Agostino Capponi

Columbia University

Assistant Professor

S. W. Mudd Building

New York, NY 10027

United States

SCHOLARLY PAPERS

48

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CITATIONS
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38

Scholarly Papers (48)

1.

Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps

Number of pages: 32 Posted: 19 Dec 2008 Last Revised: 19 Nov 2009
Damiano Brigo and Agostino Capponi
Imperial College London - Department of Mathematics and Columbia University
Downloads 1,147 (17,268)
Citation 26

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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Credit Default Swaps, Contingent Credit Default Swaps, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Copula Functions, Wrong Way Risk

2.

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Number of pages: 39 Posted: 20 Jan 2011
Imperial College London - Department of Mathematics, Columbia University, Banca IMI and Barclays Capital
Downloads 571 (45,962)
Citation 33

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Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models

3.

Credit Default Swaps Liquidity Modeling: A Survey

Number of pages: 36 Posted: 05 Mar 2010 Last Revised: 12 Sep 2011
Damiano Brigo, Mirela Predescu and Agostino Capponi
Imperial College London - Department of Mathematics, BNP Paribas, London and Columbia University
Downloads 498 (54,625)
Citation 3

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Credit Default Swaps, Liquidity spread, Liquidity Premium, Credit Liquidity correlation, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis

Intraday Market Making with Overnight Inventory Costs

Number of pages: 48 Posted: 29 Sep 2016 Last Revised: 25 Mar 2019
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 367 (78,369)
Citation 1

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inventory control, jump-driven stochastic control, market microstructure theory, market making

Intraday Market Making with Overnight Inventory Costs

FRB of NY Staff Report No. 799
Number of pages: 50 Posted: 25 Oct 2016
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
Downloads 107 (250,335)

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market microstructure, market liquidity, high-frequency trading, financial intermediation

Intraday Market Making with Overnight Inventory Costs

CEPR Discussion Paper No. DP12245
Number of pages: 56 Posted: 29 Aug 2017
Tobias Adrian, Agostino Capponi, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability

Columbia Business School Research Paper No. 17-45
Number of pages: 47 Posted: 14 Apr 2017 Last Revised: 21 Sep 2018
Benjamin Bernard, Agostino Capponi and Joseph E. Stiglitz
University of California, Los Angeles (UCLA) - Department of Economics, Columbia University and Columbia Business School - Finance and Economics
Downloads 439 (63,298)
Citation 1

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Systemic Risk, Bail-Ins, Bail-Outs, Credibility, Financial Stability

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability

NBER Working Paper No. w23747
Number of pages: 49 Posted: 06 Sep 2017
Benjamin Bernard, Agostino Capponi and Joseph E. Stiglitz
University of California, Los Angeles (UCLA) - Department of Economics, Columbia University and Columbia Business School - Finance and Economics
Downloads 15 (562,038)
Citation 1

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6.

Firm Capital Dynamics in Centrally Cleared Markets

Number of pages: 43 Posted: 26 Dec 2014 Last Revised: 14 Sep 2018
Agostino Capponi, W. Cheng and Sriram Rajan
Columbia University, AQR Capital Management, LLC and Government of the United States of America - Office of Financial Research
Downloads 392 (73,185)
Citation 4

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Central clearing, Financial institutions, Firm capital dynamics, Bilateral CDS exposures

7.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Agostino Capponi, Peng-Chu Chen and David Yao
Columbia University, The University of Hong Kong and Columbia University
Downloads 331 (88,990)
Citation 6

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systemic risk, financial network, interbank liabilities, majorization

8.

Clearinghouse Margin Requirements

Operations Research, Forthcoming
Number of pages: 70 Posted: 05 Oct 2015 Last Revised: 30 Jan 2018
Agostino Capponi and W. Cheng
Columbia University and AQR Capital Management, LLC
Downloads 318 (92,993)
Citation 1

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Margin requirements, central clearing, credit risk, market risk

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance. Forthcoming
Number of pages: 39 Posted: 20 Oct 2013 Last Revised: 14 Feb 2014
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Downloads 309 (95,445)

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Credit Default Swaps, Contagion Risk, Interacting Default Intensities, Dynamic Portfolio Optimization

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Number of pages: 50 Posted: 20 Sep 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Downloads 0
Citation 8
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dynamic portfolio optimization, credit default swaps, contagion risk, interacting default intensities

10.

Systemic Risk Mitigation in Financial Networks

Forthcoming in Journal of Economic Dynamics and Control
Number of pages: 38 Posted: 16 Jul 2013 Last Revised: 05 Jun 2016
Agostino Capponi and Peng-Chu Chen
Columbia University and The University of Hong Kong
Downloads 269 (111,343)
Citation 13

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Systemic risk, mitigation strategies, clearing payments, financial networks

11.

Arbitrage-Free Pricing of XVA - Part I: Framework and Explicit Examples

Number of pages: 35 Posted: 24 Jan 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 268 (111,777)
Citation 3

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XVA, counterparty credit risk, funding spreads, backward stochastic differential equations, arbitrage-free pricing, valuation adjustment

12.

Price Contagion Through Balance Sheet Linkages

Forthcoming in Review of Asset Pricing Studies
Number of pages: 26 Posted: 07 Jun 2015 Last Revised: 15 Jun 2015
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 265 (113,077)
Citation 6

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systemic risk, price linkages, network stability, deleveraging

13.

Pricing and Mitigation of Counterparty Credit Exposures

Handbook of Systemic Risk, edited by J.-P. Fouque and J.Langsam. Cambridge University Press, 2012
Number of pages: 21 Posted: 12 Feb 2013
Agostino Capponi
Columbia University
Downloads 246 (122,085)
Citation 5

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counterparty risk, systemic risk, default contagion, credit valuation adjustment

14.

Risk Sensitive Asset Management and Cascading Defaults

Forthcoming, Mathematics of Operations Research
Number of pages: 35 Posted: 20 Apr 2016 Last Revised: 22 Feb 2017
John R. Birge, Lijun Bo and Agostino Capponi
University of Chicago - Booth School of Business, University of Science and Technology of China (USTC) and Columbia University
Downloads 232 (129,570)
Citation 1

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risk-sensitive control, cascading defaults, contagion, asset management

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, 2009
Number of pages: 29 Posted: 19 Dec 2008 Last Revised: 08 Feb 2009
Agostino Capponi and Jaksa Cvitanic
Columbia University and California Institute of Technology - Division of the Humanities and Social Sciences
Downloads 231 (129,603)

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat

Credit Risk Modeling with Misreporting and Incomplete Information

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 83-112, 2009
Posted: 02 Dec 2009
Agostino Capponi and Jaksa Cvitanic
Columbia University and California Institute of Technology - Division of the Humanities and Social Sciences

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Credit risk, incomplete information, calibration, nonlinear filtering, Parmalat, structural models

16.

Clearinghouse Default Waterfalls: Risk-Sharing, Incentives, and Systemic Risk

Number of pages: 39 Posted: 09 Mar 2017 Last Revised: 31 Aug 2017
Agostino Capponi, W. Cheng and Jay Sethuraman
Columbia University, AQR Capital Management, LLC and Columbia University
Downloads 196 (152,107)
Citation 1

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clearinghouses, risk-sharing, funding costs, default waterfall

17.

Robust Optimization of Credit Portfolios

Mathematics of Operations Research, Forthcoming
Number of pages: 29 Posted: 18 Jan 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 191 (155,786)
Citation 2

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18.

Systemic Risk in Interbanking Networks

SIAM Journal on Financial Mathematics. Forthcoming
Number of pages: 30 Posted: 03 Apr 2015 Last Revised: 15 Feb 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 189 (157,239)
Citation 5

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Interacting jump diffusions, Interbanking lending, Weak convergence, Systemic indicators, Time varying square root diffusions

19.

Systemic Risk, Policies, and Data Needs

INFORMS Tutorials in Operations Research, Forthcoming
Number of pages: 23 Posted: 08 Jul 2016 Last Revised: 21 Jul 2016
Agostino Capponi
Columbia University
Downloads 181 (163,528)
Citation 2

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Systemic Risk, Policies, Counterparty Networks, Fire-Sales, Data Sharing

20.

The Collateral Rule: An Empirical Analysis of the CDS Market

Number of pages: 57 Posted: 14 Nov 2017
Agostino Capponi, W. Cheng, Stefano Giglio and Richard Haynes
Columbia University, AQR Capital Management, LLC, Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 179 (165,162)
Citation 3

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Collateral Requirements, Clearinghouse, Credit Default Swaps, Value at Risk

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 26 Sep 2015 Last Revised: 19 Oct 2017
Lijun Bo, Agostino Capponi and Peng-Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 173 (170,381)

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Fixed income investment, default decay, dynamic programming, parabolic PDEs

Credit Portfolio Selection with Decaying Contagion Intensities

Mathematical Finance, Vol. 29, Issue 1, pp. 137-173, 2019
Number of pages: 37 Posted: 11 Jan 2019
Lijun Bo, Agostino Capponi and Peng‐Chu Chen
University of Science and Technology of China (USTC), Columbia University and The University of Hong Kong
Downloads 1 (671,144)
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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs

22.

Pricing Vulnerable Claims in a Lévy Driven Model

Finance and Stochastics, Forthcoming
Number of pages: 45 Posted: 18 Nov 2012 Last Revised: 15 Feb 2014
Agostino Capponi, Stefano Pagliarani and Tiziano Vargiolu
Columbia University, DEAMS, Università di Trieste and University of Padua - Department of Pure and Applied Mathematics
Downloads 167 (175,590)
Citation 4

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default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function

23.

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios

Finance Stochastics, Forthcoming
Number of pages: 37 Posted: 16 Jul 2013 Last Revised: 05 Aug 2013
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Downloads 159 (183,084)
Citation 4

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Bilateral counterparty valuation adjustment, weak convergence, doubly stochastic processes, credit default swaps

24.

Large Orders in Small Markets: On Optimal Execution with Endogenous Liquidity Supply

Number of pages: 56 Posted: 06 Feb 2019 Last Revised: 13 Mar 2019
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University, VU Amsterdam and Columbia University
Downloads 155 (187,010)

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large orders, market making, liquidity supply, liquidity demand

25.

Systemic Influences on Optimal Equity-Credit Investment

Management Science, Forthcoming
Number of pages: 40 Posted: 31 Jan 2015 Last Revised: 08 Jan 2016
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 150 (192,234)
Citation 4

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systemic risk, credit risk, mixed equity-credit strategies, calibration

26.

A Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning

Mathematics of Operations Research. Forthcoming
Number of pages: 35 Posted: 30 Aug 2017 Last Revised: 21 Jun 2019
Agostino Capponi, Xu Sun and David Yao
Columbia University, Columbia University and Columbia University
Downloads 146 (196,496)
Citation 1

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Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics

27.

Arbitrage-Free Pricing of XVA – Part II: PDE Representation and Numerical Analysis

Number of pages: 18 Posted: 23 Feb 2015 Last Revised: 15 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 124 (223,659)
Citation 2

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XVA, counterparty credit risk, funding spreads, partial differential equations, viscosity and classical solutions

28.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-083
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 21 Feb 2019
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University and Board of Governors of the Federal Reserve System
Downloads 116 (235,080)

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Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities

29.

Pitfalls of Bitcoin’s Proof-of-Work: R&D Arms Race and Mining Centralization

Number of pages: 44 Posted: 02 Nov 2018 Last Revised: 01 Apr 2019
Humoud Alsabah and Agostino Capponi
Columbia University and Columbia University
Downloads 115 (236,554)

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Bitcoin, proof-of-work, mining, arms race, centralization

30.

Dynamic Credit Investment in Partially Observed Markets

Finance Stochastics, Forthcoming
Number of pages: 38 Posted: 02 Jun 2014
Agostino Capponi, Jose E. Figueroa-Lopez and Andrea Pascucci
Columbia University, Purdue University and University of Bologna - Department of Mathematics
Downloads 105 (252,269)
Citation 4

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Default risk, Hidden Markov Chain, Partial information, Filtering, Risk sensitive control

31.
Downloads 104 (253,886)
Citation 1

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 104 (255,451)

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contagion, systemic risk, default risk, equilibrium

Default and Systemic Risk in Equilibrium

Mathematical Finance, Vol. 25, Issue 1, pp. 51-76, 2015
Number of pages: 26 Posted: 17 Jan 2015
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 0
Citation 2
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default risk, systemic risk, equilibrium

32.
Downloads 96 (267,813)
Citation 3

Arbitrage-Free XVA

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 12 Aug 2016
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 95 (271,622)
Citation 1

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XVA, counterparty risk, asymmetric rates, collateralization

Arbitrage‐Free XVA

Mathematical Finance, Vol. 28, Issue 2, pp. 582-620, 2018
Number of pages: 39 Posted: 16 Mar 2018
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 1 (671,144)
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arbitrage‐free valuation, backward stochastic differential equations, counterparty credit risk, funding spreads, XVA

33.

Optimal Credit Investment with Borrowing Costs

Forthcoming in Mathematics of Operations Research
Number of pages: 36 Posted: 26 Aug 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 84 (291,396)

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borrowing costs, credit risk, optimal investment

34.

Will Banning Naked CDS Impact Bond Prices?

Forthcoming in Annals of Finance
Number of pages: 32 Posted: 15 Aug 2013
Agostino Capponi and Martin Larsson
Columbia University and ETH Zurich - Department of Mathematics
Downloads 78 (304,493)

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Partial Equilibrium, sovereign debt, credit default swaps, trading restrictions

35.

Swing Pricing for Mutual Funds: Breaking the Feedback Loop between Fire Sales and Fund Redemptions

Office of Financial Research Research Paper No. 18-04, Columbia Business School Research Paper No. 18-72
Number of pages: 56 Posted: 10 Sep 2018 Last Revised: 19 Mar 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University, Columbia Business School and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 76 (309,187)
Citation 1

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mutual funds, first-mover advantage, swing price, fire sales, financial stability

36.

Optimal Investment under Information Driven Contagious Distress

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 36 Posted: 21 Sep 2015 Last Revised: 19 Dec 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 68 (328,868)

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information driven contagion; stochastic control; Nonlinear filtering; Recursive HJB

37.

Systemic Portfolio Diversification

Number of pages: 30 Posted: 23 Mar 2019 Last Revised: 03 Jun 2019
Agostino Capponi and Marko Weber
Columbia University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 66 (334,145)

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systemic diversi cation, leverage, fire-sale externalities

38.

Robust XVA

Number of pages: 34 Posted: 27 Feb 2018 Last Revised: 21 Nov 2018
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 63 (342,321)

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robust XVA, counterparty credit risk, backward stochastic differential equation, arbitrage-free valuation

39.

Counterparty Risk for CDS: Default Clustering Effects

Journal of Banking and Finance, Vol. 52, pp. 29-42, February 2015
Number of pages: 25 Posted: 26 Feb 2016 Last Revised: 05 Mar 2016
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 55 (365,740)

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counterparty risk, credit default swap, default clustering

40.

Central Clearing and the Sizing of Default Funds

Number of pages: 59 Posted: 03 Dec 2018 Last Revised: 26 Apr 2019
Agostino Capponi, Jessie Jiaxu Wang and Hongzhong Zhang
Columbia University, Arizona State University (ASU) - W.P. Carey School of Business and Columbia University
Downloads 47 (391,885)

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Central counterparties (CCPs), default funds, loss mutualization, externality, financial stability

41.

Capital and Resolution Policies: The US Interbank Market

Journal of Financial Stability, Forthcoming
Number of pages: 35 Posted: 01 Sep 2014 Last Revised: 24 Apr 2016
Agostino Capponi, John Dooley, Mikhail V. Oet and Stephen J. Ong
Columbia University, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Case Western Reserve University - Weatherhead School of Management and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 39 (420,976)

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policies, countercyclical buffers, default resolution, interbank market, simulation

42.

Dynamic Contracting: Accidents Lead to Nonlinear Contracts

SIAM Journal of Financial Mathematics, Forthcoming
Number of pages: 28 Posted: 12 Aug 2015 Last Revised: 15 Aug 2015
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 38 (425,061)

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principal agent problems, optimal contracts, accident risk, moral hazard

43.

Multiregional Oligopoly with Capacity Constraints

Number of pages: 39 Posted: 03 Dec 2018 Last Revised: 23 Jan 2019
Columbia University, University of California, Los Angeles (UCLA) - Department of Economics, Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 34 (441,389)

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Cournot competition, oligopoly, networks, capacity constraints, non-cooperative games, consumer welfare

44.

Systemic Risk Driven Portfolio Selection

Number of pages: 40 Posted: 12 Jun 2019
Agostino Capponi and Alexey Rubtsov
Columbia University and Global Risk Institute
Downloads 31 (454,543)

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Systemic Risk, Portfolio Selection, Risk Management, Sharpe Ratios

45.

Portfolio Choice with Market-Credit Risk Dependencies

SIAM Journal on Control and Optimization, Forthcoming
Number of pages: 38 Posted: 27 Jun 2018
Lijun Bo and Agostino Capponi
University of Science and Technology of China (USTC) and Columbia University
Downloads 30 (459,184)

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investment/consumption problem, stochastic factors, martingale method

46.

Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching

Mathematical Finance, Vol. 24, Issue 2, pp. 207-249, 2014
Number of pages: 43 Posted: 06 Mar 2014
Agostino Capponi and José E. Figueroa‐López
Columbia University and Purdue University
Downloads 0 (657,341)
Citation 12
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dynamic portfolio optimization, credit risk, regime‐switching models, utility maximization, Hamilton–Jacobi–Bellman equations

47.

Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime‐Switching Markets

Mathematical Finance, Vol. 24, Issue 2, pp. 250-288, 2014
Number of pages: 39 Posted: 06 Mar 2014
Columbia University, Purdue University and Purdue University
Downloads 0 (657,341)
Citation 2
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credit risk, regime‐switching models, option pricing, vulnerable claims, semimartingale representations

48.

Arbitrage‐Free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps

Mathematical Finance, Vol. 24, Issue 1, pp. 125-146, 2014
Number of pages: 22 Posted: 13 Dec 2013
Damiano Brigo, Agostino Capponi and Andrea Pallavicini
Imperial College London - Department of Mathematics, Columbia University and Banca IMI
Downloads 0 (657,341)
Citation 37
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counterparty risk, CVA, bilateral CVA, arbitrage‐free credit valuation adjustment, credit default swaps, credit spread volatility, default correlation, contagion, stochastic intensity, collateral margining, netting, rehypotecation, wrong way risk