The following pages link to Agostino Capponi (Q468420):
Displaying 42 items.
- Bilateral credit valuation adjustment for large credit derivatives portfolios (Q468421) (← links)
- Will banning naked CDS impact bond prices? (Q481373) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- (Q956286) (redirect page) (← links)
- Accuracy of fused track for radar systems (Q956287) (← links)
- A convex optimization approach to filtering in jump linear systems with state dependent transitions (Q983944) (← links)
- Expressing stochastic filters via number sequences (Q985524) (← links)
- Bounded families for the on-line \(t\)-relaxed coloring (Q1044722) (← links)
- Systemic risk mitigation in financial networks (Q1657505) (← links)
- Dynamic investment and counterparty risk (Q1705168) (← links)
- Optimal contracting with effort and misvaluation (Q1938959) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK (Q2831003) (← links)
- Robust Optimization of Credit Portfolios (Q2976139) (← links)
- Liability Concentration and Systemic Losses in Financial Networks (Q3178761) (← links)
- Dynamic Contracting: Accidents Lead to Nonlinear Contracts (Q3195112) (← links)
- A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning (Q3387916) (← links)
- On-Line Coloring of H-Free Bipartite Graphs (Q3434564) (← links)
- A New Algorithm for On-line Coloring Bipartite Graphs (Q3614195) (← links)
- CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION (Q3632195) (← links)
- Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
- Arbitrage‐free XVA (Q4642733) (← links)
- A Variational Approach to Contracting under Imperfect Observations (Q4902228) (← links)
- Market Efficient Portfolios in a Systemic Economy (Q5080636) (← links)
- Systemic Risk-Driven Portfolio Selection (Q5095162) (← links)
- Large Sample Mean-Field Stochastic Optimization (Q5097396) (← links)
- Firm capital dynamics in centrally cleared markets (Q5109981) (← links)
- DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM (Q5175223) (← links)
- Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
- Systemic Risk in Interbanking Networks (Q5258451) (← links)
- PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
- Stochastic Filtering for Diffusion Processes With Level Crossings (Q5347851) (← links)
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396) (← links)
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING (Q5416702) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
- Optimal Investment Under Information Driven Contagious Distress (Q5737638) (← links)
- Optimal Credit Investment with Borrowing Costs (Q5739155) (← links)
- Credit portfolio selection with decaying contagion intensities (Q5743120) (← links)
- Robust XVA (Q5855941) (← links)
- Machine Learning and Data Sciences for Financial Markets (Q5879485) (← links)
- Disruption and Rerouting in Supply Chain Networks (Q6192847) (← links)
- Systemic Portfolio Diversification (Q6198732) (← links)
