DEGREES: Degree 1974 Milan, Mathematics Ordinary member of Physical and Economic Science Class, Ateneo di Scienze, Lettere e Arti di Bergamo, 2004.

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1 Marida Bertocchi Dept. of Management, Economics and Quantitative Methods University of Bergamo, Via dei Caniana 2, Bergamo, ITALY phone: (direct) fax: Curriculum vitae et studiorum DEGREES: Degree 1974 Milan, Mathematics Ordinary member of Physical and Economic Science Class, Ateneo di Scienze, Lettere e Arti di Bergamo, WORK/TEACHING EXPERIENCE: Director of the Department of Mathematics, Statistics, Computer Science and Applications Lorenzo Mascheroni Coordinator of the Finance and Markets Degree (biennal) Coordinator of the Information Technology for Finance and Business Degree (triennial) Coordinator of the Pricing and Management of Financial Risk Master Degree Reviewer and evaluator for EEC Scientific coordinator of the InterFaculties Center on E-learning, University of Bergamo Scientific coordinator of the PhD Program in Computational Methods for Economic and Financial decisions and forecasting, University of Bergamo Director of the PhD School in Economics, Applied Mathematics and Operations Research, University of Bergamo 2013-today Scientific coordinator of the PhD Program in Analytics for Economics and Business, University of Bergamo Dean of the Faculty of Economics and Business Administration Vice Rector of the University of Bergamo University of Bergamo, Full Professor 1991 University of Urbino, Full Professor University of Milan, Associate Professor University of Bergamo, Associate Professor University of Bergamo, Assistant Professor University of Bergamo, Assistant TEACHING: a) Courses taught in Faculty of Economics and Business Administration University of

2 Bergamo and Urbino): Basic and advanced calculus, Mathematical Finance, Advanced Mathematical Finance, Portfolio Theory b) Outside teaching activities: Optimization and parallel processing,university of Milan, Faculty of Computer Science MEMBERSHIP IN PROFESSIONAL AND SCHOLARLY SOCIETIES: 1. COSP(Community of Stochastic Programming) 2. EWGSP (Euro Working Group on Stochastic programming) 3. EFA (European Financial Association) 4. AMASES (Italian Mathematical Society for Social and Economical Sciences) 5. UMI (Italian Mathematical Society) 6. SIMAI (Italian Society for Mathemathics Applied to Industry) 7. AIRO (Italian Operational Research Society) 8. MOS (Mathematical Optimization Society) 9. AIFIRM (Italian Society for Financial Risk Management) MAIN GRANTS : 2013 (biennale): Programmazione stocastica multistadio: analisi di bond per i valori ottimi della funzione obiettivo nel caso lineare e non e problemi di time consistency in misure di rischio multistadio, Fondi di Ateneo (triennale): Modelli stocastici per problemi di capacity planning di lungo periodo nel settore elettrico, Fondi di Ateneo (biennale): Misure di bontà della soluzione stocastica e applicazioni al settore dell energia, delle telecomunicazioni e della finanza, Fondi di Ateneo (biennal): Metodi di integrazione delle fonti energetiche rinnovabili e monitoraggio satellitare dell'impatto ambientale, Regione Lombardia, EN-17, ID (biennal): Applicazioni di ottimizzazione stocastica al settore dell energia, delle telecomunicazioni e della finanza, Fondi di Ateneo (biennal), "Innovazione finanziaria e cambiamenti demografici: nuovi prodotti e strumenti di valutazione a fronte dell elemento stocastico invecchiamento", PRIN (biennal): Modelli per il mercato elettrico, VIII Programma Esecutivo di collaborazione scientifica Comunità Francese del Belgio-Italia INTAS Summer School: Non linear analysis with applications in Economics, Energy and Transportation, sponsored by EEC on INTAS program, INTAS (biennal): Programmazione stocastica in problemi di programmazione semidefinita positiva, Fondi di Ateneo (biennal): Modelli stocastici di ottimizzazione in problemi di vendita del gas, Fondi di Ateneo (biennal): Metodi di ottimizzazione nel mercato dell energia, MIUR 60%. 2005/6 (annual): Analisi di portafoglio di rischi operativi, external contract (biennal): Ottimizzazione dei margini di una società di vendita di gas naturale, external contract 2004 (biennal): Un modello di simulazione del processo di formazione dei prezzi nel mercato dell energia, MIUR 60% High level scientific conferences on Mathematical optimisation methods for financial institutions, sponsored by EEC on program Improving Human Research Potential and Socio-Economic Knowledge Base, HPCF-CT

3 2003 (annual), "Modelli previsivi del rischio di insolvenza e analisi della rischiosità con metodologie quantitative, CU PF (biennal), Un modello di simulazione del processo di formazione dei prezzi nel mercato principale dell energia, MIUR 60% (annual), "Modelli previsivi del rischio di insolvenza e analisi della rischiosità con metodologie quantitative, CNR PF (biennal), "Metodi e tecniche per l ottimizzazione di portafoglio e per la valutazione di strumenti finanziari", MIUR 40% (biennal), Robustezza in problemi di ottimizzazione stocastica e applicazioni, MIUR 60% (biennal), Valutazione di derivati sul credito, MURST 60% (annual), "Modelli previsivi del rischio di insolvenza e analisi della rischiosità con metodologie quantitative, CNR PF (biennal), "Struttura per scadenza in ambito EURO e gestione di portafoglio con riferimento a un indice, MURST 60% (biennal), "Misure e metodologie per il controllo del rischio di attività finanziarie: dal rischio di mercato al rischio di credito", MURST 40% (biennal), "Modelli previsivi del rischio di insolvenza e analisi della rischiosità con metodologie quantitative, CNR PF (biennal), "Modelli per la gestione di portafogli di crediti", MURST 60% CNR (biennal), "Analisi e sviluppo di metodi matematico-computazionali per la gestione di problemi finanziari", Comitato 10 del C.N.R CNR (annuale), "Analisi e sviluppo di metodologie per applicazioni ai mercati finanziari: aspetti computazionali", Comitato 10 del C.N.R (annual), "Analisi di sensitività in problemi di gestione di portafogli di titoli", MURST 40% (biennal), "Modelli matematici applicati alle banche e alla finanza", MURST 60% (triennal), "High Parallel Computing for Financial Planning under Uncertainty, INCO-95, E.E.C CNR (biennal), "Analisi e sviluppo di metodologie per applicazioni ai mercati finanziari", Comitato 10 del N.R (biennal), "Modelli e metodi per la valutazione di strumenti finanziari derivati", MURST 40% CNR (triennal), "Modelli e algoritmi per applicazioni nei mercati finanziari", Comitato 01 del C.N.R (biennal), "Strumenti e metodi per la determinazione della struttura per scadenza del mercato Italiano", MURST 60% (triennal) "Real-time trading analytics for the new Italian markets", SIGE (annual) "Valutazione di strumenti finanziari complessi", MURST 40% CNR (biennal), "Nuove metodologie informatiche per applicazioni nei mercati finanziari", Comitato 11 del C.N.R (annual) "Gestione del rischio di investimenti finanziari", M.U.R.S.T. 40% 1992 (biennal) "Metodologie per la valutazione di attivita' finanziarie primarie e derivate", Comitato 10 del C.N.R (biennal) "Problemi di ottimo globale: algoritmi e sistemi di supporto", Comitato 11 del C.N.R (triennal) "Real-time trading analytics for the new Italian markets", Digital Corporation PAPERS PRESENTED AT INTERNATIONAL CONFERENCES:

4 Numerous papers presented TOTAL NUMBERS OF PUBLICATIONS: >80 MAIN PUBLICATIONS IN THE LAST 13 YEARS: F. Maggioni, F. Potra, M. Bertocchi (2013). Optimal kinematics of a looped filament. Journal of Optimization Theory and Applications, (ISSN: ), 159: , DOI /s M.T. Vespucci, M. Bertocchi, M. Innorta, S. Zigrino (2013) Deterministic and stochastic models for investment in different technologies for electricity production in the long period, 1-18, accepted in CEJOR, DOI: /s F. Maggioni, M.Bertocchi, E. Mosca, R. Reinbold and Ileana Zucchi (2013), Geometric and computational models of chromatin fibre folding for human embryonic stem cells, Procedia - Social and Behavioral Sciences, Elsevier, DOI: /j.sbspro Giacometti, M. Bertocchi, M.C.Recchioni, F.Zirilli (2013) "Pricing life insurance contracts as financial options: the endowment policy case, Far East Journal of Mathematical Sciences, Special Volume, Part I, Pages F. Maggioni, E. Allevi, M. Bertocchi (2013) Bounds in Multi-stage Linear Stochastic Programming, Journal of Optimization Theory and Applications, DOI /s , F. Maggioni, E. Allevi, M. Bertocchi, ( ). Measures of information in multistage linear stochastic programming. STOCHASTIC PROGRAMMING E-PRINT SERIES. R. Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2013) A stochastic model for hedging electricity portfolio for an hydro-energy producer, 57-78, to appear in Statistica e Applicazioni. M.T. Vespucci, M. Bertocchi, A. Tomasgard, M. Innorta (2013) Integration of wind power production in a conventional power production system: stochastic models and performance measures, to appear in Handbook of Wind Power Systems: Optimization, Modeling, Simulation and Economic Aspects (N. Boyko, P. Pardalos, S. Rebennack eds). M.T. Vespucci, M. Bertocchi, M. Innorta, S. Zigrino, L. Escudero (2013) A risk averse twostage stochastic mixed integer optimization model for power generation expansion planning in the long term, Stochastic optimization model for power generation expansion planning with risk management, accepted in European Energy Market (EEM13) 10 th International Conference Proceedings, May 2013, Stockholm, DOI: /EEM , 1-8. P. Pisciella, M.T. Vespucci e M. Bertocchi (2013) A bilevel programming approach to modelling of power transmission capacity planning, 79-94, to appear in Statistica e Applicazioni. M.T.Vespucci, F. Maggioni, M. Bertocchi, M. Innorta (2012) "A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants, Annals of Operations Research, vol. 193, p , ISSN: , DOI: /s F. Maggioni, M. Bertocchi, E. Allevi, F. Potra, S. Wallace (2012) Stochastic Second-Order Cone Programming in Mobile ad-hoc Networks: sensitivity to input parameters, Chapter 17 in Stochastic Programming: Applications in Finance, Energy, planning and Logistics (H.I. Gassmann. S.W. Wallace, W. T. Ziemba, World Scientific Publisher, p , ISBN Bertocchi M, Vespucci M T, Zigrino S, Escudero L F (2012). Risk averse two-stage stochastic optimization for the electric power generation capacity expansion problem. In:

5 Stochastic programming for implementation and advanced applications(stoprog-2012). p. 6-12, ISBN: , doi: /stoprog F. Maggioni, E. Allevi, M. Bertocchi (2012). Measures of information in multistage stochastic programming. In: Stochastic programming for implementation and advanced applications (STOPROG-2012). p , ISBN: , doi: /stoprog R.Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2011) Hedging electricity portfolio for an hydro-energy producer via stochastic programming in Stochastic optimization methods in finance and energy: New financial products and strategies energy market strategies (Bertocchi, Consigli, Dempster eds.), Springer, International Series in Operations Research & Management Science, Ch. 8, M. Bertocchi, G. Consigli, M.A.H. Dempster (2011) Stochastic optimization methods in finance and energy: New financial products and energy market strategies, Springer, International Series in Operations Research & Management Science - Frederick S. Hillier, Series Editor. Giacometti, M. Bertocchi, S.T.Rachev, F.Fabozzi (2011) " A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates, Insurance: Mathematics and Economics, 50, R. Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2010) "A multi-stage stochastic electricity portfolio model with forward contracts. MASS 2010 Conference Proceedings (CD Format). IEEE Catalog Number: CFP1041H-CDR ISBN: R. R. Giacometti, S. Ortobelli, M. Bertocchi (2011) "A Stochastic model for mortality rate on Italian data, Journal of Optimization Theory and Applications, 149, , DOI: /s F. Maggioni, S.W.Wallace, M.Bertocchi, E.Allevi (2010) Sensitivity Analysis in Stochastic Second Order Cone Programming for Mobile Ad Hoc Networks, Sixth International Conference on Sensitivity Analysis of Model Output, Procedia Social and behavioral Sciences, v.2(5), F. Maggioni, M.T. Vespucci, E. Allevi, M. Bertocchi, R. Giacometti, M. Innorta, (2010) "A stochastic optimization model for gas retail with temperature scenarios and oil prices parameters, The IMA Journal of Management Mathematics, Special Issue for the SPS2007 Workshop, 6, , doi: /imaman/dpp011. BERTOCCHI, MARIA, MORIGGIA, VITTORIO, ZIEMBA, WILLIAM T., (2010). Implementation and Numerical Results of Individual ALM Model for Lifetime Asset- Liability Management. In Bertocchi, Maria; Schwartz, Sandra L. ; Ziemba, William T. (Eds.), Optimizing the Aging, Retirement, and Pensions Dilemma (pp ). Hoboken: John Wiley & Sons, Inc.. Retrieved from BERTOCCHI, MARIA, MORIGGIA, VITTORIO, ZIEMBA, WILLIAM T., (2010). Implementation and Numerical Results of Individual ALM Model for Lifetime Asset- Liability Management. In Bertocchi, Maria; Schwartz, Sandra L. ; Ziemba, William T. (Eds.), Optimizing the Aging, Retirement, and Pensions Dilemma (pp ). Hoboken: John Wiley & Sons, Inc.. Retrieved from ABAFFY, JOZSEF, ALLEVI, ELISABETTA, BERTOCCHI, MARIA, MORIGGIA, VITTORIO, (2010). Programmazione stocastica e applicazioni. Milano: EGEA. Retrieved from BERTOCCHI, MARIA, MAGGIONI, FRANCESCA, (2010). Modelli di ottimizzazione stocastica per lo scheduling di mezzi di trasporto nel settore cementifero. In ABAFFY, J.; ALLEVI, E.; BERTOCCHI, M.; MORIGGIA, V. (Eds.), Programmazione stocastica e applicazioni (pp ). Milano: EGEA. Retrieved from

6 F. Maggioni, F. Potra, M. Bertocchi, E. Allevi (2009) "Stochastic second-order cone programming in mobile ad-hoc networks, Journal of Optimization Theory and Applications, 143(2) November, , DOI: /s M. Bertocchi, J. Dupacova, V. Moriggia (2009) " Testing the structure of multistage stochastic programs, Comp.Manag.Sc., 6, , DOI /s r.M. Bertocchi, G. Pflug, H. Vladimirou, Stochastic Dynamic Modeling of Investments and Risks in Financial Markets, Special Volume of the Annals of Operations Research, 165, F. Maggioni, F. Potra, M. Bertocchi, E. Allevi (2009) "Stochastic second-order cone programming in mobile ad-hoc networks, Journal of Optimization Theory and Applications, 143(2) November, R.Giacometti, S. Rachev, A. Chernobai, M. Bertocchi (2008) "Aggregation issues in operational losses", The Journal of Operational Risk, 3(3) Fall, F. Maggioni, E. Allevi, M. Bertocchi, M.T. Vespucci, M. Innorta, S. Gambarini (2008) "Un modello stocastico per la vendita al dettaglio di gas in Scienza delle decisioni in Italia: applicazioni della ricerca operativa a problemi aziendali (G. Felici e A. Schiomachen eds.), F. Maggioni, M.T. Vespucci, E. Allevi, M. Bertocchi, M. Innorta, (2008) "A two-stage stochastic optimization model for a gas sale retailer, Kybernetika, 2, R.Giacometti, M. Bertocchi, S. Rachev, F. Fabozzi (2008) "Stable distributions in the Black- Litterman approach to asset allocation", in Quantitative Fund Management (M. Dempster, G. Pflug and G. Mitra eds.), Chapman and Hall/CRC series in financial mathematics, Ch. 17, E. Allevi, M. Bertocchi, M.T. Vespucci, M. Innorta, (2007) "A stochastic optimization model for a gas sale company, The IMA Journal of Management Mathematics, Special Issue Model & Tools for Stochastic Programming, 1-14, DOI: /imaman/dpm004. E. Allevi, M. Bertocchi, M.T. Vespucci, M. Innorta, (2007) "A mixed integer nonlinear optimization model for gas sale company, Optimization Letters, 1, 61-69, DOI: /s M. Bertocchi, J. Dupacova, V Moriggia (2006) Horizon and stages in applications of stochastic programming in finance, Annals of Operations Research, 142, M.Bertocchi, R. Giacometti, S. Ortobelli, S. Rachev (2005), The impact of different distributional hypothesis on returns in asset allocation, Finance Letters, v 1(3), M. Bertocchi, R. Giacometti, S. A. Zenios (2005) Risk factor analysis and portfolio immunization in the corporate bond market, European Journal of Operational Research, 161, J. Abaffy, M. Bertocchi, A.Gnudi (2005) Extensions of the Ho and Lee interest rate model to the multinomial case, European Journal of Operational Research, 163, J. Abaffy, M. Bertocchi, J. Dupacova, R. Giacometti, M. Huskova, V Moriggia (2003) "A non parametric model for analysis of the Euro bond market, Journal of Economic Dynamics & Control, 27, M. Bertocchi, J. Dupacova (2001) From data to model and back to data: a bond portfolio management problem, European Journal of Operational Research, 134, M. Bertocchi, R. Giacometti, L. Slominski (2000) Bond Portfolio management with Repo Contracts:the Italian Case, Annals of Operations Research 97, Dupacova, M. Bertocchi, V Moriggia (2000) "Sensitivity of bond portfolio with respect to random movements in yield curve: a simulation study, Annals of Operations Research 99,

7 J. Abaffy, M. Bertocchi, J. Dupacova, V Moriggia (2000)"On generating scenarios for bond portfolios", Bullettin of Czech Econometric Society, 11, M. Bertocchi, J. Dupacova, V Moriggia (2000) Sensitivity analysis of a bond portfolio model for the Italian market, in Control and Cybernetics, v. 29, n.2, RESEARCH INTERESTS: Numerical applications in energy and finance Stochastic optimization Linear algebra Parallel processing and its applications RESEARCH IN PROGRESS: Stochastic optimization in energy, finance and mobile networks Modelling mortality risk Risk-management in renewable energy systems