Agostino Capponi

Available identifiers

zbMath Open capponi.agostinoMaRDI QIDQ468420

List of research outcomes

Publication	Date of Publication	Type
Systemic Portfolio Diversification	2024-03-20	Paper
Disruption and Rerouting in Supply Chain Networks	2024-03-12	Paper
Machine Learning and Data Sciences for Financial Markets	2023-03-01	Paper
Large Sample Mean-Field Stochastic Optimization	2022-08-23	Paper
Systemic Risk-Driven Portfolio Selection	2022-08-05	Paper
Market Efficient Portfolios in a Systemic Economy	2022-05-31	Paper
Robust XVA	2021-03-23	Paper
A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning	2021-01-08	Paper
Firm capital dynamics in centrally cleared markets	2020-05-14	Paper
Risk-Sensitive Asset Management and Cascading Defaults	2020-03-11	Paper
Credit portfolio selection with decaying contagion intensities	2019-05-08	Paper
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors	2018-11-28	Paper
Portfolio Choice with Market--Credit-Risk Dependencies	2018-08-24	Paper
Systemic risk mitigation in financial networks	2018-08-13	Paper
Arbitrage‐free XVA	2018-05-25	Paper
Dynamic investment and counterparty risk	2018-03-14	Paper
Stochastic Filtering for Diffusion Processes With Level Crossings	2017-08-25	Paper
Optimal Credit Investment with Borrowing Costs	2017-06-02	Paper
Optimal Investment Under Information Driven Contagious Distress	2017-05-24	Paper
Robust Optimization of Credit Portfolios	2017-04-13	Paper
Liability Concentration and Systemic Losses in Financial Networks	2016-12-20	Paper
OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK	2016-11-01	Paper
Dynamic credit investment in partially observed markets	2015-11-09	Paper
Dynamic Contracting: Accidents Lead to Nonlinear Contracts	2015-10-21	Paper
Systemic Risk in Interbanking Networks	2015-06-26	Paper
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis	2015-02-21	Paper
DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM	2015-02-20	Paper
Pricing vulnerable claims in a Lévy-driven model	2015-02-06	Paper
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples	2015-01-23	Paper
Will banning naked CDS impact bond prices?	2014-12-12	Paper
Bilateral credit valuation adjustment for large credit derivatives portfolios	2014-11-07	Paper
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING	2014-05-14	Paper
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS	2014-05-14	Paper
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS	2014-04-23	Paper
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK	2013-06-24	Paper
Optimal contracting with effort and misvaluation	2013-02-26	Paper
A Variational Approach to Contracting under Imperfect Observations	2013-01-25	Paper
Expressing stochastic filters via number sequences	2010-08-06	Paper
A convex optimization approach to filtering in jump linear systems with state dependent transitions	2010-07-13	Paper
Bounded families for the on-line \(t\)-relaxed coloring	2009-12-18	Paper
CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION	2009-06-23	Paper
A New Algorithm for On-line Coloring Bipartite Graphs	2009-03-16	Paper
Accuracy of fused track for radar systems	2008-11-25	Paper
On-Line Coloring of H-Free Bipartite Graphs	2007-05-02	Paper

Research outcomes over time

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