Assistant University

Ionut Florescu

Assistant Professor of Mathematics

Department of Mathematical Sciences

Stevens Institute of Technology

Castle Point on the Hudson

Hoboken, NJ 07030, USA

********@*******.*** 201-***-****

EDUCATION

Doctor of Philosophyin Statistics, Purdue University, West Lafayette, Indiana, USA

December 2004. Primary Research Area: Mathematics of Finance

Master of Sciencein Statistics with specialization in Computational Finance Purdue

University,

West Lafayette, Indiana, USA; December 2001

Master of Sciencein Mathematics with specialization in Stochastic Processes University of

Bucharest,

Romania; July 1997

PREVIOUS AND PRESENT POSITIONS

Stevens Institute of Technology, Department of Mathematical Sciences, U.S.A.

Assistant Professor (tenure track) Fall 2005 - present

Purdue University, Department of Statistics, U.S.A.

Visiting Assistant Professor, Spring 2005

Teaching Assistant, Fall 1998 - Fall 2004Romanian 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

RESEARCH INTERESTS

Probability Theory and Stochastic Analysis Applications to other fields

Stochastic Volatility models Computer Vision

Estimation Methods for Stochastic Processes Machine Learning Techniques

Approximations for Stochastic Processes Optimal sensor placement and tracking

High frequency data analysis Biology and Forestry

PUBLICATIONS

Authored Books

Tree estimation for Stochastic Volatility Models. The Anderson SPDE, (thesis

monograph), publisher: VDM Verlag mbH, April 2010, ISBN 978-3-639-12766-9

Link on Amazon.com

Probability and Stochastic Processes, Wiley Interscience, (under contract, manuscript to

be finalized

Jan 2012).

Handbook of Probability, Wiley Interscience, (under contract, manuscript to be finalized

Apr 2012),

co-author Ciprian Tudor.

Handbook of Stochastic Processes, Wiley Interscience, (under contract, manuscript to be

finalized

Jan 2013), co-author Ciprian Tudor.

Ionut Florescu Page 2

Edited Books

Handbook of High Frequency Data modeling co-edited with M.C. Mariani and F.Viens, Wiley,

ISBN-10-047*******, ISBN-13 978-0470876886, January 3, 2012 link

on Wiley site

awards received from International Mathematical Union (IMU), American Statistical Asso-

ciation (ASA), Institute of Mathematical Statistics (IMS) and International Association

of

Financial Engineers (IAFE).

Real-time tracking of positions of non-rigid objects in images having changing

background, with

Rustam Stolkin, patent pending, 2008, Ref.number: 101995.020900

Contributor to Polymorphic track mechanism for a manned or unmanned all-terrain vehicle

patent pending.

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 2004Puskas Memorial Fellowship for the Academic Year 2002-2003, Purdue Universit

Merit Scholarship, 1991-1997, University of Bucharest, Romania

TEACHING EXPERIENCE

Undergraduate Courses:

Probability and Statistics for engineers, Elementary Probability, Statistics for Liberal

Arts

students, Intermediate Statistics, Differential Equations.

Graduate Courses:

Probability Theory, Stochastic Processes, Mathematical Statistics, Real Analysis,

Pricing and Hedging, Computational Methods in Finance, Portfolio Theory and Investments,

Time series.

Curriculum Development:

New course content: Intermediate Statistics, completely redesigned the class, using

software

(R) throughout the course, and using advanced statistical methods.

New course content: Computational Methods in Finance, structured the class and introduced

advanced topics such as stochastic volatility modeling and approximation.

New course content: Stochastic Processes, redesigned the classes and wrote lecture notes

{ to

become a book in 2012.

New course: Time Series, an entirely new course, studying the classical time series

models and

the recent heteroschedastic models applied to Finance.

Ionut Florescu Page 5

INVITED CONFERENCE TALKS

INVITED SEMINAR LECTURES

Columbia University & CUNY, Risk Seminar, Detecting Rare Events in Financial markets,

Oct 26, 2011

CUNY Graduate Center, Probability Seminar, Estimation for regime switching stochastic

volatility models, Oct 18, 2011

Rutgers University, Mathematical Finance and Probability Research Seminar,A study of non-

linear PDE's and PIDE's appearing in Finance, March 1, 2011

Stevens Society of Financial Engineers Seminar,High frequency data analysis. An

introduction,

Stevens Institute, March 10, 2011

7City learning, Wilmott School, High Frequency Data Analysis: An introduction and some

proposed strategies, Nov 8, 2010

Columbia University, Mathematical finance Seminar, Estimation for Hidden Markov Chain

stochastic volatility models: Applications to analysis of High-Frequency Data, Feb 10

2010

The City University of New York, Applied Mathematics Seminar, A study of an integro-

differential parabolic problem arising in Mathematics of Finance: Existence and

approximation,

Feb 5 2010

Worcester Polytechnical Institute, Mathematical Sciences Department Colloquium,Estimation

of parameters present in continuous time Stochastic Volatility models, May 1 2009

New Mexico State University, Mathematics Seminar,Stochastic Volatility models:

Estimation,

March 2009

CUNY Graduate Center, Applied Mathematics Seminar,Leverage effect in Stochastic

Volatility

models. What is it and what are conditions for its appearance?, October 17, 2008

Stevens Institute, Mathematical Sciences Colloquium, A Clustering/Selection method to cap-

ture the systematic movement of Equity's Return, May 6 2008

Rutgers University, Mathematical Finance and Probability Seminars, A Clustering/Selection

method to capture the systematic movement of Equity's Return, April 15 2008

CUNY Graduate Center, Algebra and Cryptography Seminar, Looking at the Di e-Hellman

key exchange protocol from a statistical perspective, February 29, 2008

University of Cincinnati Statistical methods in Cryptography. An application of relative

en-

tropy and permutation testing to asses the security of the Di e-Hellman exchange

protocol.,

November 6, 2007

Stevens Society of Mathematicians (SSM) Stochastic Calculus: Application to calculating

Leverage effect in Stochastic Volatility models, September 19, 2007.

Kent UniversityOption pricing for stochastic volatility models using a highly recombining

tree,

April 23, 2007

Bloomberg seminar series,Option pricing under a stochastic volatility model, using a

stochastic,

highly recombining tree., March 15, 2007

Stevens Institute,Mini-Lecture Series in Stochastic Integration, Sep 20 { Oct 20, 2006

Stevens Institute, Computer Science- Security Seminar, Statistical approach to the

Decision

Di e-Hellman Problem, Oct 2, 2006.

Purdue University, Computational Finance Seminar,Coe cient Estimation for Diffusion Mod-

els, Apr 28, 2006

Stevens Institute of Technology, Nonlinear Systems Seminar,Sharp estimation of the almost-

sure Lyapunov exponent for the Anderson model in continuous space, Oct 4, 2005

Stevens Institute of Technology, Stochastic Systems Seminar, Stochastic Volatility Stock

Price

- Option Pricing and Coe cient Estimation, Feb 18 2005

Purdue University, Probability Seminar,A Lower Bound for the Exponential Behavior of the

Solution to the Anderson Stochastic Parabolic Equation, Jan 18, 2005.

Purdue University, Computational Finance Seminar A Binomial Tree Approach to Stochastic

Volatility Driven Model of the Stock Price, Apr 23, 2004

Purdue University, Probability Seminar,Tree Approximation to the Option Price in the

Stochas-

tic Volatility World, Sep 28, 2004

Ionut Florescu Page 7

PROFESSIONAL ACTIVITIES AND AFFILIATIONS

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/

IMS (Institute of Mathematical Statistics), Member

ASA (American Statistical Association), Member

OTHER PROFESSIONAL ACTIVITIES

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 effect 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 (cur-

rent) and the Financial Engineering program (past) at Stevens Institute of Technology.

Ionut Florescu Page 8

STUDENTS AND STUDENTS ADVISING

Ph.D. major advisor (graduated students):

{ 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: Drago s Bozdog (anticipated 2012), Kristina Krsteva (anticipated

2013)

Thomas Lonon (anticipated 2012)

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 (Mas-

ters' Financial Engineering 2007), Hongwei Qiu (Masters' FE 2010) Viorel Dragnea (Ph.D.

Computer Sciences 2011), Laurentiu Sega (Ph.D. Mathematics, Purdue University, 2011).

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