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 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 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, Statistics, 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.
Funding: NSF Grant DMS - 1907568/1907522, NSF Grant DMS-1211256, NSF Grant DMS-0938234, NSF Grant DMS-0908099.
News
12/2023 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"
05/23 ECMF 7 will be held at NCSU, Raleigh, October 20-23, 2023
02/23 Scientific program of SIAM FM23 is published
01/22 Lunch of Mathematical Finance Mentoring Initiative
11/21 Elected as Chair of the SIAM Activity group on FME for the next two years.
09/21 The SIAG-FME virtual seminars series resumes its work.
08/21 ECMF5 will be held at Cornell, October 1-3 2021, while ECMF6 at Rutgers, October 14-15. 2022.
02/21 SIAM Conference on Financial Mathematics and Engineering (FM21) will be held fully online, June 1 - 4, 2021, Philadelphia, Pennsylvania, U.S.
01/21 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.
Current visits and talks:
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
Joint Math Meeting 2023, Boston, January 4-7, 2023
ECMF 6, Rutgers University, October 14-15, 2022
Fintech Moldova, September 30, 2022
Columbia University, Mathematical Finance Seminar, Sept 15, 2022
Statistics for Stochastic Processes: SDEs, SPDEs and concentration of measure, University of Luxembourg, September 7-9, 2022
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.