Igor Cialenco gave invited talks at Princeton University and University of Southern California last semester about his research with collaborators on innovative pricing and risk theories. Cialenco is associate professor of applied mathematics and co-director of the Master of Mathematical Finance (MMF) program at Illinois Tech.
At Princeton, he presented the financial mathematics seminar on November 8 for the Department of Operations Research and Financial Engineering (ORFE). His talk, “Arbitrage-Free Pricing in Nonlinear Market Models,” described a nonlinear arbitrage-free pricing theory that takes into account real-world trading constraints, differential funding costs, collateralization, counterparty credit risk and capital requirements. The talk was based on research Cialenco did with Tomasz R. Bielecki, professor of applied mathematics and director of Illinois Tech’s MMF program, and Marek Rutkowski, professor of applied mathematics, University of Sydney.
At USC, Cialenco spoke on “Time Consistency of Risk and Performance Measures” for the mathematical finance colloquium. He presented a new flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). He did the work jointly with Bielecki and Marcin Pitera, faculty of mathematics and computer science, Jagiellonian University, Krakow, Poland.
Cialenco received his Ph.D. in Applied Mathematics from USC. Currently, his primary research interests are in mathematical finance, statistical inference for SPDEs and stochastic control.
The MMF program is a professional (non-thesis) interdisciplinary program offered jointly by the Department of Applied Mathematics in the College of Science and the Stuart School of Business. It provides individuals interested in pursuing careers in financial risk management with advanced education in theoretical, computational, and business aspects of quantitative methodologies relevant to the financial industry. The program offers a superior quantitative education and an ideal balance of theory and practice, and it is based in Chicago, which has a vibrant financial community. MMF alumni are employed by such companies as CME Group, Citigroup, Discover Financial Services, Goldman Sachs, JPMorgan Chase & Co., and Morgan Stanley.