PhD in Mathematics and Statistics for Computational Sciences, Università degli Studi di Milano, Excellent (highest honor).

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1 Marco Maggis Curriculum Vitae Personal Information Born Vimercate 2 January 1983 Address Via Belvedere 2, Bernareggio (MB), Italy Married with Laura in 2008, five children (Caterina, Chiara, Giuseppe, Giacomo, Agnese) Education Diploma Liceo Scientifico, Istituto Sacro Cuore Milano, 100/ A-level: Mathematics (grade B), Italian (grade A) and AS-level: English Literature (grade B), Chemistry (grade B), St.Dominic s Sixth Form College, London Fifth year Diploma in Piano, Conservatorio di Brescia, Privatista, 7/ Bachelor in Mathematics, Università degli Studi di Milano, 109/ Master in Mathematics, Università degli Studi di Milano, 110/110 cum laude. Curriculum: Probability Theory, Stochastic Processes and Financial Applications PhD in Mathematics and Statistics for Computational Sciences, Università degli Studi di Milano, Excellent (highest honor). Academic Positions Post Doc, Department of Economics, Management e Quantitative Methods, University of Milan Assistant Professor (Ricercatore Tempo Determinato A), Department of Mathematics, SECS-S/06, UniMi. From 1/03/2016 Assistant Professor, tenure track (Ricercatore Tempo Determinato B), Department of Mathematics, SECS-S/06, UniMi. Other employments Sept June 2008 Febr June 2011 High school professor, Liceo Classico Sacro Cuore, Milan, Subjects: Mathematics and Physics, Classes: II-III Liceo. High school professor, Liceo Classico Sacro Cuore, Milan, Subjects: Mathematics and Physics, Classes: IV-V Ginnasio and I-II-III Liceo. 1/11

2 Research interests Mathematics:, Measure Theory, Probability Theory, Stochastic Calculus, Functional/Convex Analysis, Topological L 0 -modules. Mathematical Finance:, Static and Dynamic Risk Measures, Utility Theory in dynamic frameworks, No Arbitrage Theory under Model Uncertainty. Publications 2018 M. Maggis, T. Meyer-Brandis and G. Svindland, The Fatou Closedness under Model Uncertainty, Positivity, forthcoming M. Frittelli and M. Maggis, Disentangling Price Risk and Model Risk: P & R Measures, Math. Fin. Econ., Vol. 12(2), M. Burzoni, M.Frittelli and M. Maggis, Model-free superhedging duality,ann. Appl. Prob., Vol. 27, M. Burzoni, M.Frittelli and M. Maggis, Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty, Finance & Stoch., Vol. 20(1), M. Frittelli and M. Maggis, Conditional evenly convex sets and evenly convex maps, J. Math. An. Appl., Vol. 413(1), M. Frittelli and M. Maggis, Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type, Statistics and Risk Modelling, Vol. 31(1), M. Frittelli, M. Maggis and I. Peri, Risk measures on P(R) and Value At Risk with Probability/Loss function, Mathematical Finance, Vol. 24(2), M. Maggis, The dynamics of Risk beyond convexity, Bollettino U.M.I., Serie IX, Vol. 6(2), D. La Torre and M. Maggis, A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification, INFOR, Vol. 50(3), M. Frittelli and M. Maggis, Conditional Certainty Equivalent, Int. J. Theor. Appl. Fin., Vol. 14(1) pp M. Frittelli and M. Maggis, Dual representation of quasiconvex conditional maps, SIAM J. Fin. Math., Vol 2 pp Preprints 2018 M. Maggis, Stochastic Dynamic Utilities and Inter-Temporal Preferences 2017 M. Burzoni, M. Frittelli, Z. Hou, M. Maggis, J. Obloj, Pointwise Arbitrage Pricing Theory in discrete time 2/11

3 PhD Thesis Subject Reference Dual representation of quasiconvex conditional maps, Conditional Risk Measures, Stochastic Dynamic Utilities and L 0 -modules topological structures. Professor Marco Frittelli M. Maggis, On quasiconvex conditional maps. Duality results and applications to Finance, Ledizioni, Math. Sciences Series, Vol. 4 Masters Thesis Rappresentazione di Misure di Rischio convesse su reticoli di Banach Professor Marco Frittelli Presentations Marseille L Aquila Munich Torino Paris Zurich Zurich London Milan Chicago Munich. Paris Invited speaker Looking Forward a Forward Looking approach to the theory of rational choice, CIRM Advances in Stochastic Analysis for Risk Modeling, November Arbitrage and Probability, I Gran Sasso Workshop in Mathematical Finance, September The Fatou closedness under Model Uncertainty, Mini Worskhop on Model Uncertainty, June Pointwise Arbitrage Pricing Theory in discrete time, First Italian Meeting on Probability and Mathematical Statistics, June Disentangling Price Risk and Model Risk, Model Validation Luis Bachelier, June The Fatou closedness under Model Uncertainty, Young Researchers in Robust Mathematical Finance, April Pointwise Arbitrage Pricing Theory in discrete time, Workshop on Pricing-Hedging Duality (in financial markets), March Arbitrage Theory without a Reference Probability: challenges of the model independent approach November Arbitrage Theory without a Reference Probability: challenges of the model independent approach July Robust Arbitrage under Model Uncertainty in discrete time (Mini-Symposium), SIAM Conference on Financial Mathematics, November Robust Arbitrage under Model Uncertainty in discrete time June Robust Arbitrage under Model Uncertainty in discrete time, Labex Louis Bachelier- SIAM-SIMAI Conference on Financial Mathematics, June /11

4 Bologna Milan San Francisco Milano Naples Berlin Sydney Pescara Paris Toronto Oxford Dualitá completa per misure di rischio dinamiche quasiconvesse su moduli di variabili aleatorie, (Conferenziere di Sessione), Congresso dell Unione Matematica Italiana, September A module approach to conditional risk, Workshop on Mathematical Finance, Milan, April Conditional Certainty Equivalent (Mini-Symposium), SIAM Conference in Financial Mathematics and Engineering, November Contributed speaker The Fatou closedness under Model Uncertainty, XVIII Workshop on Quantitative Finance, January Arbitrage Theory without a Reference Probability: challenges of the model independent approach. The abstract was selected for the special session dedicated to B. De Finetti at the RSA of the Società Italiana degli Economisti, October Risk measures on P(R) and Value At Risk with Probability/Loss function, Young researchers Workshop, September Complete duality for quasiconvex dynamic risk measures on modules of the L p -type, 7 th World Congress of the Bachelier Finance Society, June Risk measures on P(R) and Value At Risk with Probability/Loss function, PRIN 2008 Probability and Finance Congress, September On Quasiconvex Conditional Maps, Modelling and Managing Financial Risks, January Conditional Certainty Equivalent, 6 th World Congress of the Bachelier Finance Society, June 2010 Poster On Quasiconvex Conditional Maps, Workshop on Robust Techniques in Quantitative Finance, March /11

5 Visiting foreign institutions Oxford Oxford LMU LMU UCSB ETH June 2016, invited by prof. Jan Obloj January 2016, invited by prof. Jan Obloj From November 2015 to December 2015, invited by prof. Christof Rapp at the Center for Advanced Studies, Munich From October 2014 to February 2015, invited by prof. Francesca Biagini at the Department of Mathematics, Munich From 5/03/2014 to 12/03/2014, invited by prof. J.P. Fouque at the Department of Statistics and Applied Probability, Santa Barbara From 29/01/2013 to 01/02/2013, invited by prof. W. Farkas at ETH, Zurich January 2018 December 2017 January 2017 March 2016 January 2016 March 2015 May 2014 May 2013 July 2011 June 2011 Nov 2007 Funding and grants Finanziamento attivitá ricerca di base, MIUR. Grant: 3000 Euro FONDI RETTORALI GIOVANI RICERCATORI. Project: Managing and Assessing Model Risk. Grant: 2500 Euro. FONDI RETTORALI GIOVANI RICERCATORI. Project: Duality methods for financial markets under model ambiguity. Grant: 2500 Euro. FONDI RETTORALI GIOVANI RICERCATORI. Project: Un approccio assiomatico alla teoria delle preferenze intertemporali. Grant: 2200 Euro. First classified for the position of Ricercatore Tempo Determinato (tipo B) at Politecnico di Milano Bando GNAMPA professore visitatore 2014: Invitation of prof. Emeritus Freddy Delbaen. Total amount: 700 Euro. FONDI RETTORALI GIOVANI RICERCATORI. Project: The impact of Model Uncertainty on financial market models. Grant: 3000 Euro. Principal Investigator, GNAMPA project: Funzionali Value&Risk nell analisi di incertezza di modello. Grant: 2000 Euro. Winner of a 2+2 years Post Doc grant, UniMi, Department of Economics, Management and Quantitative Methods Winner of a one year Post Doc grant funded by SISAL 2009 Member of the project PUR 2009 Analisi matematica e stocastica di modelli applicativi, coordinator prof. E. Rocca Member of the project PRIN 2008 Probability and Finance, coordinator prof. M. Frittelli 3 years PhD Grant, MASSC, University of Milan 5/11

6 Italian Referee Activity - Finance & Stochastics (5) - Mathematical Finance (3) - Annals of Applied Probability (5) - SIAM Journ. Fin. Math. (3) - Math. Operations Research (2) - Europ. Journ. Op. Research (6) - Math. Financial Economics (2) - Nonlinear Anal. Real World Appl. (1) - Journal of Risk (1) - Science China Mathematics (1) - Journal Mathematical Economics (1) - Decision in Economics and Finance (1) Organization of Conferences/Seminars Invited Session, Organizer of a session on Stochastic control and optimization in Finance, 14th Viennese Conference on Optimal Control and Dynamic Games, Vienna (July 2018). Workshop on Model Uncertainty and Robust Finance, Member of the organizing and scientific committee, Milano March Workshop on Model Uncertainty and Robust Finance, Member of the organizing and scientific committee, Milano November De Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance, Member of the scientific committee 2011/2012, 12/13, 13/14, 14/15, 16/17,17/18. De Finetti Workshop, Organizer of a one day Workshop held in Milano in January Minisymposia, Organizer of two minisymposia on Dynamic Risk and Performance Measures and related fields, SIAM Conference on Financial Mathematics and Engineering, Chicago (November 2014). Other Academic duties Collegio Docenti Dottorato, Member since 2014, PhD programme in Mathematics, University of Milan. Centro per l orientamento allo studio e alle professioni(cosp), Faculty member since Languages Mothertongue English Certificate in Advanced English Conversationally fluent 6/11

7 Courses from 2016 Master Level Lecturer, UniMi, Milan Finanza Matematica 2. Master in Mathematics Continuous time stochastic financial models Dynamic optimization 2014 Temporary Lecturer, LMU, Munich Stochastic Analysis: Advanced Topics. Master in Mathematics. Stochastic Control BSDEs and Dynamic Risk Measures 2014 Lecturer, UniMi, Milan Argomenti Avanzati di Finanza Matematica. Master in Mathematics. Stochastic Control 2014 Lecturer, UniMi, Milan Finanza Matematica 1. Master in Mathematics Discrete and continuous time stochastic financial models No Arbitrage Theory 2013 to 2017 Temporary Lecturer, UniTo and Collegio Carlo Alberto, Turin Probabilistic Methods for Finance. Master of Finance and Insurance. Measure theory, abstract integration, conditioning Discrete and continuous time stochastic processes Stochastic integration 2009 to 2012 Teaching Assistant (prof. M. Frittelli), UniTo and Collegio Carlo Alberto, Turin Probabilistic Methods for Finance. Master of Finance and Insurance. Measure theory, abstract integration, conditioning Discrete and continuous time stochastic processes Stochastic integration 7/11

8 2011,2012 Teaching Assistant (prof. D. La Torre), UniMi, Milan Mathematics. Master in Political Sciences. Static and dynamic optimization from 2017 Bachelor level Lecturer, UniMi, Milan Istituzioni di Matematicche e Statistica. 1 st year, Natural Sciences. General descriptive and inferential Statistics 2012 to 2015 Lecturer, UniMi, Milan Laboratorio di Matematica e Statistica. 1 st year, Biology. General descriptive and inferential Statistics 2010, 2011 Teaching Assistant (prof. C. Tommasi), UniMi, Milan Statistica. 1 st year Political Sciences. General descriptive and inferential Statistics 2010 Temporary Lecturer and Teaching Assistant (prof. M. Marinacci), Bocconi University, Milan Matematica Generale. 1 st year Economics. Linear Algebra Calculus 8/11

9 Masters Thesis Supervision Student Cristina Pozzi (July 2013). Final score: 110/110. A mathematical model-free approach to forecast market risks. (Co-advisor: prof. Giacomo Aletti) Student Andrea Ferravante (October 2013). Final score: 106/110. Option pricing in incomplete markets: an L 0 module approach. Student Erica Salvi (December 2013). Final score: 110/110 cum laude. Systemic Risk and the contagion effects of banking crises. Student Jie Hu (December 2013). Final score: 86/110. Fundamental theorems of asset pricing under ambiguity. Student Giuditta Formenti (February 2014). Final score: 110/110. Model uncertainty and the superreplication price in discrete time models. Student Fabio Scannavini (April 2014). Final score: 110/110. Super quantile regression: teoria ed applicazioni. Internal (External supervisor: prof. Fabio Bellini, UniMiB) Student Giacomo Landoni(July 2014). Final score: 108/110. Robust portfolio optimization in markets subject to discontinuous returs. Internal (External supervisor: prof. Giorgio Consigli, UniBergamo) Student Andrea Ricciardi (July 2014). Final score: 110/110 cum laude. Optimal investment-consumption over random time horizon. Co-advisor (: doct. Salvatore Federico) Student Francesco Re (September 2014). Final score: 110/110 cum laude. Systemic Risk and Stochastic Control. 9/11

10 Student Alessandro Zanatta (October 2014). Final score: 110/110. Optimal weighted distributions and applications to financial time series. Student Andrea Angiuli (February 2015). Final score: 108/110. Student An adaptive version of the Robbins-Monro algorithm for the approximation of Backward Stochastic Differential Equations with Least Squares Regression. Internal (External supervisor: doct. Plamen Turkedjiev, Ecole Polytechnique, Paris) Davide Sciarra (September 2015). Final score: 110/100 cum laude. Risk measures generated by g-expectations: a Functional Ito Calculus approach. Student Arianna Zanotti (October 2015). Final score: 109/110. Student Student Bounding Systemic Risk under dependence uncertainty. Federica Morandi (October 2015). Final score: 110/100 cum laude. Optimal investment in defaultable securities. Internal (External supervisor: prof. Frank Seifreid, University of Trier) Federica Tonolini (February 2016). Final score: 110/100 cum laude. Interest rate modelling after the financal crisis. Co- (: prof. G. Aletti, UniMi) Student Maristella Addante (December 2016). Final score: 110/110. A general framework for market models under transaction costs. Student Mauro Crippa (April 2017). On Supervision of Mortality models: an application to life insurance (internship at Reinsurance Group of America) Student Alice Rinaldi (April 2017). On Time Consistent Dynamic Risk Measures 10/11

11 Student Alice Del Vecchio (July 2017). Forward Inter-Temporal Preferences Student Laura Zanotelli (September 2017). Robustezza di Misure di Rischio invarianti in legge Student Chiara Reali (February 2018). An analysis of viability and arbitrage under Knightian Uncertainty Student Giacomo Brandolini (April 2018). Arbitrage and Acceptability: an extension beyond the classical case Internal (external supervisor: prof. C.A. Munari, Zurich) Student Stefano Checchi (April 2018). Signaling Games Internal (external supervisor: prof. A. Pinto, Porto) Student Vittoria Colombo (April 2018). On the detection of market abuse phenomena (internship EVERIS) DATE SIGNATURE 11/11