Research/Publications

Stochastic Processes and Applications in Finance:

Mariani M.C., I. Florescu, M.P. Beccar Varela and E. Ncheuguim: Long correlations and Levy Models applied to the study of Memory effects in high frequency (tick) data, Physica A, 388(8), April 2009, p. 1659-1664 pdf (preprint), link on the publisher website, link to the page containing plots mentioned in the article

Florescu I. and C. G. Pasarica: A study about the existence of leverage effect in Stochastic Volatility models, Physica A, 388(4), Feb. 2009, 419-432 link on the publisher website

C. Ulibarri, P. Anselmo, K. Hovespian J. Tolk and I. Florescu: ``Noise-Trader Risk'' And Bayesian Market Making In FX Derivatives: Rolling Loaded Dice?, International Journal of Finance and Economics, vol. 14, issue 3, 2009, p. 268-279, link to publisher

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

Florescu I. and F. Viens: 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

Floresc I. and F. Viens: 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, 19-23 May 2008, p. 3219-3224 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, World Scientific Publishing, p. 147-151. 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, 9(1), Jan. 2009, 57-60. pdf

R. Stolkin, I. Florescu: Probabilistic analysis of a passive acoustic diver detection system for optimal sensor placement and extensions to localization and tracking, Proc. IEEE MTS OCEANS 2007, Sept. 29 - Oct. 4, 2007, p. 1-6. 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 Ed/s S. Lian and Y. Zhang, Handbook of Research on Secure Multimedia Distribution, Information Science Reference, chapter X, ISBN: 978-1-60566-262-6, March 2009

Other Areas (non-permanent interest):

Bach, J.R, I. Florescu, I. Wendel, A sexually transmitted fatal condition: the odds of existing and family counseling for inherited disease, American Journal of Physical Medicine and Rehabilitation, vol. 87, nr. 12, December 2008, pages 1052-1053

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.