Ionut Florescu

Stevens Institute of Technology - School of Business

Hoboken, NJ 07030

United States

Stevens Institute of Technology

Assistant professor

Castle Point on the Hudson

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 27,844

in Total Papers Downloads

2,078

SSRN CITATIONS
Rank 40,126

SSRN RANKINGS

Top 40,126

in Total Papers Citations

6

CROSSREF CITATIONS

12

Scholarly Papers (18)

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 - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 1,098 (23,187)

Abstract:

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high-frequency trading, average daily volume, trading strategy

2.

COVID-19 and the Equity Market. A March 2020 Tale

Number of pages: 13 Posted: 03 Apr 2020
Ziwen Ye and Ionut Florescu
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 244 (149,669)

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High frequency data, Rare event detection, Market crash, Limit order book

3.

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 - School of Business and Purdue University
Downloads 144 (239,555)
Citation 2

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incomplete markets, Monte-Carlo method, options market, option pricing, particle method, random tree, stochastic filtering, stochastic volatility

4.

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 - School of Business
Downloads 142 (242,355)
Citation 2

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

5.

SHIFT: A Highly Realistic Financial Market Simulation Platform

6th International Symposium in Computational Economics and Finance, Paris, October 29-31, 2020
Number of pages: 23 Posted: 20 Mar 2020 Last Revised: 28 Aug 2020
Stevens Institute of Technology, Stevens Institute of Technology - School of Business, affiliation not provided to SSRN and Stevens Institute of Technology
Downloads 130 (259,724)

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Financial Engineering, High Frequency Trading, Market Micro-structure, Real Time Simulation, Trading Strategies

6.

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 - School of Business, University of Texas at El Paso and New Mexico State University
Downloads 95 (323,359)

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

7.

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 - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 86 (344,244)

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volatility, multinomial tree

8.

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 - School of Business and Barclays Investment Bank
Downloads 61 (415,950)

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9.

Extracting Information From the Limit Order Book: New Measures to Evaluate Equity Data Flow

Ye, Ziwen, and Ionuţ Florescu. "Extracting information from the limit order book: New measures to evaluate equity data flow." High Frequency 2.1: 37-47, 2019
Number of pages: 20 Posted: 20 Mar 2020
Ziwen Ye and Ionut Florescu
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 32 (537,170)
Citation 2

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High Frequency, Limit Order Book, Equity Exchanges, Data Flow Analysis, Statistics

10.

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 - School of Business
Downloads 17 (630,782)

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option pricing, jump diffusion, log mix-norm

11.

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 - School of Business and Drexel University
Downloads 15 (644,862)
Citation 1

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12.

A Comparison of Pricing Models for Mineral Rights: Copper Mine in China

Resources Policy, Vol. 65, March 2020
Number of pages: 37 Posted: 20 Mar 2020
Chang Xiao, Ionut Florescu and Jinsheng Zhou
affiliation not provided to SSRN, Stevens Institute of Technology - School of Business and China University of Geosciences (CUG) - School of Humanities and Economic Management
Downloads 14 (652,044)

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Mineral Rights, Mining Valuation, Futures, Real Options

13.

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 - School of Business
Downloads 0 (775,401)

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

14.

Double Sampling Kalman Filter with Applications in Investment Fund Reconstruction Problems

Posted: 09 Dec 2018 Last Revised: 27 Feb 2020
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 - School of Business

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

15.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34, http://jod.pm-research.com/content/26/3/22
Posted: 15 Jun 2018 Last Revised: 05 Oct 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business

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variance swaption, stochastic volatility, multinomial tree

16.

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 - School of Business

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Liquidity, High Frequency Trading, Correlation, Hierarchical Clustering

17.

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 - School of Business and University of Texas at El Paso

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

18.

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 - School of Business, 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