Igor Cialenco
I am a Full Professor in the Department of Applied Mathematics at Illinois Institute of Technology.
My current research interests span across several areas of applied probability and statistics, including Quantitative Finance, Statistical Inference for Stochastic PDEs, Stochastic Control and Environmental Finance. My profile at Google Scholar and arXiv.
I served as Chair for SIAM Activity Group on Financial Mathematics and Engineering for the period 01/2022-12/2023, and as Program Director of this activity group during 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), Statistics & Risk Modeling, and International Journal of Financial Engineering (JFE).
Between 2016-2024, I was as the Director of Graduate Studies (and Associate Chair) supervising the graduate programs in the Department of Applied Mathematics at Illinois Tech.
During my academic career, I taught and developed courses in Mathematical Finance, Stochastic Analysis and Stochastic Processes, Statistics, Real Analysis, at both graduate and undergraduate levels. Some recently developed courses.
Awards: Researcher to Know 2024 by the Illinois Science & Technology Coalition; College of Computing Dean's Excellence Award for Research, Illinois Tech, 2024; 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.
Funding:
Current: NSF Grant DMS-2407549 Collaborative Research: Stochastic Modeling for Sustainable Management of Water Rights.
Past: NSF Grant DMS - 1907568/1907522, NSF Grant DMS-1211256, NSF Grant DMS-0938234, NSF Grant DMS-0908099.
News
01/25 With M. Ludkovski published our first paper on A groundwater market model
06/24 Joined the Editorial Board of Statistics & Risk Modeling lead by Editor-in-Chief Thorsten Schmidt
06/24 Named RESEARCHER to KNOW 2024 by the Illinois Science & Technology Coalition (ISTC)
05/24 Our paper, "A Note on Parameter Estimation for Discretely Sampled SPDEs" has been selected as one of the Stochastics and Dynamics Best Papers!
05/24 Awarded NSF DMS Grant on Stochastic Modeling for Sustainable Management of Water Rights, in collaboration with M. Ludkovski, UCSB.
02/24 ECMF8 will be held at Univerrsity of Toronto, Sept 26-27, 2024
12/23 Lunched International Code Quest - DeFi & RoboAdvising Challenge, open to any student globally.
08/23 Co-supervised with T.R. Bielecki, Hao Liu graduates with a PhD degree; thesis "Dynamic risk and dynamic performance measures generated by distortion functions and diversification benefits optimization"
Current visits and talks:
Miami, Florida, USA, SIAM FM25, July 15-18 2025
U of Michigan, Jan 2025
UCLA, Oct 2024
USC, Oct 2024
UCSB, Oct 2024
Charles University, Prague, Czech Republic, Sep 25-28, 2024
ECMF8, U Toronto, September 2024
Vienna University of Economics and Business, June 2024
Humboldt University of Berlin, January 10-13, 2024
ECMF 7, NCSU, Raleigh, October 20-23, 2023
The Fields Institute, September 25 - 27, 2023, CFI Conference on Recent Advances in Mathematical Finance and Insurance
SIAM FM23, June 6-9, 2023, Philadelphia
Polish Academy of Science, Institute of Mathematics, May 2023
University of Oxford, March 2023
University o f Toronto, February 2023
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 details about the graduate degrees offered by the Dept of Applied Mathematics visit the Graduate Programs web-page.