MAIN ARTICLES/CHAPTERS IN REFEREED BOOKS:

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1 BOOKS, EDITED BOOKS and SPECIAL JOURNAL ISSUES: M. Bertocchi, G. Consigli, R. D Ecclesia, R. Giacometti, V. Moriggia, S. Ortobelli Lozza (2013) Eurobonds: Markets, Infrastructure and Trends, World Scientific Series in Finance, vol. 7, World Scientific Publisher. M. Bertocchi, G. Consigli, M.A.H. Dempster, 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, M. Bertocchi, S. L. Schwartz, W.T. Ziemba (2010) Optimizing the ageing, retirement and pension dilemma, Wiley. J. Abaffy, E. Allevi, M. Bertocchi, V. Moriggia (2010) Programmazione stocastica e applicazioni, EGEA. 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, E. Allevi, M. Bertocchi, A. Gnudi, I. V. Konnov, Non linear analysis with applications in economics, energy and transportation, Bergamo University Press, Sestante Edizioni, M. Bertocchi, E. Cavalli, S. Komlosi, Modelling Techniques for Financial Markets and Bank Management", Physica Verlag, M. Bertocchi, L. Stefanini, Large-scale Economic and Financial Applications:New Tools and Methodologies", Franco Angeli,1991. MAIN ARTICLES/CHAPTERS IN REFEREED BOOKS:. M. Bertocchi, R. Giacometti, M.T. Vespucci (2015) Risk measures and management in the energy sector, in Quantitative Financial Risk Management: Theory and Practice (Constantin Zopounidis, Emilios Galariotis eds), Wiley, to appear. M. Bertocchi, R. D Ecclesia, (2013) The bond market in Europe, Chapter 1 in M. Bertocchi, G. Consigli, R. D Ecclesia, R. Giacometti, V. Moriggia, S. Ortobelli Lozza (2013) Eurobonds: Markets, Infrastructure and Trends, World Scientific Series in Finance, vol. 7, World Scientific Publisher, M. Bertocchi, R. D Ecclesia, (2013) The market infrastructure, Chapter 2 in M. Bertocchi, G. Consigli, R. D Ecclesia, R. Giacometti, V. Moriggia, S. Ortobelli Lozza (2013) Eurobonds: Markets, Infrastructure and Trends, World Scientific Series in Finance, vol. 7, World Scientific Publisher, 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 M.T. Vespucci, M. Bertocchi, A. Tomasgaard, 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 (S. Rebennack, P. Pardalos, V. Pappu, M.V. Pereira, N.A. Illiadis eds), Springer Verlag. M.T. Vespucci, M. Bertocchi, M. Innorta, S. Zigrino, L. Escudero (2013) A risk averse two-stage stochastic mixed integer optimization model for power generation expansion planning in the long term, accepted in European Energy Market (EEM13) 10 th International Conference Proceedings, May 2013, Stockholm, DOI: /EEM , 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 and Logistics (H.I. Gassmann. S.W. Wallace, W. T. Ziemba, World Scientific Series in Finance, vol. 4, World Scientific Publisher, p , ISBN

2 . M.T. Vespucci, M. Bertocchi, A. Tomasgaard, M. Innorta (2012) 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). 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: 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 energy market strategies (Bertocchi, Consigli, Dempster eds.), Springer, International Series in Operations Research & Management Science, Ch. 8, 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, 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, M. Bertocchi, J. Dupacova, V. Moriggia, "Bond Portfolio Management via Stochastic Programming", in Handbook for Asset and Liability Management (W. T. Ziemba and S.A. Zenios eds. ), Elsevier, 2006, Ch. 7, J. Dupacova, M. Bertocchi, V. Moriggia (1998) High parallel computing in simulation on dynamic bond portfolio management" in Proc. of the Array Processing Languages Conference 98, Rome, July, Partenone Pub., M.Bertocchi, J. Dupacova, V. Moriggia (1998) Tecnica della contaminazione nell analisi di portafoglio in Convessità e calcolo parallelo, G. Giorgi and F. Rossi eds., Libreria Universitaria editrice, Verona, J. Dupacova, M.Bertocchi, V. Moriggia (1998) Postoptimality for Scenario based Financial Planning Models with an Application to Bond Portfolio Management in World Wide Asset and Liability Modeling,W.T. Ziemba and J. Mulvey eds., Cambridge University Press, M. Bertocchi, J. Abaffy, J. Dupacova, V Moriggia (1998) "Comparisons of different algorithms for fitting the Black Derman-Toy lattice" in Current Topics in Quantitative Finance, Proceedings del 21 st Meeting of EWGFM, Venezia, E. Canestrelli ed., Physica Verlag, J. Dupacova, M. Bertocchi, V. Moriggia (1997) "Postoptimality for a Bond Portfolio Management Model" in New Operational Approaches for Financial Modelling, Zopounidis C. ed., Physica Verlag, M. Bertocchi, J. Dupacova, V. Moriggia (1996) "Sensitivity Analysis on Inputs for a Bond Portfolio Management Model", Proc. of the 6th AFIR Int. Colloquium, I, J. Dupacova, M. Bertocchi (1996) "Management of Bond Portfolios via Stochastic Programming - Postoptimality and Sensitivity Analysis", in System Modelling and Optimization, Proc. of the 17th IFIP TC7 Conference, Prague, 1995, J. Dolezal e J Fidler eds, Chapman & Hall, M. Bertocchi, A. Gnudi (1995) "Pricing Puttable Bonds", Proc. of the 5th AFIR Int. Colloquium, CESIAF, Brussels, II, M. Bertocchi, J. Abaffy, A. Gnudi, G. Zambruno (1994) "A multinomial Model for the Term

3 Structure of Interest rates: an Optimization approach",in Stochastic Models. Optimization Techniques and Computer Applications, Krishna Reddy e al. eds., Wiley Eastern, New Delhi, M. Bertocchi, A. Butti, L. Slominski (1994)"Discrete Optimization by Fixed Precision Estimation", (A. Butti e L. Slominski coautori) in Proc. of the 9th Polish-Italian and 6th Polish- Finnish Conference on Systems Analysis and Decision Support in Economics and Technology, R. Kulikowski, K. Szkatula, J. Kacprzyk eds., Omnitech Press, Warszawa, M. Bertocchi, E. Cavalli (1994) "Decision Support Methodologies in Finance" in Proc. of the 9th Polish-Italian and 6th Polish-Finnish Conference on Systems Analysis and Decision Support in Economics and Technology, R. Kulikowski, K. Szkatula, J. Kacprzyk eds., Omnitech Press, Warszawa, M. Bertocchi, A.Butti (1994) "Some Alternatives and Numerical Results in Binomial Put Option Pricing", in Operations Research Models in Quantitative Finance, R. D Ecclesia and S. Zenios eds., Physica Verlag. J. Abaffy, M. Bertocchi, A. Terriero (1994) "Sul Calcolo dell'autovalore di Frobenius di Matrici Non Negative", (J. Abaffy e A. Torriero coautori) in Scritti in onore di Giovanni Melzi, a cura di C.F. Manara, M. Faliva, M. Marchi, Vita e Pensiero, Milano, M. Bertocchi, R. Giacometti (1993) "The Parallel Genetic Algorithm as Global Optimizer", Mathematical Optimization. Theory, Methods and Applications, K.H. Elster and C. Sutti eds, Verona, M. Bertocchi, S. Zenios (1993)"Large scale architectures and parallel processing in air-traffic control", (S. Zenios coautore) Large Scale Computation and Information Processing in Air Traffic Control, L. Bianco and A.R. Odoni eds, Springer Verlag, M.Bertocchi, E. Cavalli, G. Zambruno (1992)"Parallel and symbolic computation in finance", Proceedings of the Fifth Siam Conference on Parallel Processing for Scientific Computing, J.Dongarra,K.Kennedy,P.Messina,D.C.Sorensen, R.G. Voigt, Siam, M.Bertocchi (1992)"A stochastic algorithm for global optimization techniques based on threshold accepting techniques", in Optimization techniques and applications, K.H. Phua et al. eds, World Scientific Pub. Co. Ltd, Singapore, v.1, M. Bertocchi, E. Spedicato e M. Vespucci (1992) "Vectorizing the implicit QR algorithm of the ABS class on the IBM 3090 VF", in Parallel computing: problems, methods and applications, P.Messina e A. Murli eds., Elsevier, M. Bertocchi, P. Sergi (1992) "Parallel global optimization over continous domain by simulated annealing", in Parallel computing: problems, methods and applications, P.Messina e A. Murli eds., Elsevier, M. Bertocchi, A. Butti, M. Ragazzi (1991) "Global optimization methods in finding the minimum energy of a molecule" in Proc. of 13th World Congress on Computation and Applied Mathematics (22-26/9/1991 Ireland), R. Vichnevetsky and J.J.H. Miller eds.,v.1, M. Bertocchi, A. Butti, P. Sergi, A. Zapparoli (1990) "Parallel stochastic algorithms for global optimization"in Supercomputing tools for Science and Engineering, D. Laforenza e R. Perego eds., Franco Angeli, M. Bertocchi, E. Spedicato(1990) "Block ABS algorithms for dense linear systems in a vector processor environment" in Supercomputing tools for Science and Engineering, D. Laforenza e R. Perego eds, Franco Angeli, M.Bertocchi, E. Spedicato (1989) " Vectorizing the modified Huang algorithm of the ABS class on the IBM 3090 " in Proceedings dell' " International meeting on parallel computers ",28-30 Sept.,Verona", Sutti and Evans eds., IOP Publish. Ltd,London, M.Bertocchi, E. Spedicato (1989) " Computational performance on the IBM 3090 of the modified Huang and the implicit Gauss-Cholesky algorithm versus the Gaussian solver in the ESSL library on ill-conditioned problems " in Proceedings of " The 10-th symposium on algorithms '89 ", Cecoslovacchia.

4 M.Bertocchi, E. Spedicato (1989) " Performance of the implicit Gauss-Cholesky algorithm of the ABS class on the IBM 3090 VF "in Proceedings of "The 10-th symposium on algorithms '89 ", Cecoslovacchia, M. Bertocchi, W. Krafft (1987) " A global optimisation algorithm for parallel machines " in Optimization techniques and applications,teo,paul,chew, Wang eds, National University of Singapore, M. Bertocchi, A. Gnudi (1985) " Hardware and software support for a MIMD prototype " in Proc. of Future trends of computing,cosnard ed.,grenoble, M. Bertocchi, A. Gnudi (1985) " Software support for a MIMD prototype " in Proc. of the IASTED Int. Symp. on " Applied Informatics", Hamza M.H. ed.,acta Press, M. Bertocchi, A. Gnudi (1984) " A parallel directives expansion method in a multimicroprocessor operating system environment "in Parallel Computing '83, Feilmeier, Joubert e Schendel eds,elsevier Sc.Pub., M. Bertocchi, A. Gnudi (1984) " The kernel of the operating system of a multimicroprocessor prototype "in Proceedings of the 24th Int. Symposium on Mini and microcomputers and their applications,mastronardi ed., Acta Press, M. Bertocchi, E. Cavalli, E. Spedicato (1980)" Computational performance of diagonalized multiplier Quasi-Newton methods for non linear optimization with equality constraints " in Numerical Optimisation of Dynamic Systems, L. C. W. Dixon and G.P. Szego eds., North Holland, Amsterdam, MAIN JOURNAL ARTICLES: P. Pisciella, M.Bertocchi, M. T.Vespucci (2014) A leader-followers model of power transmission capacity expansion in a market driven environment, Computational Management Science, to appear. P. Pisciella, M.RT.Vespucci, M.Bertocchi, s. Zigrino (2014) A time-consistent risk averse threestage stochastic mixed integer optimization model for power generation capacity expansion, Energy Economics ISSN: , DOI: /j.eneco M.T. Vespucci, M. Bertocchi, M. Innorta, S. Zigrino (2014) Deterministic and stochastic models for investment in different technologies for electricity production in the long period, in CEJOR, 22(2), , DOI: /s F. Maggioni, E. Allevi, M. Bertocchi (2013) Bounds in Multi-stage Linear Stochastic Programming, JOTA, 163(1), , DOI /s M. Bertocchi, R. Giacometti, 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 Maggioni F, Potra F, Bertocchi M (2013). Optimal kinematics of a looped filament. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, (ISSN: ), 159: , DOI /s P. Pisciella, M. Bertocchi, M.T. Vespucci (2013) A bilevel programming approach to modelling of power transmission capacity planning, 78-93, to appear in Statistica e Applicazioni, ISSN: R. Giacometti, M.T. Vespucci, M. Bertocchi, G. Barone-Adesi (2013) A stochastic model for hedging electricity portfolio for an hydro-energy producer, 57-77, to appear in Statistica e Applicazioni, ISSN: M.T. Vespucci, M. Bertocchi, M. Innorta, S. Zigrino (2012) Deterministic and stochastic models for investment in different technologies for electricity production in the long period, 1-18, 1-18, to appear in CEJOR, DOI: /s F. Maggioni, E. Allevi, M. Bertocchi, ( ). The value of information in multistage linear stochastic programming. STOCHASTIC PROGRAMMING E-PRINT SERIES.

5 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, 85-93, 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, 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, accepted in The IMA Journal of Management Mathematics, Special Issue for the SPS2007 Workshop, 6, , doi: /imaman/dpp011. 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), Giacometti, M. Bertocchi, M.C.Recchioni, F.Zirilli (2010) "Pricing life insurance contracts as financial options: the endowment policy case, submitted to Journal of Risk and Insurance. M.T.Vespucci, F. Maggioni, M. Bertocchi, M. Innorta (2010) "A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants, Annals of Operations Research, DOI: /s 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. 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. R.Giacometti, S.Ortobelli, M. Bertocchi (2009) " Impact of different distributional assumptions in forecasting Italian mortality rates, Investment Management and Financial Innovations, 6(3), M.T.Vespucci, F. Maggioni, M. Bertocchi, M. Innorta (2008) "A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants, submitted to AOR. 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 (2007) "Stable distributions in the Black- Litterman approach to asset allocation", Quantitative Finance, 7(4) Spring, J. Abaffy, M. Bertocchi, J. Dupacova, V. Moriggia, G. Consigli (2007) "Pricing non diversifiable credit risk in the corporate Eurobond market Journal of Banking and Finance, 31, 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,

6 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, 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, Control and Cybernetics, v. 29, n.2, J. Abaffy, M. Bertocchi, A. Torriero (1998) Perturbations of M-matrices via ABS methods and their applications to input-output analysis, Applied Mathematics and Computation, 94, J. Dupacova, J. Abaffy, M. Bertocchi, M. Huskova (1997) On Estimating the Yield and Volatility Curves, Kybernetika, v.33, n.6, M. Bertocchi, A. Butti,L. Slominski, J. Sobczynska (1995) "Probabilistic and Deterministic Local Search for Solving the Binary Multiknapsack Problem", Optimization, 33, M. Bertocchi, R. Giacometti (1993)"Global Continuous Optimization: a Parallel Genetic Approach", Neural Network World, Int. J. on Neural and Mass-Parallel Computing and Information Systems, M. Novak ed, v.3, n.6, J. Abaffy, M. Bertocchi, A. Torriero (1992)"Criteria for transforming a Z-matrix into an M- matrix", Optimization methods and software, v.1, M. Bertocchi, L. Brandolini, L. Slominski, J. Sobczynska (1992)"A Monte-Carlo approach for 0-1 programming problems", Computing, 48, M. Bertocchi(1991) " A generalization of the orthogonally and optimally stable scaled ABS algorithms for linear systems", PUMA, serie B, v. 2, M. Bertocchi (1991) "Option evaluation techniques by parallel processing: a review",omega Int. J. of Mgmt Sci., v.19, n.4, J. Abaffy, M. Bertocchi (1990) " Vectorized ABS Conjugate direction algorithms on the IBM 3090 VF", PUMA., ser. B, v.1, n.2-3, M.Bertocchi (1990) " A parallel algorithm for global optimization ", Optimization, v. 21, 3, M.Bertocchi (1989) " Parallel optimization ",Control and Cybernetics, v.18, n.1, M.Bertocchi (1989) " Numerical experiments with ABS class for linear system on a parallel machine ", JOTA,vol.60, n.3,march, M. Bertocchi, A. Gnudi (1983) " The kernel of the operating system of a multimicroprocessor prototype ",Quaderni IAC,serie III,n.220,Roma. M. Bertocchi, G. Regondi, E. Spedicato (1981)" A code for the minimization of non linear unconstrained functions whose gradient is available ",Quaderni IAC, Monografie di Software Matematico,n.3,Roma. M. Bertocchi, E. Cavalli, A. Gnudi, G. Vecchio (1981) " Il sistema ALPAR: una macchina MIMD per algoritmi sincroni e asincroni",quaderni IAC,serie III,n.134,Roma.

7 M. Bertocchi, E. Spedicato (1979)" Computational experience with conjugate gradient algorithms ",Calcolo,vol.XVI,fasc.III,1979. M. Bertocchi, E. Spedicato (1979)" Un codice per la minimizzazione di funzioni non lineari con vincoli di uguaglianza ",Rivista di Informatica,vol.IX, n.2. M. Bertocchi, E. Cavalli, E. Spedicato (1977)" Algoritmi a lagrangiane per la minimizzazione di funzioni non lineari con vincoli non lineari",quaderni IAC,Serie III,n.49,Roma.