Research/Publications

CV link

IMPORTANT: Should you need more information (or if the publisher does not allow access to any of the articles listed) please email me by clicking my name above.

Books

Tree estimation for Stochastic Volatility Models. The Anderson SPDE, (thesis monograph), publisher: VDM Verlag mbH, April 2010, ISBN 978-3639127669 (link)

Probability and Stochastic Processes, Wiley Interscience, to appear 2014.

Handbook of Probability, Wiley Interscience, with Ciprian Tudor, November 2013, ISBN: 978-0-470-64727-1. Link

Edited Books:

Handbook of High Frequency Data modeling co-edited with M.C. Mariani and F. Viens, published by Wiley, 2012, ISBN-10 0470876883, ISBN-13 978-0470876886 (link)

Stochastic Processes and Applications in Finance:

Florescu I., R. Liu, M.C. Mariani, and G. Sewell: "Numerical Schemes for Option Pricing in Regime-Switching Jump Diffusion Models," International Journal of Theoretical and Applied Finance, 16 (8) (2013) 1350046 (25 pages) DOI: 10.1142/S0219024913500465, preprint

Florescu I., M.C. Mariani and G. Sewell "Numerical Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market", with M. Mariani and G. Sewell, to appear in Quantitative Finance, 2011 preprint

Mariani M.C., P. Bezdek, L. Serpa, I. Florescu, "Ising type models applied to Geophysics and high frequency market data", to appear in Physica A, published online first at http://dx.doi.org/10.1016/j.physa.2011.07.011, 2011.

Florescu I. and C. Tudor, "Estimation of the long memory parameter in stochastic volatility models by quadratic variations", Random Operators and Stochastic Equations (ROSE), vol. 19, nr 2, pp 197-216, 2011, preprint, link on the publisher site

Bozdog D., I. Florescu, K.Khashanah and J. Wang, "Rare Events Analysis of High-Frequency Equity Data", Wilmott Journal, Volume 2011, Issue 54, Pages 74-81, July 2011 preprint, link on the publisher site

Bozdog D., I. Florescu, K. Khashanah, and H. Qiu, "Construction of Volatility Indices using a Multinomial Tree Approximation Method", Handbook of high frequency data analysis to appear 2011, preprint, link on the publisher site

Bozdog D., I. Florescu, K.Khashanah and J. Wang, "A study of persistence of price movement using High Frequency Financial Data" Handbook of high frequency data analysis to appear 201, preprint, link on the publisher site

Florescu I. and M. C. Mariani: Solutions to integro-differential parabolic problems arising in the pricing of financial options in a Levy market, Electronic Journal of Differential Equations, Vol. 2010(2010), No. 62, pp. 1-10, link on the publisher site (free access).

Ulibarri C., I. Florescu, and J. Eidsath: Regulating Noisy Short-Selling Of Troubled Firms?, Journal of Financial Economic Policy, vol. 1, no. 3, 2009, pp 227-245, early preprint, link on the publisher site

Mariani M.C., I. Florescu, M.P. Beccar Varela and E. Ncheuguim: Study of memory effects in international market indices, Physica A, 389(8), April 2010, pp 1653-1664, preprint, link on the publisher site

Mariani M.C., I. Florescu, M.P. Beccar Varela and E. Ncheuguim: Long correlations and Levy Models applied to the study of Memory effects in high frequency (tick) data, Physica A, 388(8), April 2009, p. 1659-1664 preprint, link on the publisher website, link to the page containing plots mentioned in the article

Florescu I. and C. G. Pasarica: A study about the existence of leverage effect in Stochastic Volatility models, Physica A, 388(4), Feb. 2009, 419-432, preprint, link on the publisher site

C. Ulibarri, P. Anselmo, K. Hovespian J. Tolk and I. Florescu: ``Noise-Trader Risk'' And Bayesian Market Making In FX Derivatives: Rolling Loaded Dice?, International Journal of Finance and Economics, vol. 14, issue 3, 2009, p. 268-279, link on the publisher site

Florescu I. and F. Viens: Stochastic volatility: option pricing using a multinomial recombining tree. Applied Mathematical Finance Journal, vol. 15, no. 2, April 2008, p. 151-181. pdf, link on the publisher site

Florescu I. and F. Viens: Sharp estimation for the almost-sure Lyapunov exponent of the Anderson model in continuous space. Probability Theory and Related Fields, vol. 135, no. 4, Aug 2006, pages 603-644. With F. Viens. pdf, link on the publisher site

Floresc I. and F. Viens: A Binomial Tree Approach to Stochastic Volatility Driven Model of the Stock Price. Annals of the University of Craiova , Mathematics and Computer Science Series, 32 (2005), p. 126-142.

Stochastic Processes and Applications to other areas

Environmental Studies

Strigul N., I. Florescu, A. Welden and F. Michalczewski, "Modelling of forest stand dynamics using Markov chains", Environmental Modelling & Software, vol 31, May 2012, pp. 64-75. http://dx.doi.org/10.1016/j.envsoft.2011.12.004

Computer Vision Research:

R. Stolkin, I. Florescu, M. Baron, C. Harrier and B. Kocharov: Efficient visual servoing with the ABCshift tracking algorithm, Proceedings of the 2008 IEEE International Conference on Robotics and Automation, Pasadena, CA, 19-23 May 2008, p. 3219-3224 pdf link on the publisher site

R. Stolkin, I. Florescu, G. Kamberov: An adaptive background model for CAMSHIFT tracking with a moving camera, Advances In Pattern Recognition, Proceedings of the Sixth International Conference Indian Statistical Institute, Kolkata, India 2 - 4 January 2007, World Scientific Publishing, p. 147-151. pdf, link on publisher site

Link to the ABCshift tracker results.

Sensor placement and optimization:

R. Stolkin, I. Florescu: Probability of detection and optimal sensor placement for threshold based detection systems, IEEE Sensors, 9(1), Jan. 2009, 57-60. pdf, link on publisher site

R. Stolkin, I. Florescu: Probabilistic analysis of a passive acoustic diver detection system for optimal sensor placement and extensions to localization and tracking, Proc. IEEE MTS OCEANS 2007, Sept. 29 - Oct. 4, 2007, p. 1-6. pdf

Cryptography and Statistics:

I. Florescu, A. Myasnikov and A. Mahalanobis: Statistical analysis of the Diffie-Hellman key exchange protocol in a finite group, (in review), preprint on arXiv

I. Florescu A summary of recent and old results on the security of the Diffie-Hellman key exchange protocol in finite groups,book chapter in Ed/s S. Lian and Y. Zhang, Handbook of Research on Secure Multimedia Distribution, Information Science Reference, chapter X, ISBN: 978-1-60566-262-6, March 2009, preprint, link on publisher site

Other Areas (non-permanent interest):

Bach, J.R, I. Florescu, I. Wendel, A sexually transmitted fatal condition: the odds of existing and family counseling for inherited disease, American Journal of Physical Medicine and Rehabilitation, vol. 87, nr. 12, December 2008, pages 1052-1053

Technical reports:

Florescu I. "Pricing using Implied Volatility Surface" Purdue University TR05-02 (2005) link, locallink.
Florescu I. "Queuing Processes - An introduction with Proposed Applications to Finance" Purdue University TR05-01 (2005) linktostorage, betterlinkLocal.