Igor Cialenco

Illinois Institute of Technology

Professor

Department of Applied Mathematics

10 West 32nd Str, Bld E1, Room 208

Chicago, IL 60616

United States

http://math.iit.edu/~igor/

SCHOLARLY PAPERS

4

DOWNLOADS

592

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (4)

1.

The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions

Number of pages: 33 Posted: 26 Jun 2006
Levon Goukasian and Igor Cialenco
Pepperdine University - Business Division and Illinois Institute of Technology
Downloads 358 (104,682)
Citation 1

Abstract:

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Term Structure, Nelson-Siegel Model, Vasicek Model, Monetary Policy, Federal Funds Target Rate.

2.

Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies

Marshall School of Business Working Paper No. 09-06
Number of pages: 59 Posted: 01 Dec 2006 Last Revised: 24 Oct 2010
Igor Cialenco and Aris Protopapadakis
Illinois Institute of Technology and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 234 (163,198)
Citation 2

Abstract:

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trading rules, return rates, interest rate parity

3.

No‐Arbitrage Pricing for Dividend‐Paying Securities in Discrete‐Time Markets with Transaction Costs

Mathematical Finance, Vol. 25, Issue 4, pp. 673-701, 2015
Number of pages: 29 Posted: 14 Sep 2015
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
Downloads 0 (804,767)
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Abstract:

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arbitrage, fundamental theorem of asset pricing, transaction costs, consistent pricing system, liquidity, dividends, credit default swaps, interest rate swaps

4.

Dynamic Coherent Acceptability Indices and Their Applications to Finance

Mathematical Finance, Vol. 24, Issue 3, pp. 411-441, 2014
Number of pages: 31 Posted: 11 Jun 2014
Tomasz R. Bielecki, Igor Cialenco and Zhao Zhang
Illinois Institute of Technology, Illinois Institute of Technology and Illinois Institute of Technology
Downloads 0 (804,767)
Citation 3
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Abstract:

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dynamic coherent acceptability index, dynamic measures of performance, dynamic coherent risk measures, dynamically consistent sequence of sets of probability measures, time consistency, dynamic GLR, dynamic RAROC