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Agostino Capponi

SSRN Author Rank: 6,304 by Downloads and 11,500 by Citations

 Assistant Professor
 

Columbia University


 S. W. Mudd Building
 New York, NY 10027
 United States
 email address

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. Agostino Capponi's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
5,193
Total
Citations
35
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Posted:
19 Dec 08
Last Revised:
19 Nov 09
1,030
(13,609)
17

2.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Predescu, Mirela
BNP Paribas, London
Capponi, Agostino
Columbia University
Posted:
05 Mar 10
Last Revised:
12 Sep 11
434
(44,478)
3

3.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Papatheodorou, Vasileios
Barclays Capital
Posted:
20 Jan 11
422
(44,245)
8

4.   Incl. Electronic Paper
Bo, Lijun
Xidian University
Capponi, Agostino
Columbia University
Posted:
20 Oct 13
Last Revised:
20 Sep 16
258
(88,241)
 

5.  
Capponi, Agostino
Columbia University
Chen, Peng-Chu
Purdue University
Yao, David D.
Columbia University
Posted:
05 Jun 16
241
(94,872)
 

6.   Incl. Electronic Paper
Capponi, Agostino
Columbia University
Cvitanic, Jaksa
California Institute of Technology - Division of the Humanities and Social Sciences
Posted:
19 Dec 08
Last Revised:
14 Feb 10
225
(101,742)
 

7.  
Capponi, Agostino
Columbia University
Cheng, W. Allen
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Rajan, Sriram
Government of the United States of America - Office of Financial Research
Posted:
26 Dec 14
Last Revised:
23 May 16
161
(77,344)
 

8.  
Systemic Risk Mitigation in Financial Networks | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Journal of Economic Dynamics and Control
Number of Pages in PDF File: 38
Capponi, Agostino
Columbia University
Chen, Peng-Chu
Purdue University
Posted:
16 Jul 13
Last Revised:
05 Jun 16
155
(116,921)
 

9.  
Pricing and Mitigation of Counterparty Credit Exposures | Show Abstract | Download This Paper | Open PDF in Browser |
Handbook of Systemic Risk, edited by J.-P. Fouque and J.Langsam. Cambridge University Press, 2012
Number of Pages in PDF File: 21
Capponi, Agostino
Columbia University
Posted:
12 Feb 13
136
(133,350)
2

10.  
Pricing Vulnerable Claims in a Lévy Driven Model | Show Abstract | Download This Paper | Open PDF in Browser |
Finance and Stochastics, Forthcoming
Number of Pages in PDF File: 45
Capponi, Agostino
Columbia University
Pagliarani, Stefano
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Vargiolu, Tiziano
University of Padua - Department of Pure and Applied Mathematics
Posted:
18 Nov 12
Last Revised:
15 Feb 14
127
(146,887)
1

11.  
Bo, Lijun
Xidian University
Capponi, Agostino
Columbia University
Posted:
16 Jul 13
Last Revised:
05 Aug 13
123
(159,241)
 

12.  
Bichuch, Maxim
Johns Hopkins University
Capponi, Agostino
Columbia University
Sturm, Stephan
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Posted:
24 Jan 15
Last Revised:
15 Aug 16
119
(119,119)
 

13.   Incl. Electronic Paper
Capponi, Agostino
Columbia University
Larsson, Martin
ETH Zurich - Department of Mathematics
Posted:
04 Aug 11
Last Revised:
17 Jan 15
99
(202,655)
 

14.  
Capponi, Agostino
Columbia University
Figueroa-Lopez, Jose E.
Purdue University
Pascucci, Andrea
University of Bologna - Department of Mathematics
Posted:
02 Jun 14
85
(201,264)
 

15.  
Systemic Risk in Interbanking Networks | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics. Forthcoming
Number of Pages in PDF File: 30
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
03 Apr 15
Last Revised:
15 Feb 16
72
(172,078)
 

16.  
Will Banning Naked CDS Impact Bond Prices? | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Annals of Finance
Number of Pages in PDF File: 32
Capponi, Agostino
Columbia University
Larsson, Martin
ETH Zurich - Department of Mathematics
Posted:
15 Aug 13
68
(248,487)
 

17.  
Price Contagion Through Balance Sheet Linkages | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Review of Asset Pricing Studies
Number of Pages in PDF File: 26
Capponi, Agostino
Columbia University
Larsson, Martin
ETH Zurich - Department of Mathematics
Posted:
07 Jun 15
Last Revised:
15 Jun 15
65
(136,912)
 

18.  
Bichuch, Maxim
Johns Hopkins University
Capponi, Agostino
Columbia University
Sturm, Stephan
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Posted:
23 Feb 15
Last Revised:
15 Aug 16
44
(220,367)
 

19.  
Capponi, Agostino
Columbia University
Frei, Christoph
University of Alberta
Posted:
31 Jan 15
Last Revised:
08 Jan 16
27
(194,403)
 

20.  
Dynamic Contracting: Accidents Lead to Nonlinear Contracts | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal of Financial Mathematics, Forthcoming
Number of Pages in PDF File: 28
Capponi, Agostino
Columbia University
Frei, Christoph
University of Alberta
Posted:
12 Aug 15
Last Revised:
15 Aug 15
13
(357,758)
 

21.  
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
21 Sep 15
Last Revised:
15 Feb 16
8
(365,741)
 

22.  
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
26 Sep 15
Last Revised:
15 Feb 16
4
(353,929)
 

23.  
Adrian, Tobias
Federal Reserve Bank of New York
Capponi, Agostino
Columbia University
Vogt, Erik
Federal Reserve Bank of New York
Zhang, Hongzhong
Columbia University
Posted:
29 Sep 16
0
(361,727)
 

24.  
Optimal Credit Investment with Borrowing Costs | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Mathematics of Operations Research
Number of Pages in PDF File: 36
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
26 Aug 16
0
(432,166)
 

25.  
Arbitrage-Free XVA | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Mathematical Finance
Number of Pages in PDF File: 39
Bichuch, Maxim
Johns Hopkins University
Capponi, Agostino
Columbia University
Sturm, Stephan
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Posted:
12 Aug 16
0
(407,409)
 

26.  
Systemic Risk, Policies, and Data Needs | Show Abstract | Download This Paper | Open PDF in Browser |
INFORMS Tutorials in Operations Research, Forthcoming
Number of Pages in PDF File: 23
Capponi, Agostino
Columbia University
Posted:
08 Jul 16
Last Revised:
21 Jul 16
0
(258,565)
 

27.  
Birge, John R.
University of Chicago - Booth School of Business
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
20 Apr 16
0
(303,800)
 

28.  
Counterparty Risk for CDS: Default Clustering Effects | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance, Vol. 52, pp. 29-42, February 2015
Number of Pages in PDF File: 25
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
26 Feb 16
Last Revised:
05 Mar 16
0
(369,741)
 

29.  
Robust Optimization of Credit Portfolios | Show Abstract | Download This Paper | Open PDF in Browser |
Mathematics of Operations Research, Forthcoming
Number of Pages in PDF File: 29
Bo, Lijun
University of Science and Technology of China (USTC)
Capponi, Agostino
Columbia University
Posted:
18 Jan 16
0
(165,987)
 

30.  
Capponi, Agostino
Columbia University
Cheng, W. Allen
Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Posted:
05 Oct 15
Last Revised:
26 Aug 16
0
(174,246)
 

31.  
Capital and Resolution Policies: The US Interbank Market | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial Stability, Forthcoming
Number of Pages in PDF File: 35
Capponi, Agostino
Columbia University
Dooley, John M.
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Oet, Mikhail V.
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Ong, Stephen J.
Federal Reserve Banks - Federal Reserve Bank of Cleveland
Posted:
01 Sep 14
Last Revised:
24 Apr 16
0
(407,409)
 

32.  
Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 24, Issue 2, pp. 207-249, 2014
Number of Pages in PDF File: 43
Capponi, Agostino
Columbia University
Figueroa‐López, José E.
Purdue University
Posted:
06 Mar 14
0
(513,829)
 

33.  
Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime‐Switching Markets | Show Abstract | Add to Cart |
Mathematical Finance, Vol. 24, Issue 2, pp. 250-288, 2014
Number of Pages in PDF File: 39
Capponi, Agostino
Columbia University
Figueroa‐López, José E.
Purdue University
Nisen, Jeffrey
Purdue University
Posted:
06 Mar 14
0
(513,829)
 

34.  
Brigo, Damiano
Imperial College London - Department of Mathematics
Capponi, Agostino
Columbia University
Pallavicini, Andrea
Imperial College London - Department of Mathematics
Posted:
13 Dec 13
0
(513,829)
4


Records 1 - 34 of 34 matches
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