Teaching and Research Curriculum Vitae of Prof. Vittorio Moriggia

Transcription

1 Teaching and Research Curriculum Vitae of Prof. Vittorio Moriggia HIGHER EDUCATION AND GRADUATE STUDIES Degree (laurea) received July 1993, in Business and Economics, University of Bergamo (Italy), dissertation An automatic system for the analytical representation of a production process , Ph.D. scholarship in Computational methods for financial and economic forecasting and decisions, at the University of Bergamo, dissertation Dynamic portfolio Management and sensitivity analysis Exchange Doctoral Student; Olin Business School, Washington University St. Louis, MO. ACADEMIC HISTORY AND TEACHING EXPERIENCE Associate professor in Financial Mathematics: since 2002, University of Bergamo. Assistant professor in Financial Mathematics: , University of Bergamo. FIELDS OF RESEARCH Property and Casualty Management Personal Asset Liability Management Dynamic stochastic programming in portfolio management, sensitivity analysis, contamination technique and scenario reduction Scenario generation for stochastic programming in Finance Option Implied trees Logical Analysis of Data (LAD) in credit risk RESEARCH ACTIVITY ABROAD 2010 (July - August) Visitor Scholar at Thunderbird School of Global Management, Glendale, AZ (USA) (July - August) Visitor Scholar at the Department of Finance, W.P. Carey School of Business, Arizona State University (ASU), Tempe, AZ (USA) (July - August) Visitor Scholar at Rutgers Center for Operations Research (RUTCOR), Rutgers State University of New Jersey, New Brunswick, NJ (USA). OTHER ACCADEMIC ACTIVITIES , member of Academic Senate as associate professors representative , Head of learning and teaching for young unemployed, funded by Lombardy Region and European Union. Assistant Professors representative on the Faculty Council. Research coordinator for the following projects: , "Stochastic Programming in Property and Casualty", granted by Fondi di Ateneo MIUR ex-60% , "Stochastic Programming For Individual Alm", granted by Fondi di Ateneo MIUR ex-60% , "Kelly Optimization Model in Finance", granted by Fondi di Ateneo MIUR ex-60% , "Strumenti di supporto ai rischi finanziari", granted by Fondi di Ateneo MIUR ex-60% , "Misurazione e controllo del rischio di credito per portafogli di titoli esposti a rischio di default", PRIN 2005 (MIUR ex-40%) , Metodi quantitativi per la valutazione di titoli a reddito fisso soggetti al rischio di mercato e al rischio di credito, PRINT2004 (MIUR ex-40%), National coordinator G. Szego , "Strumenti quantitativi nel rischio d'insolvenza", granted by Fondi di Ateneo MIUR ex-60%.

2 , "Rating di ricuperabilità dei finanziamenti retails", granted by Fondi di Ateneo MIUR ex-60% , "Strumenti di supporto alle decisioni finanziarie", granted by Fondi di Ateneo MIUR ex-60% , "L analisi logica dei dati nel rischio di credito", granted by Fondi di Ateneo MIUR ex-60%. 2004, Realizzazione di un software per l'applicazione dell'analisi Logica dei Dati, grant bylince SpA , "Costruzione di alberi di evoluzione di titoli attraverso il mercato delle opzioni in assenza di putcall parity", granted by Fondi di Ateneo MIUR ex-60% , "Impiego dell'analisi logica dei dati nel rischio d'insolvenza", granted by Fondi di Ateneo MIUR ex-60%. Research participant of following projects: , Gestione dinamica di portafogli finanziari ed efficienza computazionale: un analisi comparativa, PRIN2007 (MIUR ex-40%), National coordinator G. Consigli. 2003, High level scientific conferences on Mathematical optimization methods for financial institutions, sponsored by EEC on program Improving Human Research Potential and Socio-Economic Knowledge Base, HPCF-CT , local coordinator M. Bertocchi, International coordinator S.A. Zenios , Reti neurali per la valutazione del rischio di credito e la gestione del portafoglio crediti, Programma Metodi e Sistemi di supporto alle decisioni Legge 95/95, National coordinator M. Bertocchi , Metodi e tematiche per l ottimizzazione di portafoglio e per la valutazione di strumenti finanziari, MIUR 40%, National coordinator M. Bertocchi. 1998, "Analisi e sviluppo di metodi matematico-computazionali per la gestione di problemi finanziari", granted by CNR n ct , "Analisi e sviluppo di metodologie per applicazioni ai mercati finanziari: aspetti computazionali", granted by CNR n ct , "Modelli matematici applicati alle banche e alla finanza", granted by MURST 60% , "Analisi di sensitività in problemi di gestione di portafogli di titoli", granted by MURST 40%. 1996, "Analisi e sviluppo di metodologie per applicazioni ai mercati finanziari", granted by CNR n ct , "High Parallel Computing to finance", International coordinator prof. Stavros Zenios, University of Cyprus, granted by Economic European Community (EEC) Directorate General III n INCO ' , "Nuove metodologie informatiche per applicazioni ai mercati finanziari", granted by CNR n ct , "Gli effetti economici del cambiamento tecnico", granted by CNR n ct10, scientific coordinator prof. M. Morroni. Conference and school organizing committee: 8-12 luglio 2013, "International Conference on Stochastic Programmino, SP XIII", member of organizing committee July 2013, "International Conference on Stochastic Programming 2013, SP XIII", member of organizing committee. November 2009, "Stochastic Programming School: Theory and Applications", member of organizing committee. 26 May 2008, Final Workshop of project PRIN 2005 n , "Il capitale della banca nella gestione del rischio e nelle strategie di investimento", National scientific coordinator Prof. Costanza Torricelli, local scientific coordinator and organizer Prof. V. Moriggia April 2007, "Spring School on Stochastic Programming: Theory and Applications", member of organizing committee. REFEREEING IMA Journal (guest ed.) Journal of Economic Dynamics & Control 2

3 Management Engineering and Informatics. 3

4 COURSES TAUGHT 2012/2013 MATLAB for Finance The application to real data of financial topics studied in other courses under MATLAB environment. Second level degree course (2 years) on Management, Finance and International Business. Introduction to MATLAB Matrices, expressions, functions Graphics Help on-line, system windows Matrix manipulation, linear algebra Other data structures.m files and programming language Structure of control Script and function Object Handles Toolboxes of MATLAB Statistical Toolbox Optimization Toolbox Financial Toolbox Textbooks: Lecture notes MATLAB official documentation Brandimarte P. (2002), Numerical methods in finance : a MATLAB-based introduction, Wiley, ISBN: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. Pascucci A. (2008) "Calcolo stocastico per la finanza", Springer. George Levy (2004) "Computational Finance", Quantitative Finance series, Elsevier. Computer Science (6 credits, 48 hours) Some of the objectives relate to advanced ECDL. Aim is to acquire basic concepts and the practical ability to use the relevant software. First level degree course (3 year) on all curricula. Basic concepts of logic Basic concepts of information theory Practical knowledge of electronic spreadsheet functions (particularly Excel) and its use in the area of Calculation and corporate management Fundamental theoretical concepts of Data Bases, especially relational Data Bases SQL interrogation language Practical knowledge of the functions of DBMSs (especially Access) and its use in the area of corporate management Information Technology for Finance (3 credits of 6, 24 of 48 hours) Partially covered by Elaborazione automatica dei dati. 4

5 To approach the main themes of financial mathematics with the same method of exchange rooms through Visual Basic for Excel Applications. Degree course: First level degree course (3 year) on Statistics and Computing for Company Management. Faculty: Course contents: Introduction to Visual Basic for Excel Arrays and I/O of VBA Derivative Agreements Forwards and Futures Introduction to DBMS Textbooks: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. 2011/2012 MATLAB for Finance (ex-information Technology for Finance Advanced) The application to real data of financial topics studied in other courses under MATLAB environment. Second level degree course (2 years) on Management, Finance and International Business. Introduction to MATLAB Matrices, expressions, functions Graphics Help on-line, system windows Matrix manipulation, linear algebra Other data structures.m files and programming language Structure of control Script and function Object Handles Toolboxes of MATLAB Statistical Toolbox Optimization Toolbox Financial Toolbox Textbooks: Lecture notes MATLAB official documentation Brandimarte P. (2002), Numerical methods in finance : a MATLAB-based introduction, Wiley, ISBN: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. Pascucci A. (2008) "Calcolo stocastico per la finanza", Springer. George Levy (2004) "Computational Finance", Quantitative Finance series, Elsevier. Computer Science (6 credits, 48 hours) Some of the objectives relate to advanced ECDL. Aim is to acquire basic concepts and the practical ability to use the relevant software. 5

6 First level degree course (3 year) on all curricula. Basic concepts of logic Basic concepts of information theory Practical knowledge of electronic spreadsheet functions (particularly Excel) and its use in the area of Calculation and corporate management Fundamental theoretical concepts of Data Bases, especially relational Data Bases SQL interrogation language Practical knowledge of the functions of DBMSs (especially Access) and its use in the area of corporate management Information Technology for Finance (5 credits, 40 hours) Partially covered by Elaborazione automatica dei dati. To approach the main themes of financial mathematics with the same method of exchange rooms throughout Visual Basic for Excel Applications. First level degree course (3 year) on Statistics and Computing for Company Management. Introduction to Visual Basic for Excel Arrays and I/O of VBA Derivative Agreements Forwards and Futures Introduction to DBMS Textbooks: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. 2010/2011 Information Technology for Finance - Advanced The application to real data of financial topics studied in other courses under MATLAB environment. Second level degree course (2 years) on Management, Finance and International Business. Introduction to MATLAB Matrices, expressions, functions Graphics Help on-line, system windows Matrix manipulation, linear algebra Other data structures.m files and programming language Structure of control Script and function Object Handles Toolboxes of MATLAB Statistical Toolbox Optimization Toolbox Financial Toolbox Textbooks: Lecture notes MATLAB official documentation 6

7 Brandimarte P. (2002), Numerical methods in finance : a MATLAB-based introduction, Wiley, ISBN: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. Pascucci A. (2008) "Calcolo stocastico per la finanza", Springer. George Levy (2004) "Computational Finance", Quantitative Finance series, Elsevier. Computer Science (6 credits, 48 hours) Educational goals: Some of the objectives relate to advanced ECDL. Aim is to acquire basic concepts and the practical ability to use the relevant software. First level degree course (3 year) on all curricula. Basic concepts of logic Basic concepts of information theory Practical knowledge of electronic spreadsheet functions (particularly Excel) and its use in the area of Calculation and corporate management Fundamental theoretical concepts of Data Bases, especially relational Data Bases SQL interrogation language Practical knowledge of the functions of DBMSs (especially Access) and its use in the area of corporate management Algorithms and Programming Techniques (3 of 9 credits, 24 hours), the first 6 credits come from Computer Science of Faculty of Engineering Complete introduction to the computer programming. Second level degree course (2 year) on Management, Finance and International Business curriculum Information Security. Faculty: Course contents: C++ Review (of previous credits) Structured Programming Object-Oriented Programming (OOP) Standard Template Library (STL) Textbooks: Moriggia, Psaila, Concetti Fondamentali di Informatica. Esculapio - Progetto Leonardo. Lorenzi A., Moriggia V. (2004). Programmazione ad oggetti e linguaggio C++. BERGAMO: Atlas, ISBN: Stroustrup, Bjarne. The C++ programming language. Reading [etc.] : Addison-Wesley, c /2010 Information Technology for Finance (9 credits, 72 hours) To approach the main themes of financial mathematics with the same method of exchange rooms through Visual Basic for Excel Applications. First level degree course (3 year) on Statistics and Computing for Company Management. Introduction to Visual Basic for Excel Arrays and I/O of VBA Derivative Agreements Forwards and Futures 7

8 F.R.A. and Swaps Class Modules Term Structure Duration and Convexity Immunization and Value-at-Risk Textbooks: Cherubini U., Della Lunga G. (2002) "Matematica Finanziaria. Applicazioni con Visual Basic per Excel", McGraw-Hill. Simon Benninga (2001) "Modelli finanziari. La finanza con Excel", McGraw-Hill. John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. Financial Engineering I (3 credits, 24 hours) Advanced asset pricing, Financial Mathematics, derivatives and hedging. Second level degree course (2 year) on Management, Finance and International Business. Derivative Agreements Forwards Futures and marking-to-market Forward Rate Agreement (FRA) Swap Interest Rate Swaps Currency Swaps Textbooks: John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: Paul Wilmott (2003) "Introduzione alla Finanza quantitativa", Egea. Algorithms and Programming Techniques (3 of 9 credits, 24 hours), the first 6 credits come from Computer Science of Faculty of Engineering Complete introduction to the computer programming. Second level degree course (2 year) on Management, Finance and International Business curriculum Information Security. C++ Review (of previous credits) Structured Programming Object-Oriented Programming (OOP) Standard Template Library (STL) Textbooks: Moriggia, Psaila, Concetti Fondamentali di Informatica. Esculapio - Progetto Leonardo. Lorenzi A., Moriggia V. (2004). Programmazione ad oggetti e linguaggio C++. BERGAMO: Atlas, ISBN: Stroustrup, Bjarne. The C++ programming language. Reading [etc.] : Addison-Wesley, c2000. Introduction to GAMS (in English) Context: Laboratory of Stochastic Programming School SPS2009 (for young researchers and PhD students). Review of optimization models. Main statements and properties of General Algebraic Modeling System (GAMS) Implementation of optimization models in GAMS Stochastic programming in GAMS 8

9 Examples of SP in Finance with GAMS Textbooks: Lecture notes GAMS User Guide Algorythm and Programming Review of programming environment for applied research. PhD in Computational methods for financial and economic forecasting and decisions. MATLAB Structured Programming C++ Object-Oriented Programming (OOP) Textbooks: Lecture notes MATLAB official documentation Lorenzi A., Moriggia V. (2004). Programmazione ad oggetti e linguaggio C++. BERGAMO: Atlas, ISBN: Stroustrup, Bjarne. The C++ programming language. Reading [etc.] : Addison-Wesley, c /2009 Information Technology for Finance (9 credits, 72 hours) Financial Engineering I (3 credits, 24 hours) Information Technology for Finance - Advanced Computer Science (5 credits, 32 hours, annual contract) Introduction to computer science and programming language, based on C/C++. First level degree course (3 years) on Mechanical Engineering and Textile Engineering. Parallel course to degree on Informatics Engineering and Management Engineering. Engineering at University of Bergamo. Computer architecture, Operating System, file system (from introductory course) Hello World in C++ Variables, types predefined, input from the keyboard Conditions and loops while and do-while Loop for, switch Introduction to functions, scope Functions with parameters by value Functions with parameters by reference Vectors, strings Passing vectors, pointers Dynamic al location (statement new) Structures and user types Managing stacks and queues Managing files Command-line arguments Number systems, exercises CPU architecture, O.S. structure Networks and Internet Software cycle of the life Textbooks: Moriggia, Psaila, Concetti Fondamentali di Informatica. Esculapio - Progetto Leonardo. Cremonesi, Psaila Introduzione Ragionata al C/C++. Esculapio - Progetto Leonardo. Psaila, Esercizi Ragionati in C/C++. Esculapio - Progetto Leonardo. 9

10 2007/2008 Information Technology for Finance (9 credits, 72 hours) Financial Engineering I (3 credits, 24 hours) Information Technology for Finance - Advanced (8 credits, 64 hours) Computer Science (5 credits, 32 hours, annual contract) for Management Engineering and Textile Engineering. SILSIS - Post-graduate School for Teachers, section of Bergamo and Brescia Data treatment for Economics and Financial decisions. Excel (advanced) for Azienda Sanitaria Locale (ASL) of Bergamo. 2006/2007 Information Technology for Finance (6 of 9credits, 48 hours) Financial Engineering I (3 credits, 24 hours) Computer Science (5 credits, 32 hours, annual contract) for Management Engineering and Textile Engineering. Excel (basic) for Azienda Sanitaria Locale (ASL) of Bergamo. Networks and Network Issues (6 of 9 credits, 48 hours) Gain the capability to understand and communicate to network and computer technicians for the realization and management of a sure and performing network in the firm. First level degree course (3 years) on Statistics and Computing for Company Management. Local Area Networks. Basic concepts. Local Area Networks. Internetworking. Network Operating System (NOS) Internet Network Security Textbooks: Lecture notes Curt M. White, "Reti di comunicazione per l'azienda", Apogeo, ISBN: Curt M. White, "Data Communications and Computer Networks: a Business User's Approach", Course Technology, SILSIS - Post-graduate School for Teachers, section of Bergamo and Brescia Data treatment for Economics and Financial decisions. C++ and Object Oriented Programming (OOP) Fundamental instruments for young researchers on computational field. PhD in Mathematical Methods For Economics And Actuarial And Financial Sciences Introduction to computer programming Programming techniques: procedural, structured, object oriented C/C++ language programming OOP Object Oriented Programming Textbooks: Lorenzi A., Moriggia V. (2004). Programmazione ad oggetti e linguaggio C++. BERGAMO: Atlas, ISBN: Stroustrup, Bjarne. The C++ programming language. Reading [etc.] : Addison-Wesley, c2000. Numerical Methods (3 credits) Fundamental instruments for young researchers on computational field. Master in Energy Management 10

11 Faculty: Bicocca University of Milan. Course contents: Introduction to MATLAB Programming language of MATLAB Monte Carlo simulation and applications Finance Toolboxes: Optimization, Statistics, Finance. Textbooks: Lecture notes MATLAB official documentation Brandimarte P. (2002), Numerical methods in finance : a MATLAB-based introduction, Wiley, ISBN: John C. Hull, "Opzioni, futures e altri derivati", Pearson-Prentice Hall, 6a ed. it., 2006, ISBN: VBA in Excel New instruments for banker of local banks. Master in Valuation and Management of Financial Risk Bicocca University of Milan. Integrated Development Environment (IDE) Distribution approximation. Stochastic Process Data structure Loops Bloomberg and Datastream data collection Cashflows schedule Default probability correlation Textbooks: Lecture notes Similar courses. 11

12 E UROPEAN CURRICULUM VITAE FORMAT PERSONAL INFORMATION Name VITTORIO, MORIGGIA Address 2, VIA DEI CANIANA, I-24127, BERGAMO, ITALY Telephone +39 (035) Fax +39 (035) Nationality Italian Date of birth 16 July 1964 WORK EXPERIENCE Dates (from to) Name and address of employer Type of business or sector Occupation or position held Main activities and responsibilities Feb 2002 onwards University of Bergamo, 2, via dei Caniana, I-24127, Bergamo, Italy Education Associate professor Teaching: MATLAB for Finance (graduate), Computer Science (1 st year, undergraduate), Computer Science in Finance (3 rd year, undergraduate) and similar courses Dates (from to) Gen 1998 Feb 2002 Name and address of employer University of Bergamo, 2, via dei Caniana, I-24127, Bergamo, Italy Type of business or sector Education Occupation or position held Researcher Main activities and responsibilities Teaching various courses in the Mathematics Methods of Economics and Financial and Actuarial Sciences scientific area Dates (from to) Name and address of employer Partnership between Bergamo Formazione special enterprise of Chambre of Commerce, University of Bergamo and others Type of business or sector Temporary Partnership Occupation or position held Course director Main activities and responsibilities Responsible and coordinator of IFTS courses Dates (from to) Name and address of employer Computer Center of University of Bergamo, 2, piazza Rosate, I-24129, Bergamo, Italy Type of business or sector Education Occupation or position held Independent consultant Main activities and responsibilities Computer technician for personal computer and mainframe 12

13 EDUCATION AND TRAINING Dates (from to) Name and type of organisation University of Bergamo, 19, via salvecchio, I-24129, Bergamo, Italy providing education and training Funded by Government grant Principal subjects/occupational Thesis title: Portfolio Dynamic Management and Sensitivity Analysis, Empirical research that skills covered directly contributes to appliances of Stochastic Programming in Finance Title of qualification awarded PhD Level in national classification (if appropriate) Dates (from to) Name and type of organisation University of Bergamo, 19, via salvecchio, I-24129, Bergamo, Italy providing education and training Principal subjects/occupational Thesis Title: Automatic System for Analytic Representation of Production Process skills covered Title of qualification awarded Degree of Economics and Commerce (4 years) Level in national classification 103 / 110 (if appropriate) 13

14 PERSONAL SKILLS AND COMPETENCES Acquired in the course of life and career but not necessarily covered by formal certificates and diplomas. MOTHER TONGUE ITALIAN OTHER LANGUAGES Reading skills Writing skills Verbal skills ENGLISH excellent good good Reading skills Writing skills Verbal skills SOCIAL SKILLS AND COMPETENCES Living and working with other people, in multicultural environments, in positions where communication is important and situations where teamwork is essential (for example culture and sports), etc. FRENCH excellent basic good Team work: I have worked in various research teams. In particular I've been member of research program no _004 (announcement 40%/1999), no _006 (announcement 40%/2001), no _001 (PRIN 2002) and. no BZ5A5_001 (PRIN 2007) I've been local coordinator of research unit of Bergamo for projects n _007 (PRIN 2004), no _002 (PRIN 2005) and no BZ5A5_001 (PRIN 2007). Mediating skills: I teach in classes of 200 students and more Intercultural skills: I have experienced a one-year study abroad at "Olin" Business School of Washington University in St. Louis, Missouri (USA). I spent on month in research at the Hermes Lab. of University of Cyprus, two months in research at RUTCOR of Rutgers State University, New Jersey (USA), two months at the Department of Finance of "W.P.Carey" School of Business (Tempe) of Arizona State University of Phoenix, Arizona (USA) and two months at the Thunderbird School of Global Management, Glendale, AZ (USA). I presented my research results in various International Meeting all around the world (Australia, Canada, Cyprus, France, Germany, Italy, Norway, United States, ) ORGANISATIONAL SKILLS AND COMPETENCES Coordination and administration of people, projects and budgets; at work, in voluntary work (for example culture and sports) and at home, etc. TECHNICAL SKILLS AND COMPETENCES With computers, specific kinds of equipment, machinery, etc. ARTISTIC SKILLS AND COMPETENCES Music, writing, design, etc. OTHER SKILLS From 2002 to 2005, I am a member of Academic Senate representing associate professors. From 2001 to 2005 I am director of technical courses funded by Lombardy Region and European Union for young unemployed. I represented researchers on the Faculty Council. Deep competent with use and programming of computer. I write programs on C, C++ (OOP), Fortran, Cobol, Basic, VBA and many scripts. I maintain the network operating system of a small research laboratory of my University. Playing guitar in a rock band RESEARCH IN PROGRESS: - Stochastic Programming in Finance 14

15 AND COMPETENCES Competences not mentioned above. DRIVING LICENCE(S) ADDITIONAL INFORMATION ANNEXES - Logical Analisys of Data - Pricing Credit Risk Derivatives and Path-Dependent Derivatives - Weather and Energy Derivatives car and motorbike Published seven textbooks and many articles Publications 15

16 Publications CONSIGLI, G.; IAQUINTA, G.; MORIGGIA, V.; di TRIA, M.; MUSITELLI, D. (2012), Retirement planning in individual asset liability management, IMA Journal of Management Mathematics 09/2012; 23: CONSIGLI, G.; di TRIA, M.; GAFFO, M.; IAQUINTA, G.; MORIGGIA, V. & URISTANI, A. (2011), Dynamic portfolio management for property and casualty insurance, in M. Bertocchi; G. Consigli & M. Dempster, ed.,'handbook on Stochastic Optimization Methods in Finance and Energy', Springer USA,. CONSIGLI, G.; di TRIA, M.; IAQUINTA, G. & MORIGGIA, V. (2011), 'Optimal management of life insurance household portfolios in the long run', Pacific Journal of Optimization 2, in print. ABAFFY, J.; ALLEVI, E.; BERTOCCHI, M. & MORIGGIA, V. (2010), Programmazione stocastica e applicazioni, Egea, MILANO -- ITA. BERTOCCHI, M.; MORIGGIA, V. & W.T., Z. (2010), Optimizing the Aging, Retirement, and Pensions Dilemma, John Wiley & Sons, Inc., HOBOKEN, NJ -- USA, chapter Implementation and Numerical Results of Individual ALM Model for Lifetime Asset-Liability Management, pp BERTOCCHI, M.; MORIGGIA, V. & W.T., Z. (2010), Optimizing the Aging, Retirement, and Pensions Dilemma, John Wiley & Sons, Inc., HOBOKEN, NJ -- USA, chapter An Individual ALM Model for Lifetime Asset-Liability Management, pp CONSIGLI, G.; IAQUINTA, G. & MORIGGIA, V. (2010), 'Path-dependent scenario trees for multistage stochastic programmes in finance', Quantitative Finance ifirst, CONSIGLI, G.; PFLUG, G. & (guest editors), V. M.Mamon, R. S.; Scarf, P. & Syntetos, A. A., ed. (2010), Special Issue: Applied Optimization Techniques for Industry, Vol. 21, IMA Journal of Management Mathematics. DUPAČOVÁ, J.; BERTOCCHI, M. & MORIGGIA, V. (2009), 'Testing the structure of multistage stochastic programs', COMPUTATIONAL MANAGEMENT SCIENCE 6, FILHO ARRUDA, E.; BIFFIGNANDI, S.; MORIGGIA, V. & MARINO, A. (2009), 'Technology convergence on telecommunications systems integration', INTERNATIONAL JOURNAL OF MANAGEMENT AND NETWORK ECONOMICS 1, MORIGGIA, V.; MUZZIOLI, S. & TORRICELLI, C. (2009), 'On the no-arbitrage condition in option implied trees', European Journal of Operational Research 193(1), BERTOCCHI, M.; MORIGGIA, V. & DUPAČOVÁ, J. (2008), Handbook of Asset and Liability Management, Elsevier B.V., chapter Bond Portfolio Management via Stochastic Programming, pp CONSIGLI, G.; IAQUINTA, G. & MORIGGIA, V. (2008),Scenario Generation for Credit Risk Management, in 'Bank capital in risk management and in investement strategies', Soc. Ed. Esculapio, BOLOGNA -- ITA, pp

17 MORIGGIA, V. & TORRICELLI, C., ed. (2008), Bank capital in risk management and in investment strategies, Soc. Ed. Esculapio, BOLOGNA. ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J.; MORIGGIA, V. & CONSIGLI, G. (2007), 'Pricing nondiversifiable credit risk in the corporate Eurobond market', Journal of Banking & Finance 31(8), MORIGGIA, V.; MUZZIOLI, S. & TORRICELLI, C. (2007), 'Call and put implied volatilities and the derivation of option implied trees', FRONTIERS IN FINANCE AND ECONOMICS 4 N1. MORIGGIA, V. & PSAILA, G. (2007), Concetti fondamentali di Informatica, società editrice Esculapio, BOLOGNA. BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2006), 'Horizon and stages in applications of stochastic programming in finance', ANNALS OF OPERATIONS RESEARCH 142, ABAFFY, J.; BERTOCCHI, M.; J., D. C. A. & MORIGGIA, V. (2004),'Pricing Euro Bonds -- Empirical Findings'(23), Technical report, University of Bergamo, Bergamo (I). BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2004),'Reflections on scenario tree reduction, construction and contamination: Computational results'(16), Technical report, University of Bergamo, Bergamo (I). BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2004),'Bond portfolio management via stochastic programming: computational results on scenario tree reduction, construction and contamination'(17), Technical report, University of Bergamo, Bergamo (I). GUERRA, M. & MORIGGIA, V. (2004),'Misura degli effetti del processo di binarizzazione nell'analisi logica dei dati'(5), Technical report, University of Bergamo, Bergamo (I). LORENZI, A. & MORIGGIA, V. (2004), Informatica : teoria e programmazione in C e C++, Atlas, Bergamo (I). LORENZI, A. & MORIGGIA, V. (2004), Programmazione ad oggetti e linguaggio C++, Atlas, Bergamo (I). LORENZI, A. & MORIGGIA, V. (2004), Programmare in C, Atlas, Bergamo (I). ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J.; GIACOMETTI, R.; SKOVA, M. H. & MORIGGIA, V. (2003), 'A nonparametric model for analysis of the EURO bond market', Journal of Economic Dynamics and Control 27(6), ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2003),'Pricing eurobondsfeasibility study. Part. I'(12), Technical report, University of Bergamo, Bergamo (I). MORIGGIA, V.; MUZZIOLI, S. & TORRICELLI, C. (2003),'Option Implied Trees Under Put-Call Parity Violations'(3), Technical report, University of Bergamo, Bergamo (I). MORIGGIA, V.; MUZZIOLI, S. & TORRICELLI, C. (2003),'Option Implied Trees When the Put- Call Parity Is Not Fulfilled'(448), Technical report, Universitа degli studi di Modena e Reggio Emilia, Modena (I). 17

18 CAVALLI, E. & MORIGGIA, V. (2002), 'Logical Data Analysis vs. Neural Networks in the Creditworthiness', NEURAL NETWORK WORLD 4/02, CAVALLI, E. & MORIGGIA, V. (2001),'Logical Data Analysis vs. Neural Networks in the Creditworthiness'(31), Technical report, University of Bergamo, Bergamo (I). LORENZI, A.; AMBROSINI, M.; FORESTI, S. & MORIGGIA, V. (2001), IL LINGUAGGIO C++, ATLAS, Bergamo (I). MORIGGIA, V. (2001),L'analisi logica dei dati quale strumento decisionale del sistema creditizio, in G. Gambarelli, ed.,'la matematica e le sue applicazioni', Ateneo di Scienze, Lettere e Arti di Bergamo, Bergamo (I), pp ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2000), 'On Generating Scenarios for Bond Portfolios', EKONOMICKO-MATEMATICKY OBZOR 7/11, BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2000), 'Sensitivity analysis of a bond portfolio model for the Italian market', CONTROL AND CYBERNETICS 29. BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (2000), 'Sensitivity of Bond Portfolio's Behavior With Respect to Random Movements in Yield Curve: a Simulation Study', ANNALS OF OPERATIONS RESEARCH 99, LORENZI, A.; MORIGGIA, V. & RIZZI, A. (2000), La programmazione ad oggetti C++ Java, Atlas, Bergamo (I). MORIGGIA, V. (2000),'Logical Data Analysis in the Creditworthiness'(26), Technical report, University of Bergamo, Bergamo (I). ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J.; GIACOMETTI, R. & MORIGGIA, V. (1999),'A Nonparametric Model for Analysis of the Euro Yield Curve'(27), Technical report, University of Bergamo, Bergamo (I). ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1999),Performance Evaluation of Algorithms for Black-Derman-Toy lattice, in E. Canestrelli, ed.,'21st Meeting of EWGFM', Physica Verlag,, pp ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1999),'On Generating Scenarios for Bond Portfolios'(41), Technical report, University of Bergamo, Bergamo (I). ABAFFY, J.; BERTOCCHI, M. & MORIGGIA, V. (1999),'Bond Portfolio Management: Software Implementation'(14), Technical report, University of Bergamo, Bergamo (I). BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1999),'Sensitivity of Bond Portfolio's Behavior With Respect to Random Movements in Yield Curve: a Simulation Study'(8), Technical report, University of Bergamo, Bergamo (I). MORIGGIA, V.; BERTOCCHI, M. & DUPAČOVÁ, J. (1999), 'Highly parallel computing in simulation on dynamic bond portfolio management', APL QUOTE QUAD 29,

19 BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1998),High Parallel Computing in Simulation on Dynamic Bond Portfolio Management, in 'Proceedings of 22nd Meeting of Euro Working Group on Financial Modelling', ESCP,. BERTOCCHI, M.; J., A.; DUPAČOVÁ, J. & MORIGGIA, V. (1998),High parallel computing in simulation on dynamic bond portfolio management, in 'The Array Processing Language Conference', Partenone Publisher,, pp DUPAČOVÁ, J.; BERTOCCHI, M. & MORIGGIA, V. (1998), WORLDWIDE ASSET AND LIABILITY MODELING, CAMBRIDGE UNIVERSITY PRESS, Cambridge (UK), chapter Postoptimality for Scenario Based Financial Planning Models with an Application to Bond Portfolio Management, pp MORIGGIA, V.; BERTOCCHI, M. & DUPAČOVÁ, J. (1998),Highly parallel computing in simulation on dynamic bond portfolio management, in 'APL '98: Proceedings of the APL98 conference on Array processing language.', pp ABAFFY, J.; BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1997),'Performance evaluation of algorithms for Black-Derman-Toy lattice'(24), Technical report, University of Bergamo. BERTOCCHI, M.; MORIGGIA, V. & DUPAČOVÁ, J. (1997), Convessità e calcolo parallelo, Libreria Universitaria Editrice, Verona (I), chapter Tecnica della contaminazione nell'analisi di portafoglio, pp DUPAČOVÁ, J.; BERTOCCHI, M. & MORIGGIA, V. (1997), New Operational Approaches in Financial Modelling, Physica-Verlag, Berlin (D), chapter Postoptimality for a Bond Portfolio Management Model, pp DUPAČOVÁ, J.; BERTOCCHI, M. & MORIGGIA, V. (1997),'Postoptimality for a bond portfolio management model'(13), Technical report, University of Bergamo, Bergamo (I). ABAFFY, J.; BERTOCCHI, M. & MORIGGIA, V. (1996),'Implementazione del modello multinomiale per la valutazione di strumenti finanziari derivati'(19), Technical report, University of Bergamo. BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1996),Sensitivity Analysis on Inputs for a Bond Portfolio Management Model, in P. Albrecht, ed.,'aktuarielle Ansätze für Finanz-Risiken VI A.F.I.R. Colloquium', pp BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1996),'Postoptimality for scenario based financial models'(23), Technical report, University of Bergamo. BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1996),'Sensitivity Analysis of a Bond Portfolio Model for the Italian Market'(18), Technical report, University of Bergamo. BERTOCCHI, M.; DUPAČOVÁ, J. & MORIGGIA, V. (1996),'Sensitivity Analysis on Inputs for a Bond Portfolio Management Model'(16), Technical report, University of Bergamo. BERTOCCHI, M.; MORIGGIA, V. & DUPAČOVÁ, J. (1996),Sensitività in problemi di portafoglio: un'applicazione al mercato italiano, in 'Atti del XX Convegno AMASES '96', pp

20 100. MORIGGIA, V. (1996),'CRSP Efficiency in GRS's CAPM Test'(17), Technical report, University of Bergamo. ABAFFY, J.; MATTIOLI, L. & MORIGGIA, V. (1994),'Elaborazione e gestione dei risultati nel modello di Ho-Lee'(20), Technical report, University of Bergamo. MORIGGIA, V. & MORRONI, M. (1993),'SISTEMA AUTOMATICO KRONOS PER L'ANALISI DEI PROCESSI PRODUTTIVI. Caratteristiche generali e guida all'utilizzo nella ricerca applicata'(23), Technical report, University of Bergamo. Vittorio Moriggia via dei Caniana, Bergamo tel cell fax vittorio.moriggia@unibg.it 20