Igor Cialenco , Ph.D.Associate Professor
Office: Engineering 1, Room 125B
10 W. 32nd Street
Chicago, IL 60616
Office Hours: TR 4:30-5:30pm or by appointment
Web: click here
- Ph.D. in Applied Mathematics, University of Southern California (2007)
Research & Major Accomplishments
Ig. Cialenco, Tomasz R. Bielecki, and Ismail Iyigunler, Collateralized CVA Valuation with Rating Triggers and Credit Migrations, submitted 2012, arXiv, PDF.
Ig. Cialenco, Tomasz R. Bielecki, and Rodrigo Rodriguez, No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs, submitted 2012, arXiv, PDF.
Ig. Cialenco, Tomasz R. Bielecki, Ismail Iyigunler and Rodrigo Rodriguez, Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices, submitted, 2012 arXiv, PDF.
Ig. Cialenco, Gregory E. Fasshauer and Qi Ye, Approximation of Stochastic Partial Differential Equations by a Kernel-based Collocation Method, Forthcoming in International Journal of Computer Mathematics, 2012. DOI:10.1080/00207160.2012.688111, arXiv
Ig. Cialenco and Tomasz R. Bielecki and Ismail Iyigunler, Counterparty Risk and the Impact of Collateralization in CDS Contracts, Forthcoming in Robert Elliott Festschrift, 2011.
Ig. Cialenco and Tomasz R. Bielecki and Zhao Zhang, Dynamic Coherent Acceptability Indices and their Applications to Finance, Submitted for publication, 2012.
Ig. Cialenco and Nathan Glatt-Holtz, Parameter estimation for Stochastically perturbed Navier-Stokes Equations, Stochastic Processes and their Applications, vol 121, pp. 701-724, 2011. DOI:10.1016/j.spa.2010.12.007
Ig. Cialenco and Aris Protopapadakis, Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies, Journal of International Financial Markets, Institutions & Money, vol 21 , pp 176-206, 2011. DOI:10.1016/j.intfin.2010.10.001
Ig. Cialenco, Parameter estimations for SPDEs with multiplicative fractional noise, Stochastics and Dynamics, Vol. 10, No. 4, pp 561-576, 2010.
Professional Society Memberships
- American Mathematical Society (AMS)
- Mathematical Society of the Republic of Moldova
- Romanian Mathematical Society
- Society for Industrial and Applied Mathematics (SIAM)