Prof. Dr. Pasquale Cirillo

Work at ZHAW

Position

• Professor of Data Science
• Director of the International CAS in Artificial Intelligence and Data Analysis
• DIZH Fellow

Focus

• Risk Modelling, in particular tail risk
• Quantitative risk management and financial mathematics
• Machine learning
• Applied probability (change of measure, urn models, etc.)

Teaching

• Machine Learning 1 (BSc)
• Machine Learning Using SAS Viya (BSc)
• Data Analysis with SAS (BSc)
• Machine Learning for Business (CAS)
• Applied Forecasting (CAS)

Professional development teaching

• CAS Artificial Intelligence and Data Analysis
• CAS Data Competence for Business

Experience

• Statistical Consultant
  Freelance and for consulting companies
  07 / 2012 - today
• Associate Professor of Risk and Forecasting
  University of Nicosia
  08 / 2020 - 02 / 2021
• Assistant/Associate Professor of Applied Probability
  Delft University of Technology
  08 / 2012 - 07 / 2020
• Postdoc researcher in applied probability and statistics
  University of Bern
  04 / 2008 - 07 / 2012
• Researcher
  The SAS Institute
  05 / 2007 - 02 / 2008

Education and Continuing education

Education

• Habilitation / Applied Statistics
  University of Bern
  04 / 2008 - 07 / 2012
• PhD / Statistics
  Bocconi University
  09 / 2004 - 04 / 2008

Continuing Education

University Teaching Qualification for Mathematics (EWI-KO)
Delft University of Technology
03 / 2015

Network

Membership of networks

• Finance and Risk Engineering Department, New York University (NYU)
• Swiss Statistical Society
• SAS Educator

ORCID digital identifier

ORCID ID: 0000-0002-7711-049X

Awards

• DIZH Fellowship
  DIZH
  02 / 2024
• Project: ABC-EU-XVA
  Marie Skłodowska-Curie Actions
  09 / 2018
• Education Fellow
  Delft University of Technology
  01 / 2018
• Project: WakEUpCall
  Marie Skłodowska-Curie Actions
  12 / 2014
• Project: Multivariate Shocks
  Marie Skłodowska-Curie Actions CIG
  08 / 2013
• Premio Ultimo Novecento
  Comune di Pisa e Sistema Universitario Pisano
  07 / 2006

Social media

• X Account
• YouTube
• LinkedIn
• The Logic of Risk Podcast
• La Logica del Rischio Podcast (in Italian)

Media presence

• Frankfurter Allgemeine Zeitung
• Yahoo! Finance
• VOX
• Il Foglio (in Italian)
• Bloomberg
• Nature Physics

Publications

• Souto Arias, Luis A.; Cirillo, Pasquale; Oosterlee, Cornelis W.,

  2024.

  The Heston–Queue-Hawkes process : a new self-exciting jump–diffusion model for options pricing, and an extension of the COS method for discrete distributions.

  Journal of Computational and Applied Mathematics.

  454(116177).

  Available from: https://doi.org/10.1016/j.cam.2024.116177

• Carr, Peter; Cirillo, Pasquale,

  2024.

  A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims.

  Royal Society Open Science.

  11(4), pp. 231690.

  Available from: https://doi.org/10.1098/rsos.231690

• Souto Arias, Luis Antonio; Oosterlee, Cornelis W.; Cirillo, Pasquale,

  2023.

  AIDA : analytic isolation and distance-based anomaly detection algorithm.

  Pattern Recognition.

  141(109607).

  Available from: https://doi.org/10.1016/j.patcog.2023.109607

• Taleb, Nassim Nicholas; Bar-Yam, Yaneer; Cirillo, Pasquale,

  2022.

  On single point forecasts for fat-tailed variables.

  International Journal of Forecasting.

  38(2), pp. 413-422.

  Available from: https://doi.org/10.1016/j.ijforecast.2020.08.008

• Petropoulos, Fotios; Apiletti, Daniele; Assimakopoulos, Vassilios; Babai, Mohamed Zied; Barrow, Devon K.; Ben Taieb, Souhaib; Bergmeir, Christoph; Bessa, Ricardo J.; Bijak, Jakub; Boylan, John E.; Browell, Jethro; Carnevale, Claudio; Castle, Jennifer L.; Cirillo, Pasquale; Clements, Michael P.; Cordeiro, Clara; Cyrino Oliveira, Fernando Luiz; De Baets, Shari; Dokumentov, Alexander; Ellison, Joanne; Fiszeder, Piotr; Franses, Philip Hans; Frazier, David T.; Gilliland, Michael; Gönül, M. Sinan; Goodwin, Paul; Grossi, Luigi; Grushka-Cockayne, Yael; Guidolin, Mariangela; Guidolin, Massimo; Gunter, Ulrich; Guo, Xiaojia; Guseo, Renato; Harvey, Nigel; Hendry, David F.; Hollyman, Ross; Januschowski, Tim; Jeon, Jooyoung; Jose, Victor Richmond R.; Kang, Yanfei; Koehler, Anne B.; Kolassa, Stephan; Kourentzes, Nikolaos; Leva, Sonia; Li, Feng; Litsiou, Konstantia; Makridakis, Spyros; Martin, Gael M.; Martinez, Andrew B.; Meeran, Sheik; Modis, Theodore; Nikolopoulos, Konstantinos; Önkal, Dilek; Paccagnini, Alessia; Panagiotelis, Anastasios; Panapakidis, Ioannis; Pavía, Jose M.; Pedio, Manuela; Pedregal, Diego J.; Pinson, Pierre; Ramos, Patrícia; Rapach, David E.; Reade, J. James; Rostami-Tabar, Bahman; Rubaszek, Michał; Sermpinis, Georgios; Shang, Han Lin; Spiliotis, Evangelos; Syntetos, Aris A.; Talagala, Priyanga Dilini; Talagala, Thiyanga S.; Tashman, Len; Thomakos, Dimitrios; Thorarinsdottir, Thordis; Todini, Ezio; Trapero Arenas, Juan Ramón; Wang, Xiaoqian; Winkler, Robert L.; Yusupova, Alisa; Ziel, Florian,

  2022.

  Forecasting : theory and practice.

  International Journal of Forecasting.

  38(3), pp. 705-871.

  Available from: https://doi.org/10.1016/j.ijforecast.2021.11.001

• Souto Arias, Luis A.; Cirillo, Pasquale,

  2021.

  Joint and survivor annuity valuation with a bivariate reinforced urn process.

  Insurance: Mathematics and Economics.

  99, pp. 174-189.

  Available from: https://doi.org/10.1016/j.insmatheco.2021.04.004

• Cheng, Dan; Cirillo, Pasquale,

  2019.

  An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages.

  Risks.

  7(3), pp. 76.

  Available from: https://doi.org/10.3390/risks7030076

• Souto Arias, Luis Antonio; Cirillo, Pasquale; Oosterlee, Cornelis W.,

  2022.

  A new self-exciting jump-diffusion process for option pricing.

  SSRN.

  Available from: https://doi.org/10.2139/ssrn.4118631

• Montana, J.; Souto Arias, Luis A.; Cirillo, Pasquale; Oosterlee, Cornelis W.,

  2022.

  A quantum majorization alarm system for market crashes.

  SSRN.

  Available from: https://doi.org/10.2139/ssrn.3976131

• Carr, Peter; Cirillo, Pasquale,

  2022.

  Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property.

  SSRN.

  Available from: https://doi.org/10.2139/ssrn.4081193

• Fontanari, Andrea; Cirillo, Pasquale,

  2021.

  A note on the view of the Pickands dependence function as a Lorenz curve.

  SSRN.

  Available from: https://doi.org/10.2139/ssrn.3938769

• Cirillo, Pasquale; Feller, Anita; Hošek, Martin; Kuehni, Claudia; Lorez, Matthias; Michalopoulou, Eleftheria; Pfeiffer, Verena; Redmond, Shelagh; Roy, Elodie; Rüegger, Thomas; Spycher, Ben; Wagner, Ulrich; Weitkunat, Rolf,

  2021.

  Schweizerischer Krebsbericht 2021 : Stand und Entwicklungen.

  Neuchâtel:

  Bundesamt für Statistik (BFS).

  ISBN 978-3-303-14333-9.

  Available from: https://doi.org/10.21256/zhaw-23385

• Cirillo, Pasquale,

  2024.

  Dealing with apparently infinite mean phenomena.

  In:

  Peter Carr Seminar Series, University of Bologna, Italy, 19 April 2024.

• Cirillo, Pasquale,

  2024.

  Probability pas de deux (in finance) : connecting two probability measures via non-Newtonian calculus.

  In:

  International Conference on Computational Finance (ICCF), Amsterdam, The Netherlands, 2-5 April 2024.

Publications before appointment at the ZHAW

For preprints and a full list of all my publications, please refer to my personal website.

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