Prof. Dr. Pasquale Cirillo

ZHAW School of Management and Law
Institute of Information Systems
Theaterstrasse 17
8400 Winterthur

+41 (0) 58 934 44 36
pasquale.cirillo@zhaw.ch

Work at ZHAW

Position

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

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

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

Media presence

Publications

Articles in scientific journal, peer-reviewed

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

Other publications

Carr, P., & Cirillo, P. (2022). Bijections between [0,∞) and the support of a continuous probability law allow a generalized memoryless property. SSRN. https://doi.org/10.2139/ssrn.4081193
Montana, J., Souto Arias, L. A., Cirillo, P., & Oosterlee, C. W. (2022). A quantum majorization alarm system for market crashes. SSRN. https://doi.org/10.2139/ssrn.3976131
Souto Arias, L. A., Cirillo, P., & Oosterlee, C. W. (2022). A new self-exciting jump-diffusion process for option pricing. SSRN. https://doi.org/10.2139/ssrn.4118631
Fontanari, A., & Cirillo, P. (2021). A note on the view of the Pickands dependence function as a Lorenz curve. SSRN. https://doi.org/10.2139/ssrn.3938769
Cirillo, P., Feller, A., Hošek, M., Kuehni, C., Lorez, M., Michalopoulou, E., Pfeiffer, V., Redmond, S., Roy, E., Rüegger, T., Spycher, B., Wagner, U., & Weitkunat, R. (2021). Schweizerischer Krebsbericht 2021 : Stand und Entwicklungen. Bundesamt für Statistik (BFS). https://doi.org/10.21256/zhaw-23385

Oral conference contributions and abstracts

Cirillo, P. (2024, April 19). Dealing with apparently infinite mean phenomena. Peter Carr Seminar Series, University of Bologna, Italy, 19 April 2024.
Cirillo, P. (2024, April 5). Probability pas de deux (in finance) : connecting two probability measures via non-Newtonian calculus. 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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