Brooklyn Quant Experience Lecture Series: Pasquale Cirillo

The Department of Finance and Risk Engineering welcomes Pasquale Cirillo, Professor of Risk Management at the University of Nicosia, Cyprus, and NYU FRE Boot Camp Instructor.

Title

From P to Q and Beyond, a Tale of Inequality

Abstract

We use tools from inequality studies, like the Lorenz curve and the Gini index, to study the relation between the market measure P and the risk-neutral measure Q, but we also deal with the share measure and the T-forward measure. This alternative approach to the change of measure operation is extremely useful to understand some profound and non-trivial connections among measures, and—in some cases— it can also simplify pricing problems. No preliminary knowledge of inequality measures will be assumed.

Bio

Pasquale Cirillo is a Professor of Risk Management at the University of Nicosia, Cyprus, where he is also a member of the Institute For the Future. He previously held positions at the Delft University of Technology (NL) and the University of Bern (CH). He has been a visiting scholar of NYU FRE, and one of the instructors of the FRE Summer boot camp. His research interests include quantitative risk management, extreme value theory, and urn models. He has published in top international journals and is currently writing a book on fat tails. Besides his academic career, Pasquale has also collaborated with international institutions and many top private companies and banks as a statistical consultant. His MOOCs in risk management have been attended by more than a hundred thousand students from all over the world. He is a proud amateur cook.