Igor Cialenco

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

Currently I serve as 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 Program Director for SIAM Activity Group on Financial Mathematics and Engineering for the period 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", 2019-2022, co-Pis with Tomasz R. Bielecki (Illinois Tech) and Andrzej Ruszczynski (Rutgers University).

News

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

03/2020 SIAM Conference on Financial Mathematics and Engineering (FM21) will be held on June 1 - 4, 2021, Philadelphia, Pennsylvania, U.S.

02/2020 The ECMF5 will be held at Rutgers University, October 16-17, 2020

01/2020 Appointed Managing Editor for the International Journal of Theoretical and Applied Finance (IJTAF)

01/2020 Elected Program Director for SIAM Activity Group on Financial Mathematics and Engineering for the period 01/2020-12/2021.

07/2019 Jointly with Tomasz R. Bielecki (Illinois Tech) and Andrzej Ruszczynski (Rutgers University) we have been awarded by NSF-DMS the research grant "Collaborative Research: Risk-Averse Control of Markov Systems with Model Uncertainty", 2019-2022.

07/2019 Our paper A Dynamic Model of Central Counterparty Risk (with Tomasz R. Bielecki, and Shibi Feng) Int J Theoretical App Finance, 21(08), 1850050 (32 pages), 2018. DOI:10.1142/S0219024918500504 was chosen by the Editor in Chief as Featured Article on IJTAF with free access for registered users.

Current visits and talks:

    • 5th Conference on Ambit Fields and Related Topics, August 3-7, 2020, Aarhus University, Denmark

Recent 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 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.

For Masters in Math Finance: If you are interested in our Master of Mathematical Finance Program, a highly regarded and ranked professional program in the area of quantitative finance and risk management, please visit the official web-site of the program, where you will find details about the admission requirements, coursework, program requirements, alumni, etc. If you have any questions, feel free to contact me, or the program directors.