Ionut Florescu

Stevens Institute of Technology

Assistant professor

Castle Point on the Hudson

Hoboken, NJ 07030

United States

View CV
SCHOLARLY PAPERS

9

DOWNLOADS
Rank 30,690

SSRN RANKINGS

Top 30,690

in Total Papers Downloads

1,148

CITATIONS

2

Scholarly Papers (9)

1.

Rare Events Analysis of High-Frequency Equity Data

Wilmott Journal, pp. 74-81, 2011
Number of pages: 13 Posted: 29 Feb 2012 Last Revised: 02 Mar 2012
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 603 (21,059)

Abstract:

high-frequency trading, average daily volume, trading strategy

2.

Stochastic Volatility: Option Pricing Using a Multinomial Recombining Tree

Applied Mathematical Finance, Vol. 15, No. 2, 2008
Number of pages: 38 Posted: 26 May 2012
Ionut Florescu and Frederi Viens
Stevens Institute of Technology and Purdue University
Downloads 69 (231,013)
Citation 1

Abstract:

incomplete markets, Monte-Carlo method, options market, option pricing, particle method, random tree, stochastic ļ¬ltering, stochastic volatility

3.

Construction of Volatility Indices Using a Multinomial Tree Approximation Method

HANDBOOK OF MODELING HIGH-FREQUENCY DATA IN FINANCE, Frederi G. Viens, Maria C. Mariani and Ionut Florescu, eds., December 2011
Number of pages: 24 Posted: 04 Mar 2012
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 61 (272,527)

Abstract:

volatility, multinomial tree

4.

Long Correlations and Levy Models Applied to the Study of Memory Effects in High Frequency (Tick) Data

Physica A, 389(8), April 2010, pp 1653-1664
Number of pages: 12 Posted: 26 May 2012
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University
Downloads 49 (308,245)

Abstract:

EAFE Index, International stock market indices, Detrended fluctuation analysis, R/S Analysis

5.

A Study About the Existence of the Leverage Effect in Stochastic Volatility Models

Physica A, 388(4), Feb. 2009, 419-432
Number of pages: 25 Posted: 26 May 2012
Ionut Florescu and Cristian Pasarica
Stevens Institute of Technology and Barclays Investment Bank
Downloads 49 (322,172)
Citation 1

Abstract:

6.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Number of pages: 21 Posted: 18 May 2017 Last Revised: 23 May 2017
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 0 (489,379)

Abstract:

variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations

7.

Tools for Change: An Examination of Transformative Learning and Its Precursor Steps in Undergraduate Students

ISRN Education, 2012, article ID 234125
Number of pages: 10 Posted: 30 Jan 2016 Last Revised: 26 Mar 2016
Sabra E. Brock, Ionut Florescu and Leizer Teran
Touro College Graduate School of Business, Stevens Institute of Technology and Drexel University
Downloads 0 (489,379)

Abstract:

8.

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
Posted: 06 Jan 2016
Ionut Florescu and Maria C. Mariani
Stevens Institute of Technology and University of Texas at El Paso

Abstract:

Integro-differential parabolic equations; financial mathematics; Levy markets; jumps processes; stochastic volatility

9.

Study of Memory Effects in International Market Indices

M.C. Mariani, I. Florescu, M.P. Beccar Varela, E. Ncheuguim, Study of memory effects in international market indices, Physica A: Statistical Mechanics and its Applications, Volume 389, Issue 8, 15 April 2010, Pages 1653-1664, ISSN 0378-4371
Posted: 06 Jan 2016
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University

Abstract:

EAFE index; International stock market indices; Detrended fluctuation analysis; R/S analysis