Prof. Dr. Pasquale Cirillo

Arbeit an der ZHAW

Tätigkeit

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

Arbeits- und Forschungsschwerpunkte

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

Lehrtätigkeit

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

Lehrtätigkeit in der Weiterbildung

CAS Data Competence for Business

Berufserfahrung

• Statistical Consultant
  Freelance and for consulting companies
  07 / 2012 - heute
• 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

Aus- und Weiterbildung

Ausbildung

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

Weiterbildung

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

Netzwerk

Mitglied in Netzwerken

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

ORCID digital identifier

ORCID ID: 0000-0002-7711-049X

Auszeichnungen

• 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)

Medienpräsenz

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

Publikationen

Beiträge in wissenschaftlicher Zeitschrift, peer-reviewed

• Cirillo, P. (2026) 'An algebraic framework for extremal stability', Royal Society Open Science, 13(1), p. 252164. doi: 10.1098/rsos.252164.
• Taleb, N. N. and Cirillo, P. (2025) 'The regress of uncertainty and the forecasting paradox', Risks, 13(12), p. 247. doi: 10.3390/risks13120247.
• Cirillo, P. and Fontanari, A. (2025) 'From inequality to extremes and back : a Lorenz representation of the Pickands dependence function', Mathematics, 13(13), p. 2047. doi: 10.3390/math13132047.
• Montana, J. R. et al. (2024) 'Quantum majorization in market crash prediction', Risks, 12(12), p. 204. doi: 10.3390/risks12120204.
• Souto Arias, L. A., Cirillo, P. and Oosterlee, C. 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). doi: 10.1016/j.cam.2024.116177.
• Carr, P. and Cirillo, P. (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), p. 231690. doi: 10.1098/rsos.231690.
• Souto Arias, L. A., Oosterlee, C. W. and Cirillo, P. (2023) 'AIDA : analytic isolation and distance-based anomaly detection algorithm', Pattern Recognition, 141(109607). doi: 10.1016/j.patcog.2023.109607.
• Petropoulos, F. et al. (2022) 'Forecasting : theory and practice', International Journal of Forecasting, 38(3), pp. 705–871. doi: 10.1016/j.ijforecast.2021.11.001.
• Taleb, N. N., Bar-Yam, Y. and Cirillo, P. (2022) 'On single point forecasts for fat-tailed variables', International Journal of Forecasting, 38(2), pp. 413–422. doi: 10.1016/j.ijforecast.2020.08.008.
• Souto Arias, L. A. and Cirillo, P. (2021) 'Joint and survivor annuity valuation with a bivariate reinforced urn process', Insurance: Mathematics and Economics, 99, pp. 174–189. doi: 10.1016/j.insmatheco.2021.04.004.
• Cheng, D. and Cirillo, P. (2019) 'An urn-based nonparametric modeling of the dependence between PD and LGD with an application to mortgages', Risks, 7(3), p. 76. doi: 10.3390/risks7030076.

Weitere Publikationen

• Montana, J. et al. (2022) A quantum majorization alarm system for market crashes. SSRN. doi: 10.2139/ssrn.3976131.
• Carr, P. and Cirillo, P. (2022) Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property. SSRN. doi: 10.2139/ssrn.4081193.
• Souto Arias, L. A., Cirillo, P. and Oosterlee, C. W. (2022) A new self-exciting jump-diffusion process for option pricing. SSRN. doi: 10.2139/ssrn.4118631.
• Cirillo, P. et al. (2021) Schweizerischer Krebsbericht 2021 : Stand und Entwicklungen. Neuchâtel: Bundesamt für Statistik BFS. doi: 10.21256/zhaw-23385.
• Fontanari, A. and Cirillo, P. (2021) A note on the view of the Pickands dependence function as a Lorenz curve. SSRN. doi: 10.2139/ssrn.3938769.

Mündliche Konferenzbeiträge und Abstracts

• Cirillo, P. (2024) 'Dealing with apparently infinite mean phenomena', in Peter Carr Seminar Series, University of Bologna, Italy, 19 April 2024.
• Cirillo, P. (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.

Publikationen vor Tätigkeit an der ZHAW

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

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