Igor Cialenco

I am a Full Professor in the Department of Applied Mathematics at Illinois Institute of Technology.

Currently I serve as Associate Chair and the Director of Graduate Studies supervising the graduate programs in the Department of Applied Mathematics at Illinois Tech.

My current research interests span across several areas of applied probability and statistics, including Mathematical Finance, Statistical Inference for Stochastic PDEs and Stochastic Control. My profile at Google Scholar and arXiv.

I am serving as Chair for SIAM Activity Group on Financial Mathematics and Engineering for the period 01/2022-12/2023. Previously, I was the Program Director of this activity group (01/2020-12/2021).

I am a Managing Editor for the International Journal of Theoretical and Applied Finance (IJTAF), and on Editorial Boards of Applied Mathematical Finance, SIAM Journal on Financial Mathematics (SIFIN), Statistical Inference for Stochastic Processes (SISP), and International Journal of Financial Engineering (JFE).

During my academic career, I taught and developed courses in Mathematical Finance, Stochastic Analysis and Stochastic Processes, Real Analysis, at both graduate and undergraduate levels. Some recently developed courses.

Awards: College of Science Dean’s Excellence Award for Teaching, Illinois Tech, Fall 2015; College of Science and Letters Dean’s Excellence Award for Research and Scholarship, Illinois Tech 2011; Dissertation Fellowship from College of Letters, Arts and Sciences, USC; The First Prize of the Presidium of the Academy of Sciences of Moldova, 2000.

Igor Cialenco

Current External Funding: National Science Foundation (NSF) DMS - 1907568/1907522 "Collaborative Research: Risk-Averse Control of Markov Systems with Model Uncertainty", 2019-2023, co-Pis with Tomasz R. Bielecki (Illinois Tech) and Andrzej Ruszczynski (Rutgers University).

News

05/2022 Illinois Tech opens a new Master's Program in FinTech

01/2022 Lunch of Mathematical Finance Mentoring Initiative

11/2021 Elected as Chair of the SIAM Activity group on FME for the next two years.

09/2021 The SIAG-FME virtual seminars series resumes its work.

08/2021 ECMF5 will be held at Cornell, October 1-3 2021, while ECMF6 at Rutgers, October 14-15. 2022.

02/2021 SIAM Conference on Financial Mathematics and Engineering (FM21) will be held fully online, June 1 - 4, 2021, Philadelphia, Pennsylvania, U.S.

01/2021 Organizing the workshop Uncertainty and Risk, March 17-19, 2021 – Virtual, together with Sam Cohen, Lars Hansen, Tomasz R. Bielecki, Mike Tehranchi and Haoyang Cao.

04/2020 We started a new online series of seminars SIAG/FME virtual seminars series.

Current visits and talks:

Recent visits and talks:

    • CMStatistics 2021, 18-21 December 2021, London, UK

    • Workshop on Statistical modeling for stochastic processes and related fields, September 27-30, 2021, Online (Japan)

    • IMSI, July 16, 2021, Introduction to Decision Making and Uncertainty

    • MITRE 2021, July 1-3, 2021, Online, organized by Moldova State University and Mathematical Society of Republic of Moldova

    • SIAM FM21, June 1-4, 2021, Virtual

    • /canceled/ 5th Conference on Ambit Fields and Related Topics, August 3-7, 2020, Aarhus University, Denmark / Postponed to Summer 2021/

    • Vienna University of Economics and Business, The Institute for Statistics and Mathematics Seminar,

Previous talks and conferences

For prospective Students

PhD and MS students: On continuous basis I am mentoring PhD and MS students with strong interest in my research areas of expertise. See my former PhD and MS students, their research topics and job placement after graduation. If you have interest in becoming my PhD student, feel free to contact me directly. However, the admission to the PhD program in Applied Math at IIT is done at the departmental level across all research areas. For more details about the PhD program visit the official PhD web page or download the PhD poster. For details about the graduate degrees offered by the Dept of Applied Mathematics visit the Graduate Programs web-page.