Agostino Capponi

Columbia University

Assistant Professor

S. W. Mudd Building

New York, NY 10027

United States

  • Columbia University

SCHOLARLY PAPERS

50

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SSRN CITATIONS
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Top 4,371

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46

CROSSREF CITATIONS

202

Scholarly Papers (50)

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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 1,160 (17,953)
Citation 59

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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
Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Columbia University, Banca IMI and Barclays Capital
Downloads 591 (46,342)
Citation 37

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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.

Intraday Market Making with Overnight Inventory Costs

Downloads 503 ( 56,878)
Citation 3

Intraday Market Making with Overnight Inventory Costs

Number of pages: 56 Posted: 29 Sep 2016 Last Revised: 14 Nov 2019
Tobias Adrian, Agostino Capponi, Michael J. Fleming, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 389 (76,937)
Citation 3

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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: 57 Posted: 25 Oct 2016
Tobias Adrian, Agostino Capponi, Michael J. Fleming, Erik Vogt and Hongzhong Zhang
International Monetary Fund, Columbia University, Federal Reserve Bank of New York, Citadel LLC and Columbia University
Downloads 114 (250,594)

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

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, Citadel LLC and Columbia University
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Financial Intermediation, market liquidity, market making, Market microstructure theory

4.

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 502 (57,020)
Citation 5

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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

5.

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

Downloads 485 ( 59,551)
Citation 1

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

Columbia Business School Research Paper No. 17-45
Number of pages: 52 Posted: 14 Apr 2017 Last Revised: 02 Oct 2019
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 468 (61,569)

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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: 54 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 17 (576,482)

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6.

Firm Capital Dynamics in Centrally Cleared Markets

Mathematical Finance, Forthcoming
Number of pages: 41 Posted: 26 Dec 2014 Last Revised: 22 Aug 2019
Agostino Capponi, W. Cheng and Sriram Rajan
Columbia University, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Government of the United States of America - Office of Financial Research
Downloads 412 (72,663)
Citation 6

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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 346 (88,903)
Citation 4

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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 Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 331 (93,402)
Citation 1

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Margin requirements, central clearing, credit risk, market risk

9.

Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk

Downloads 313 ( 99,413)
Citation 9

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 313 (98,840)
Citation 2

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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
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Citation 1
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dynamic portfolio optimization, credit default swaps, contagion risk, interacting default intensities

10.

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

Number of pages: 62 Posted: 06 Feb 2019 Last Revised: 31 Oct 2019
Agostino Capponi, Albert J. Menkveld and Hongzhong Zhang
Columbia University, VU Amsterdam and Columbia University
Downloads 296 (106,362)

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large orders, market making, liquidity supply, liquidity demand

11.

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 281 (111,592)
Citation 5

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Systemic risk, mitigation strategies, clearing payments, financial networks

12.

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 275 (114,240)
Citation 4

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

13.

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 Zürich - Department of Mathematics
Downloads 270 (116,393)

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systemic risk, price linkages, network stability, deleveraging

14.

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 254 (124,158)

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

15.

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 242 (130,388)

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

16.

Credit Risk Modeling with Misreporting and Incomplete Information

Downloads 233 (135,381)

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 233 (134,886)

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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

17.

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, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Columbia University
Downloads 217 (145,036)
Citation 2

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clearinghouses, risk-sharing, funding costs, default waterfall

18.

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, Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Yale School of Management and Commodity Futures Trading Commission (CFTC)
Downloads 206 (152,325)
Citation 5

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

19.

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

Number of pages: 45 Posted: 02 Nov 2018 Last Revised: 22 Dec 2019
Humoud Alsabah and Agostino Capponi
Columbia University and Columbia University
Downloads 195 (161,076)

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

20.

Credit Portfolio Selection with Decaying Contagion Intensities

Downloads 194 (161,821)

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 193 (162,472)

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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 (703,156)
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decay of default intensities, dynamic programming, fixed‐income investment, parabolic PDEs

21.

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 193 (161,821)

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22.

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 192 (163,368)

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

23.

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 192 (162,557)

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

24.

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 Department of Mathematics
Downloads 172 (179,420)
Citation 2

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

25.

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, University of Florida and Columbia University
Downloads 167 (184,031)
Citation 2

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Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics

26.

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 160 (190,881)

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

27.

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 151 (200,363)
Citation 2

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

28.

Systemic Portfolio Diversification

Number of pages: 33 Posted: 23 Mar 2019 Last Revised: 07 Oct 2019
Agostino Capponi and Marko Weber
Columbia University and National University of Singapore (NUS) - Department of Mathematics
Downloads 139 (214,440)

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systemic diversification, leverage, fire-sale externalities, liquidity risk, illiquidity concentration

29.

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 129 (227,489)

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

30.

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 125 (233,023)
Citation 3

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

31.

Personalized Robo-Advising: Enhancing Investment through Client Interactions

Number of pages: 60 Posted: 06 Nov 2019
Agostino Capponi, Sveinn Olafsson and Thaleia Zariphopoulou
Columbia University, Columbia University and University of Texas at Austin - Red McCombs School of Business
Downloads 120 (241,705)

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robo-advising, Fintech, portfolio choice, adaptive control, regret, human-advisor

32.

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, Management Science, Forthcoming
Number of pages: 47 Posted: 10 Sep 2018 Last Revised: 20 Nov 2019
Agostino Capponi, Paul Glasserman and Marko Weber
Columbia University, Columbia Business School and National University of Singapore (NUS) - Department of Mathematics
Downloads 109 (259,042)
Citation 4

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

33.

Default and Systemic Risk in Equilibrium

Downloads 106 (262,496)
Citation 2

Default and Systemic Risk in Equilibrium

Number of pages: 27 Posted: 04 Aug 2011
Agostino Capponi and Martin Larsson
Columbia University and ETH Zürich - Department of Mathematics
Downloads 106 (263,998)

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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 Zürich - Department of Mathematics
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default risk, systemic risk, equilibrium

34.

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 (264,196)

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

35.

Arbitrage-Free XVA

Downloads 102 (269,531)
Citation 5

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 101 (273,086)

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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 (703,156)
Citation 5
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arbitrage‐free valuation, backward stochastic differential equations, counterparty credit risk, funding spreads, XVA

36.

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 92 (290,397)

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Systemic Risk, Portfolio Selection, Risk Management, Sharpe Ratios

37.

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 87 (298,637)

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borrowing costs, credit risk, optimal investment

38.

Central Counterparty and Collateral Requirements

Number of pages: 61 Posted: 03 Dec 2018 Last Revised: 23 Oct 2019
Jessie Jiaxu Wang, Agostino Capponi and Hongzhong Zhang
Arizona State University (ASU) - W.P. Carey School of Business, Columbia University and Columbia University
Downloads 83 (307,572)
Citation 1

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Central counterparty (CCP), collateral requirements, initial margin, default fund, loss mutualization, financial stability

39.

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 Zürich - Department of Mathematics
Downloads 79 (316,723)

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

40.

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices

Number of pages: 39 Posted: 06 Nov 2019 Last Revised: 18 Nov 2019
Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli and Matt Stern
Columbia University, Columbia University, Columbia University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 77 (321,461)

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robo-advising, reinforcement learning, portfolio selection, probably approximately correct-Markov decision processes (PAC-MDP)

41.

Robust XVA

Number of pages: 45 Posted: 27 Feb 2018 Last Revised: 24 Dec 2019
Maxim Bichuch, Agostino Capponi and Stephan Sturm
Johns Hopkins University, Columbia University and Worcester Polytechnic Institute (WPI) - Department of Mathematical Sciences
Downloads 74 (328,939)

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

42.

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 70 (339,297)

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

43.

Multiregional Oligopoly with Capacity Constraints

Number of pages: 56 Posted: 03 Dec 2018 Last Revised: 19 Nov 2019
Humoud Alsabah, Benjamin Bernard, Agostino Capponi, Garud Iyengar and Jay Sethuraman
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 60 (367,551)

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

44.

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 57 (376,852)

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counterparty risk, credit default swap, default clustering

45.

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 42 (429,245)

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

46.

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 39 (441,429)
Citation 2

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

47.

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 37 (449,720)

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investment/consumption problem, stochastic factors, martingale method

48.

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
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dynamic portfolio optimization, credit risk, regime‐switching models, utility maximization, Hamilton–Jacobi–Bellman equations

49.

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
Agostino Capponi, José E. Figueroa‐López and Jeffrey Nisen
Columbia University, Purdue University and Purdue University
Downloads 0 (687,143)
Citation 1
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credit risk, regime‐switching models, option pricing, vulnerable claims, semimartingale representations

50.

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 (687,143)
Citation 3
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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