Ionut Florescu

Stevens Institute of Technology

Assistant professor

Castle Point on the Hudson

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

14

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CITATIONS
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14

Scholarly Papers (14)

1.

Rare Events Analysis of High-Frequency Equity Data

Wilmott Journal, pp. 74-81, 2011, Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 29 Feb 2012 Last Revised: 15 Oct 2018
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 1,005 (21,339)
Citation 1

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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 Last Revised: 23 Mar 2018
Ionut Florescu and Frederi Viens
Stevens Institute of Technology and Purdue University
Downloads 131 (217,010)

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

3.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Zhe Zhao, Zhenyu Cui and Ionut Florescu
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 111 (246,899)
Citation 1

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VIX derivatives, Hermite series, Stochastic volatility, Heston model, Mean-reverting CEV model

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 Last Revised: 23 Mar 2018
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University
Downloads 91 (280,336)

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

5.

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 Last Revised: 19 Jun 2018
Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 74 (317,714)

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volatility, multinomial tree

6.

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 Last Revised: 23 Mar 2018
Ionut Florescu and Cristian Pasarica
Stevens Institute of Technology and Barclays Investment Bank
Downloads 58 (360,826)

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7.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34
Number of pages: 20 Posted: 15 Jun 2018 Last Revised: 11 Apr 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 34 (446,892)

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variance swaption, stochastic volatility, multinomial tree

8.

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: 23 Mar 2018
Sabra Brock, Ionut Florescu and Leizer Teran
Touro College Graduate School of Business, Stevens Institute of Technology and Drexel University
Downloads 12 (566,872)

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9.

An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

Stevens Institute of Technology School of Business Research Paper
Number of pages: 35 Posted: 06 Nov 2018
Thomas Lonon and Ionut Florescu
Stevens Institute of Technology and Stevens Institute of Technology
Downloads 8 (591,974)

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option pricing, jump diffusion, log mix-norm

10.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 0 (667,153)

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

11.

Double Sampling Kalman Filter with Applications in Investment Fund Reconstruction Problems

Posted: 09 Dec 2018
Zimeng Cheng, Ou Hui, Zi Lang Wong, Mu Tian and Ionut Florescu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology

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Kalman Filter, Filtering, Portfolio Replication, Portfolio Reconstruction, Jump Detection

12.

Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data

Stevens Institute of Technology School of Business Research Paper
Posted: 26 Oct 2017 Last Revised: 23 Mar 2018
Amin Salighehdar, Yang Liu, Dragos Bozdog and Ionut Florescu
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology

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Liquidity, High Frequency Trading, Correlation, Hierarchical Clustering

13.

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 Last Revised: 23 Mar 2018
Ionut Florescu and Maria Mariani
Stevens Institute of Technology and University of Texas at El Paso

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

14.

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 Last Revised: 23 Mar 2018
University of Texas at El Paso, Stevens Institute of Technology, University of Texas at El Paso and New Mexico State University

Abstract:

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