Research/Publications

Stochastic Processes and Applications in Finance:

I. Florescu and C. G. Pasarica, A study about the existence of leverage effect in Stochastic Volatility models, Physica A, 2008, (in print) pdf link on the publisher website

C. Ulibarri, P. Anselmo, K. Hovespian and I. Florescu ``Noise-Trader Risk'' And Bayesian Market Making In FX Derivatives: Rolling Loaded Dice?, International Journal of Finance and Economics, 2008 (in print)

Stochastic volatility: option pricing using a multinomial recombining tree. Applied Mathematical Finance Journal, vol. 15, no. 2, April 2008, p. 151-181. With F. Viens. .pdf

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

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. With F. Viens

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, May 2008 pdf

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. pdf

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, 2008 (in print). pdf
R. Stolkin, I. Florescu: Probabilistic analysis of a passive acoustic diver detection system for optimal sensor placement and extensions to localization and tracking, Proceedings of the IEEE MTS Oceans' 07. 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 Handbook of Research on Secure Multimedia Distribution, 2008

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.