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Capponi, Agostino


 SSRN Author Rank: 9,078 by Downloads
 Assistant Professor
 

Columbia University


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

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. Capponi, Agostino's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
3,146
Total
Citations
39
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
1,000
(12,192)
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
420
(41,092)
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
403
(43,278)
12

4.   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
219
(86,312)
 

5.  
Bo, Lijun
Xidian University
Capponi, Agostino
Columbia University
Posted:
20 Oct 13
Last Revised:
14 Feb 14
182
(103,359)
 

6.  
Capponi, Agostino
Columbia University
Chen, Peng-Chu
Purdue University
Posted:
16 Jul 13
130
(138,543)
 

7.  
Pricing and Mitigation of Counterparty Credit Exposures | Show Abstract | Download This Paper |
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
123
(144,722)
2

8.  
Bo, Lijun
Xidian University
Capponi, Agostino
Columbia University
Posted:
16 Jul 13
Last Revised:
05 Aug 13
116
(151,268)
 

9.  
Pricing Vulnerable Claims in a Lévy Driven Model | Show Abstract | Download This Paper |
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
109
(158,335)
1

10.   Incl. Electronic Paper
Capponi, Agostino
Columbia University
Larsson, Martin
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
04 Aug 11
Last Revised:
17 Jan 15
90
(180,702)
 

11.  
Dynamic Credit Investment in Partially Observed Markets | Show Abstract | Download This Paper |
Finance Stochastics, Forthcoming
Number of Pages in PDF File: 38
Capponi, Agostino
Columbia University
Figueroa-Lopez, Jose E.
Purdue University
Pascucci, Andrea
University of Bologna - Department of Mathematics
Posted:
02 Jun 14
71
(208,553)
 

12.  
Capponi, Agostino
Columbia University
Cheng, Wan-Schwin Allen
Johns Hopkins University - Department of Applied Mathematics and Statistics
Rajan, Sriram
Government of the United States of America - Office of Financial Research
Posted:
26 Dec 14
Last Revised:
23 Mar 15
63
(232,093)
 

13.  
Capponi, Agostino
Columbia University
Chen, Peng-Chu
Purdue University
Yao, David D.
Columbia University
Posted:
02 Nov 14
Last Revised:
23 Mar 15
61
(226,252)
 

14.  
Will Banning Naked CDS Impact Bond Prices? | Show Abstract | Download This Paper |
Forthcoming in Annals of Finance
Number of Pages in PDF File: 32
Capponi, Agostino
Columbia University
Larsson, Martin
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Posted:
15 Aug 13
61
(226,252)
 

15.  
Bichuch, Maxim
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Capponi, Agostino
Columbia University
Sturm, Stephan
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Posted:
24 Jan 15
Last Revised:
28 Feb 15
56
(236,140)
 

16.  
Bichuch, Maxim
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Capponi, Agostino
Columbia University
Sturm, Stephan
Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Posted:
23 Feb 15
26
(316,234)
 

17.  
Capponi, Agostino
Columbia University
Frei, Christoph
University of Alberta
Posted:
31 Jan 15
16
(358,615)
 

18.  
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
(440,674)
 

19.  
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
(440,674)
 

20.  
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
(440,674)
4


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