marco maggis – curriculum vitae · ˝ . ... title an adaptive version of the robbins-monro...

Marco MaggisCurriculum Vitae

Personal InformationBorn Vimercate 2 January 1983

Address Via Belvedere 2, Bernareggio (MB), Italy 20881Married with Laura in 2008, five children (Caterina, Chiara, Giuseppe, Giacomo, Agnese)

Education1997–2002 Diploma Liceo Scientifico, Istituto Sacro Cuore Milano, 100/100.2000–2001 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.

2004 Fifth year Diploma in Piano, Conservatorio di Brescia, Privatista, 7/10.2002–2005 Bachelor in Mathematics, Università degli Studi di Milano, 109/110.2005–2007 Master in Mathematics, Università degli Studi di Milano, 110/110 cum laude.

Curriculum: Probability Theory, Stochastic Processes and Financial Applications.2007–2010 PhD in Mathematics and Statistics for Computational Sciences, Università

degli Studi di Milano, Excellent (highest honor).

Academic Positions2011–2012 Post Doc, Department of Economics, Management e Quantitative Methods, Uni-

versity of Milan.2012–2015 Assistant Professor (Ricercatore Tempo Determinato A), Department of

Mathematics, SECS-S/06, UniMi.From

1/03/2016Assistant Professor, tenure track (Ricercatore Tempo Determinato B), De-partment of Mathematics, SECS-S/06, UniMi.

Other employmentsSept. 2007June 2008

High school professor, Liceo Classico Sacro Cuore, Milan, Subjects: Mathematicsand Physics, Classes: II-III Liceo.

Febr. 2011June 2011

High school professor, Liceo Classico Sacro Cuore, Milan, Subjects: Mathematicsand Physics, Classes: IV-V Ginnasio and I-II-III Liceo.

Via Belvedere 2 – Bernareggio (MB), Italy 20881T (+39) 0250316120 • B [email protected]

Í www.mat.unimi.it/users/mmaggis/ 1/11

mailto:[email protected]

http://www.mat.unimi.it/users/mmaggis/

Research interestsMathematics:, Measure Theory, Probability Theory, Stochastic Calculus, Func-tional/Convex Analysis, Topological L0-modules.Mathematical Finance:, Static and Dynamic Risk Measures, Utility Theory indynamic frameworks, No Arbitrage Theory under Model Uncertainty.

Publications2018 M. Maggis, T. Meyer-Brandis and G. Svindland, The Fatou Closedness under Model

Uncertainty, Positivity, forthcoming.2018 M. Frittelli and M. Maggis, Disentangling Price Risk and Model Risk: P & R

Measures, Math. Fin. Econ., Vol. 12(2), 219-247.2017 M. Burzoni, M.Frittelli and M. Maggis, Model-free superhedging duality,Ann. Appl.

Prob., Vol. 27, 1452-1477.2016 M. Burzoni, M.Frittelli and M. Maggis, Universal Arbitrage Aggregator in Discrete

Time Markets under Uncertainty, Finance & Stoch., Vol. 20(1), 1-50.2014 M. Frittelli and M. Maggis, Conditional evenly convex sets and evenly convex maps,

J. Math. An. Appl., Vol. 413(1), 169-184.2014 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), 103-128.2014 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), 442-463.2013 M. Maggis, The dynamics of Risk beyond convexity, Bollettino U.M.I., Serie IX, Vol.

6(2), 441-457.2012 D. La Torre and M. Maggis, A Goal Programming Model with Satisfaction Function

for Risk Management and Optimal Portfolio Diversification, INFOR, Vol. 50(3),117-126.

2011 M. Frittelli and M. Maggis, Conditional Certainty Equivalent, Int. J. Theor. Appl.Fin., Vol. 14(1) pp 41-59.

2011 M. Frittelli and M. Maggis, Dual representation of quasiconvex conditional maps,SIAM J. Fin. Math., Vol 2 pp 357-382.

Preprints2018 M. Maggis, Stochastic Dynamic Utilities and Inter-Temporal Preferences2017 M. Burzoni, M. Frittelli, Z. Hou, M. Maggis, J. Obloj, Pointwise Arbitrage Pricing

Theory in discrete time





PhD ThesisSubject Dual representation of quasiconvex conditional maps, Conditional Risk Measures,

Stochastic Dynamic Utilities and L0-modules topological structures.Supervisor Professor Marco FrittelliReference M. Maggis, On quasiconvex conditional maps. Duality results and applications to

Finance, Ledizioni, Math. Sciences Series, Vol. 4

Masters ThesisTitle Rappresentazione di Misure di Rischio convesse su reticoli di Banach

Supervisor Professor Marco Frittelli

Presentations? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Invited speaker? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Marseille Looking Forward a Forward Looking approach to the theory of rational choice, CIRMAdvances in Stochastic Analysis for Risk Modeling, November 2017.

L’Aquila Arbitrage and Probability, I Gran Sasso Workshop in Mathematical Finance, Septem-ber 2017.

Munich The Fatou closedness under Model Uncertainty, Mini Worskhop on Model Uncertainty,June 2017.

Torino Pointwise Arbitrage Pricing Theory in discrete time, First Italian Meeting on Proba-bility and Mathematical Statistics, June 2017.

Paris Disentangling Price Risk and Model Risk, Model Validation Seminar @Institute LuisBachelier, June 2017.

Zurich The Fatou closedness under Model Uncertainty, Young Researchers in RobustMathematical Finance, April 2017.

Zurich Pointwise Arbitrage Pricing Theory in discrete time, Workshop on Pricing-HedgingDuality (in financial markets), March 2017.

London Arbitrage Theory without a Reference Probability: challenges of the model indepen-dent approach (Seminar @UCL), November 2015.

Milan Arbitrage Theory without a Reference Probability: challenges of the model indepen-dent approach (Seminar @PoliMi), July 2015.

Chicago Robust Arbitrage under Model Uncertainty in discrete time (Mini-Symposium),SIAM Conference on Financial Mathematics, November 2014.

Munich Robust Arbitrage under Model Uncertainty in discrete time (Seminar @LMU), June2014.

.Paris Robust Arbitrage under Model Uncertainty in discrete time, Labex Louis Bachelier-

SIAM-SIMAI Conference on Financial Mathematics, June 2014.





Bologna Dualitá completa per misure di rischio dinamiche quasiconvesse su moduli di variabilialeatorie, (Conferenziere di Sessione), Congresso dell’Unione Matematica Italiana,September 2011.

Milan A module approach to conditional risk, Workshop on Mathematical Finance, Milan,April 2011.

San Francisco Conditional Certainty Equivalent (Mini-Symposium), SIAM Conference in FinancialMathematics and Engineering, November 2010.

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Contributed speaker? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Milano The Fatou closedness under Model Uncertainty, XVIII Workshop on QuantitativeFinance, January 2017.

Naples Arbitrage Theory without a Reference Probability: challenges of the model indepen-dent approach. The abstract was selected for the special session dedicated to B. DeFinetti at the RSA of the Società Italiana degli Economisti, October 2015.

Berlin Risk measures on P(R) and Value At Risk with Probability/Loss function, Youngresearchers Workshop, September 2012.

Sydney Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type,7th World Congress of the Bachelier Finance Society, June 2012.

Pescara Risk measures on P(R) and Value At Risk with Probability/Loss function, PRIN2008 Probability and Finance Congress, September 2012.

Paris On Quasiconvex Conditional Maps, Modelling and Managing Financial Risks, January2011.

Toronto Conditional Certainty Equivalent, 6th World Congress of the Bachelier FinanceSociety, June 2010

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Poster? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Oxford On Quasiconvex Conditional Maps, Workshop on Robust Techniques in QuantitativeFinance, March 2010.





Visiting foreign institutionsOxford June 2016, invited by prof. Jan OblojOxford January 2016, invited by prof. Jan OblojLMU From November 2015 to December 2015, invited by prof. Christof Rapp at the

Center for Advanced Studies, MunichLMU From October 2014 to February 2015, invited by prof. Francesca Biagini at the

Department of Mathematics, MunichUCSB From 5/03/2014 to 12/03/2014, invited by prof. J.P. Fouque at the Department of

Statistics and Applied Probability, Santa BarbaraETH From 29/01/2013 to 01/02/2013, invited by prof. W. Farkas at ETH, Zurich

Funding and grantsJanuary 2018 Finanziamento attivitá ricerca di base, MIUR. Grant: 3000 Euro

December2017

FONDI RETTORALI GIOVANI RICERCATORI. Project: Managing and AssessingModel Risk. Grant: 2500 Euro.

January 2017 FONDI RETTORALI GIOVANI RICERCATORI. Project: Duality methods forfinancial markets under model ambiguity. Grant: 2500 Euro.

March 2016 FONDI RETTORALI GIOVANI RICERCATORI. Project: Un approccio assiomaticoalla teoria delle preferenze intertemporali. Grant: 2200 Euro.

January 2016 First classified for the position of Ricercatore Tempo Determinato (tipo B) atPolitecnico di Milano

March 2015 Bando GNAMPA professore visitatore 2014: Invitation of prof. Emeritus FreddyDelbaen. Total amount: 700 Euro.

May 2014 FONDI RETTORALI GIOVANI RICERCATORI. Project: The impact of ModelUncertainty on financial market models. Grant: 3000 Euro.

May 2013 Principal Investigator, GNAMPA project: Funzionali Value&Risk nell’analisi diincertezza di modello. Grant: 2000 Euro.

July 2011 Winner of a 2+2 years Post Doc grant, UniMi, Department of Economics, Manage-ment and Quantitative Methods

June 2011 Winner of a one year Post Doc grant funded by SISAL2009 Member of the project PUR 2009 Analisi matematica e stocastica di modelli ap-

plicativi, coordinator prof. E. Rocca.2008 Member of the project PRIN 2008 Probability and Finance, coordinator prof. M.

FrittelliNov 2007 3 years PhD Grant, MASSC, University of Milan





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/SeminarsInvited Session, Organizer of a session on Stochastic control and optimization inFinance, 14th Viennese Conference on Optimal Control and Dynamic Games, Vienna(July 2018).Workshop on Model Uncertainty and Robust Finance, Member of the organiz-ing and scientific committee, Milano 15-16 March 2018.Workshop on Model Uncertainty and Robust Finance, Member of the organiz-ing and scientific committee, Milano 10-11 November 2016.De Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Eco-nomics 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 January2015.Minisymposia, Organizer of two minisymposia on Dynamic Risk and PerformanceMeasures and related fields, SIAM Conference on Financial Mathematics and Engi-neering, Chicago (November 2014).

Other Academic dutiesCollegio Docenti Dottorato, Member since 2014 , PhD programme in Mathemat-ics, University of Milan.Centro per l’orientamento allo studio e alle professioni(COSP), Faculty mem-ber since 2015.

LanguagesItalian MothertongueEnglish Certificate in Advanced English Conversationally fluent





Courses? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Master Level? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

from 2016 Lecturer, UniMi, MilanTitle Finanza Matematica 2. Master in Mathematics

Programme:{ Continuous time stochastic financial models{ Dynamic optimization

2014 Temporary Lecturer, LMU, MunichTitle Stochastic Analysis: Advanced Topics. Master in Mathematics.

Programme:{ Stochastic Control{ BSDEs and Dynamic Risk Measures

2014 Lecturer, UniMi, MilanTitle Argomenti Avanzati di Finanza Matematica. Master in Mathematics.

Programme:{ Stochastic Control

2014 Lecturer, UniMi, MilanTitle Finanza Matematica 1. Master in Mathematics

Programme:{ Discrete and continuous time stochastic financial models{ No Arbitrage Theory

2013 to 2017 Temporary Lecturer, UniTo and Collegio Carlo Alberto, TurinTitle Probabilistic Methods for Finance. Master of Finance and Insurance.

Programme:{ 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, TurinTitle Probabilistic Methods for Finance. Master of Finance and Insurance.

Programme:{ Measure theory, abstract integration, conditioning{ Discrete and continuous time stochastic processes{ Stochastic integration





2011,2012 Teaching Assistant (prof. D. La Torre), UniMi, MilanTitle Mathematics. Master in Political Sciences.

Programme:{ Static and dynamic optimization

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Bachelor level? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

from 2017 Lecturer, UniMi, MilanTitle Istituzioni di Matematicche e Statistica. 1st year, Natural Sciences.

Programme:{ General descriptive and inferential Statistics

2012 to 2015 Lecturer, UniMi, MilanTitle Laboratorio di Matematica e Statistica. 1st year, Biology.


2010, 2011 Teaching Assistant (prof. C. Tommasi), UniMi, MilanTitle Statistica. 1st year Political Sciences.


2010 Temporary Lecturer and Teaching Assistant (prof. M. Marinacci), BocconiUniversity, Milan

Title Matematica Generale. 1st year Economics.Programme:{ Linear Algebra{ Calculus





Masters Thesis SupervisionStudent Cristina Pozzi (July 2013). Final score: 110/110.

Title A mathematical model-free approach to forecast market risks.Role Supervisor (Co-advisor: prof. Giacomo Aletti)

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Student Andrea Ferravante (October 2013). Final score: 106/110.Title Option pricing in incomplete markets: an L0 module approach.Role Supervisor

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Student Erica Salvi (December 2013). Final score: 110/110 cum laude.Title Systemic Risk and the contagion effects of banking crises.Role Supervisor

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Student Jie Hu (December 2013). Final score: 86/110.Title Fundamental theorems of asset pricing under ambiguity.Role Supervisor

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Student Giuditta Formenti (February 2014). Final score: 110/110.Title Model uncertainty and the superreplication price in discrete time models.Role Supervisor

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Student Fabio Scannavini (April 2014). Final score: 110/110.Title Super quantile regression: teoria ed applicazioni.Role Internal Supervisor (External supervisor: prof. Fabio Bellini, UniMiB)

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Student Giacomo Landoni(July 2014). Final score: 108/110.Title Robust portfolio optimization in markets subject to discontinuous returs.Role Internal Supervisor (External supervisor: prof. Giorgio Consigli, UniBergamo)

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Student Andrea Ricciardi (July 2014). Final score: 110/110 cum laude.Title Optimal investment-consumption over random time horizon.Role Co-advisor (Supervisor: doct. Salvatore Federico)

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Student Francesco Re (September 2014). Final score: 110/110 cum laude.Title Systemic Risk and Stochastic Control.Role Supervisor

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Student Alessandro Zanatta (October 2014). Final score: 110/110.Title Optimal weighted distributions and applications to financial time series.Role Supervisor

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Student Andrea Angiuli (February 2015). Final score: 108/110.Title An adaptive version of the Robbins-Monro algorithm for the approximation of

Backward Stochastic Differential Equations with Least Squares Regression.Role Internal Supervisor (External supervisor: doct. Plamen Turkedjiev, Ecole Polytech-

nique, Paris)? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ? ?

Student Davide Sciarra (September 2015). Final score: 110/100 cum laude.Title Risk measures generated by g-expectations: a Functional Ito Calculus approach.Role Supervisor

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Student Arianna Zanotti (October 2015). Final score: 109/110.Title Bounding Systemic Risk under dependence uncertainty.Role Supervisor

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Student Federica Morandi (October 2015). Final score: 110/100 cum laude.Title Optimal investment in defaultable securities.Role Internal Supervisor (External supervisor: prof. Frank Seifreid, University of Trier)

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Student Federica Tonolini (February 2016). Final score: 110/100 cum laude.Title Interest rate modelling after the financal crisis .Role Co-Supervisor (Supervisor: prof. G. Aletti, UniMi)

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Student Maristella Addante (December 2016). Final score: 110/110.Title A general framework for market models under transaction costs.Role Supervisor

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Student Mauro Crippa (April 2017).Title On Supervision of Mortality models: an application to life insuranceRole Supervisor (internship at Reinsurance Group of America)

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Student Alice Rinaldi (April 2017).Title On Time Consistent Dynamic Risk MeasuresRole Supervisor

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Student Alice Del Vecchio (July 2017).Title Forward Inter-Temporal PreferencesRole Supervisor

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Student Laura Zanotelli (September 2017).Title Robustezza di Misure di Rischio invarianti in leggeRole Supervisor

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Student Chiara Reali (February 2018).Title An analysis of viability and arbitrage under Knightian UncertaintyRole Supervisor

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Student Giacomo Brandolini (April 2018).Title Arbitrage and Acceptability: an extension beyond the classical caseRole Internal Supervisor (external supervisor: prof. C.A. Munari, Zurich)

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Student Stefano Checchi (April 2018).Title Signaling GamesRole Internal Supervisor (external supervisor: prof. A. Pinto, Porto)

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Student Vittoria Colombo (April 2018).Title On the detection of market abuse phenomenaRole Supervisor (internship EVERIS)

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marco maggis – curriculum vitae · ˝ . ... title an adaptive version of the robbins-monro...

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