Pasquale Cirillo

Available identifiers

zbMath Open cirillo.pasqualeWikidataQ102363168 ScholiaQ102363168MaRDI QIDQ355981

List of research outcomes

Publication	Date of Publication	Type
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	2024-08-26	Paper
Portfolio risk and the quantum majorization of correlation matrices	2023-01-09	Paper
Gini estimation under infinite variance	2022-06-28	Paper
Joint and survivor annuity valuation with a bivariate reinforced urn process	2021-07-06	Paper
Lorenz-generated bivariate Archimedean copulas	2021-01-14	Paper
Shock Models for Defaults: Parametric and Nonparametric Approaches	2019-06-03	Paper
On the statistical properties and tail risk of violent conflicts	2018-11-13	Paper
Expected shortfall estimation for apparently infinite-mean models of operational risk	2018-11-13	Paper
Are your data really Pareto distributed?	2018-09-11	Paper
From concentration profiles to concentration maps. New tools for the study of loss distributions	2018-02-15	Paper
Alarm systems and catastrophes from a diverse point of view	2015-01-28	Paper
Duality and stationary distributions of wealth distribution models	2014-04-10	Paper
Macroeconomics from the bottom-up	2013-07-25	Paper
An urn-based Bayesian block bootstrap	2013-02-25	Paper
AN URN MODEL FOR CASCADING FAILURES ON A LATTICE	2013-01-15	Paper
GENERALIZED EXTREME SHOCK MODELS WITH A POSSIBLY INCREASING THRESHOLD	2011-11-22	Paper
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling	2011-01-20	Paper
Extreme shock models: an alternative perspective	2011-01-14	Paper
An urn approach to generalized extreme shock models	2009-04-15	Paper
Validating and calibrating agent-based models: a case study	2007-11-21	Paper

Research outcomes over time

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