appraisal of the Classic Forest Succession Paradigm with the Shade Tolerance Index", PLoS One, 10(2):e0117138. doi:10.1371/journal.pone.0117138, Feb 2015. link .
- Florescu I., M.C. Mariani, I. Sengupta. "Option pricing with transaction costs and stochastic volatility", Electronic Journal of Differential Equations, Volume 2014, 30 July 2014.
- Florescu I., M.C. Mariani and G. Sewell. (2014). "Numerical Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market", Quantitative Finance, vol. 14, Iss. 8, 2014.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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).
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Ulibarri C., I. Florescu, and J. Eidsath. (2009). "Regulating Noisy Short - Selling Of Troubled Firms?", Journal of Financial Economic Policy, 1 (3), 227-245.
- 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.
- Stolkin R. and I. Florescu. (2009). "Probability of detection and optimal sensor placement for threshold based detection systems", IEEE Sensors, 1 (9), 57-60.
- 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.
- Florescu I. and F. Viens. (Apr 2008). "Stochastic volatility: option pricing using a multinomial recombining tree", Applied Mathematical Finance, 15 (2), 151-181.
- 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.
- 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.
- Florescu I. and F. Levin. (2016). "Estimation procedure for regime switching stochastic volatility model and its applications", Handbook of High-Frequency Trading and Modeling in Finance, chapter 5, pp 107-136, April 2016, Wiley.
- Alves T.W., I Florescu, G Calhoun, D Bozdog,. "SHIFT: A Highly Realistic Financial Market Simulation Platform", 6th International Symposium in Computational Economics and Finance. Paris 2020.
- Mago Damini, Amin Salighehdar, Mansi Parekh, Dragos Bozdog and Ionut Florescu. "Liquidity Risk and Asset Movement Evidence from Brexit", SSCI 2017. Proceedings of the 2017 IEEE Symposium Series on Computational Intelligence. Nov 27- Dec 1, 2017, Hawaii.
- Salighehdar A., Z. Ye, M. Liu, I. Florescu, A.F. Blumberg. "Statistical Comparison of Ensemble Based Storm Surge Forecasting Models", Conference proceedings of the ICCOE 2017 : 19th International Conference on Coastal and Ocean Engineering. San Francisco, USA, September, 28-29, 2017.
- 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
- FE 699 Project in Financial Engineering
- FE 540 Probability theory for FE
- FE 800 Project in Financial Engineering
- FE 900 Master’s Thesis in Financial Engineering
- QF 202 Financial Time Series
- FE 710 Applied Stochastic Differential Equations
- QF Elective
- FE 505 Financial Lab: Technical Writing in Finance
- FE 541 Applied Statistics with Applications in Finance
- FE 542 Time Series with Applications to Finance
- FE 641 Multivariate Statistics and Advanced Time Series in Finance