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 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), and Statistics & Risk Modeling,  International Journal of Financial Engineering (JFE).

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.  

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.

Igor Cialenco


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"

past news

Current visits and talks:  

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 expertiseSee 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