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Capponi, Agostino

Co-Author Distance
Author ID: capponi.agostino Recent zbMATH articles by "Capponi, Agostino"
Published as: Capponi, Agostino; Capponi, A.
Documents Indexed: 44 Publications since 2005, including 3 Additional arXiv Preprints
2 Contributions as Editor
Co-Authors: 35 Co-Authors with 44 Joint Publications
1,095 Co-Co-Authors
all top 5

Co-Authors

1 single-authored
13 Bo, Lijun
4 Bichuch, Maxim
4 Chen, Peng-Chu
4 Sturm, Stephan
3 Cvitanić, Jakša
3 Figueroa-López, José E.
2 Birge, John R.
2 Brigo, Damiano
2 Broersma, Hajo J.
2 Farina, Alfonso
2 Larsson, Martin
2 Pallavicini, Andrea
2 Paulusma, Daniël
2 Pilotto, Concetta
2 Yao, David D. W.
2 Yolcu, Turkay
1 Awiszus, Kerstin
1 Cheng, W. Allen
1 Di Lallo, A.
1 Fatkullin, Ibrahim
1 Frei, Christoph
1 Jarrow, Robert Alan
1 Lehalle, Charles-Albert
1 Liao, Huafu
1 Nisen, Jeffrey A.
1 Pagliarani, Stefano
1 Papatheodorou, Vasileios
1 Pascucci, Andrea
1 Rajan, Sriram
1 Shi, Ling
1 Sun, Xu
1 Vargiolu, Tiziano
1 Volpi, T.
1 Weber, Marko Hans
1 Weber, Stefan
all top 5

Serials

9 Mathematical Finance
5 Mathematics of Operations Research
5 Operations Research
3 SIAM Journal on Control and Optimization
3 Finance and Stochastics
3 SIAM Journal on Financial Mathematics
2 Signal Processing
2 International Journal of Theoretical and Applied Finance
2 Mathematics and Financial Economics
1 Information Processing Letters
1 Applied Mathematics and Optimization
1 Automatica
1 IEEE Transactions on Automatic Control
1 Journal of Economic Dynamics & Control
1 SIAM Journal on Discrete Mathematics
1 Annals of Finance
all top 5

Fields

36 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
16 Probability theory and stochastic processes (60-XX)
9 Systems theory; control (93-XX)
6 Operations research, mathematical programming (90-XX)
5 Calculus of variations and optimal control; optimization (49-XX)
3 Partial differential equations (35-XX)
3 Computer science (68-XX)
2 Combinatorics (05-XX)
2 Information and communication theory, circuits (94-XX)
1 General and overarching topics; collections (00-XX)
1 Integral equations (45-XX)
1 Statistics (62-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

38 Publications have been cited 380 times in 260 Documents Cited by ▼ Year ▼
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
58
2014
Dynamic portfolio optimization with a defaultable security and regime-switching. Zbl 1293.91170
Capponi, Agostino; Figueroa-López, José E.
41
2014
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
32
2018
Systemic risk mitigation in financial networks. Zbl 1401.91545
Capponi, Agostino; Chen, Peng-Chu
22
2015
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
22
2015
Liability concentration and systemic losses in financial networks. Zbl 1378.91133
Capponi, Agostino; Chen, Peng-Chu; Yao, David D.
21
2016
Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248
Bo, Lijun; Capponi, Agostino
20
2016
Bilateral credit valuation adjustment for large credit derivatives portfolios. Zbl 1306.91145
Bo, Lijun; Capponi, Agostino
17
2014
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
13
2019
Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk. Zbl 1266.91114
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; Papatheodorou, Vasileios
11
2013
Dynamic credit investment in partially observed markets. Zbl 1323.93073
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea
11
2015
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets. Zbl 1331.91186
Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey
10
2014
A dynamic network model of interbank lending – systemic risk and liquidity provisioning. Zbl 1457.91406
Capponi, Agostino; Sun, Xu; Yao, David D.
10
2020
Pricing vulnerable claims in a Lévy-driven model. Zbl 1326.60095
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano
8
2014
Portfolio choice with market – credit-risk dependencies. Zbl 1415.91254
Bo, Lijun; Capponi, Agostino
8
2018
A new algorithm for on-line coloring bipartite graphs. Zbl 1181.05035
Broersma, Hajo J.; Capponi, Agostino; Paulusma, Daniël
8
2008
Robust optimization of credit portfolios. Zbl 1360.91147
Bo, Lijun; Capponi, Agostino
7
2017
Risk-sensitive asset management and cascading defaults. Zbl 1443.91256
Birge, John R.; Bo, Lijun; Capponi, Agostino
7
2018
Optimal investment under information driven contagious distress. Zbl 1414.91331
Bo, Lijun; Capponi, Agostino
6
2017
Optimal credit investment with borrowing costs. Zbl 1414.91332
Bo, Lijun; Capponi, Agostino
5
2017
A convex optimization approach to filtering in jump linear systems with state dependent transitions. Zbl 1205.93146
Capponi, Agostino
5
2010
A variational approach to contracting under imperfect observations. Zbl 1255.91445
Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay
4
2012
Dynamic contracting: accidents lead to nonlinear contracts. Zbl 1338.91086
Capponi, Agostino; Frei, Christoph
4
2015
Expressing stochastic filters via number sequences. Zbl 1194.94060
Capponi, A.; Farina, A.; Pilotto, C.
4
2010
Robust XVA. Zbl 1508.91550
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
3
2020
Credit risk modeling with misreporting and incomplete information. Zbl 1182.91186
Capponi, Agostino; Cvitanić, Jakša
3
2009
Dynamic investment and counterparty risk. Zbl 1395.91477
Bo, Lijun; Capponi, Agostino
3
2018
On-line coloring of \(H\)-free bipartite graphs. Zbl 1183.68748
Broersma, H. J.; Capponi, A.; Paulusma, D.
3
2006
Stochastic filtering for diffusion processes with level crossings. Zbl 1368.93705
Capponi, Agostino; Fatkullin, Ibrahim; Shi, Ling
2
2011
Optimal contracting with effort and misvaluation. Zbl 1275.91088
Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay
2
2013
Systemic risk-driven portfolio selection. Zbl 1497.91229
Capponi, Agostino; Rubtsov, Alexey
2
2022
Power forward performance in semimartingale markets with stochastic integrated factors. Zbl 1534.91141
Bo, Lijun; Capponi, Agostino; Zhou, Chao
2
2023
Accuracy of fused track for radar systems. Zbl 1148.94355
Farina, A.; Di Lallo, A.; Volpi, T.; Capponi, A.
1
2005
Preface to the special issue on systemic risk and financial networks. Zbl 07344559
1
2021
Firm capital dynamics in centrally cleared markets. Zbl 1508.91600
Capponi, Agostino; Cheng, W. Allen; Rajan, Sriram
1
2020
Bounded families for the on-line \(t\)-relaxed coloring. Zbl 1184.68650
Capponi, Agostino; Pilotto, Concetta
1
2005
Market efficient portfolios in a systemic economy. Zbl 1493.91109
Awiszus, Kerstin; Capponi, Agostino; Weber, Stefan
1
2022
Machine learning and data sciences for financial markets. A guide to contemporary practices. Zbl 1514.91001
1
2023
Power forward performance in semimartingale markets with stochastic integrated factors. Zbl 1534.91141
Bo, Lijun; Capponi, Agostino; Zhou, Chao
2
2023
Machine learning and data sciences for financial markets. A guide to contemporary practices. Zbl 1514.91001
1
2023
Systemic risk-driven portfolio selection. Zbl 1497.91229
Capponi, Agostino; Rubtsov, Alexey
2
2022
Market efficient portfolios in a systemic economy. Zbl 1493.91109
Awiszus, Kerstin; Capponi, Agostino; Weber, Stefan
1
2022
Preface to the special issue on systemic risk and financial networks. Zbl 07344559
1
2021
A dynamic network model of interbank lending – systemic risk and liquidity provisioning. Zbl 1457.91406
Capponi, Agostino; Sun, Xu; Yao, David D.
10
2020
Robust XVA. Zbl 1508.91550
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
3
2020
Firm capital dynamics in centrally cleared markets. Zbl 1508.91600
Capponi, Agostino; Cheng, W. Allen; Rajan, Sriram
1
2020
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
13
2019
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
32
2018
Portfolio choice with market – credit-risk dependencies. Zbl 1415.91254
Bo, Lijun; Capponi, Agostino
8
2018
Risk-sensitive asset management and cascading defaults. Zbl 1443.91256
Birge, John R.; Bo, Lijun; Capponi, Agostino
7
2018
Dynamic investment and counterparty risk. Zbl 1395.91477
Bo, Lijun; Capponi, Agostino
3
2018
Robust optimization of credit portfolios. Zbl 1360.91147
Bo, Lijun; Capponi, Agostino
7
2017
Optimal investment under information driven contagious distress. Zbl 1414.91331
Bo, Lijun; Capponi, Agostino
6
2017
Optimal credit investment with borrowing costs. Zbl 1414.91332
Bo, Lijun; Capponi, Agostino
5
2017
Liability concentration and systemic losses in financial networks. Zbl 1378.91133
Capponi, Agostino; Chen, Peng-Chu; Yao, David D.
21
2016
Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248
Bo, Lijun; Capponi, Agostino
20
2016
Systemic risk mitigation in financial networks. Zbl 1401.91545
Capponi, Agostino; Chen, Peng-Chu
22
2015
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
22
2015
Dynamic credit investment in partially observed markets. Zbl 1323.93073
Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea
11
2015
Dynamic contracting: accidents lead to nonlinear contracts. Zbl 1338.91086
Capponi, Agostino; Frei, Christoph
4
2015
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
58
2014
Dynamic portfolio optimization with a defaultable security and regime-switching. Zbl 1293.91170
Capponi, Agostino; Figueroa-López, José E.
41
2014
Bilateral credit valuation adjustment for large credit derivatives portfolios. Zbl 1306.91145
Bo, Lijun; Capponi, Agostino
17
2014
Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets. Zbl 1331.91186
Capponi, Agostino; Figueroa-López, José E.; Nisen, Jeffrey
10
2014
Pricing vulnerable claims in a Lévy-driven model. Zbl 1326.60095
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano
8
2014
Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk. Zbl 1266.91114
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; Papatheodorou, Vasileios
11
2013
Optimal contracting with effort and misvaluation. Zbl 1275.91088
Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay
2
2013
A variational approach to contracting under imperfect observations. Zbl 1255.91445
Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay
4
2012
Stochastic filtering for diffusion processes with level crossings. Zbl 1368.93705
Capponi, Agostino; Fatkullin, Ibrahim; Shi, Ling
2
2011
A convex optimization approach to filtering in jump linear systems with state dependent transitions. Zbl 1205.93146
Capponi, Agostino
5
2010
Expressing stochastic filters via number sequences. Zbl 1194.94060
Capponi, A.; Farina, A.; Pilotto, C.
4
2010
Credit risk modeling with misreporting and incomplete information. Zbl 1182.91186
Capponi, Agostino; Cvitanić, Jakša
3
2009
A new algorithm for on-line coloring bipartite graphs. Zbl 1181.05035
Broersma, Hajo J.; Capponi, Agostino; Paulusma, Daniël
8
2008
On-line coloring of \(H\)-free bipartite graphs. Zbl 1183.68748
Broersma, H. J.; Capponi, A.; Paulusma, D.
3
2006
Accuracy of fused track for radar systems. Zbl 1148.94355
Farina, A.; Di Lallo, A.; Volpi, T.; Capponi, A.
1
2005
Bounded families for the on-line \(t\)-relaxed coloring. Zbl 1184.68650
Capponi, Agostino; Pilotto, Concetta
1
2005
all cited Publications top 5 cited Publications
all top 5

Cited by 434 Authors

22 Capponi, Agostino
20 Bo, Lijun
10 Brigo, Damiano
8 Crepey, Stephane
7 Feinstein, Zachary
7 Rutkowski, Marek
6 Pallavicini, Andrea
5 Pascucci, Andrea
5 Spiliopoulos, Konstantinos V.
5 Wang, Xingchun
4 Francischello, Marco
4 Jin, Zhuo
4 Liang, Gechun
4 Liao, Huafu
4 Meyer-Brandis, Thilo
4 Shen, Yang
4 Sirignano, Justin A.
4 Sturm, Stephan
4 Yang, Jingping
4 Zhao, Hui
3 Antonelli, Fabio
3 Biagini, Francesca
3 Bormetti, Giacomo
3 Deng, Yingchun
3 Detering, Nils
3 Figueroa-López, José E.
3 Gnoatto, Alessandro
3 Huang, Ya
3 Jeanblanc, Monique
3 Kolliopoulos, Nikolaos
3 Li, Danping
3 Li, Libo
3 Li, Man
3 Li, Tongqing
3 Lin, Feng
3 Lorig, Matthew J.
3 Mai, Jan-Frederik
3 Nie, Tianyang
3 Oosterlee, Cornelis Willebrordus
3 Pagliarani, Stefano
3 Panagiotou, Konstantinos D.
3 Ritter, Daniel
3 Simson, Daniel
3 Siu, Tak Kuen
3 Song, Shiqi
3 Vrins, Frédéric
3 Wang, Yongjin
3 Zhou, Chao
3 Zou, Bin
2 Ahn, Dohyun
2 Albanese, Claudio
2 Amini, Hamed
2 Banerjee, Tathagata
2 Bichuch, Maxim
2 Bielecki, Tomasz R.
2 Borovykh, Anastasia
2 Buescu, Cristin
2 Chen, Lv
2 Chen, Naixi
2 Chen, Peng-Chu
2 Chen, Ping
2 Cordoni, Francesco Giuseppe
2 Deng, Chao
2 Di Persio, Luca
2 Elliott, Robert James
2 Fan, Howard
2 Frey, Rüdiger
2 Gapeev, Pavel V.
2 Giesecke, Kay
2 Glasserman, Paul
2 Kim, Kyoung-Kuk
2 Lai, Shaoyong
2 Lee, Junbeom
2 Li, Duan
2 Li, Shuanming
2 Luo, Hezhi
2 Ma, Jiali
2 Micek, Piotr
2 Minca, Andreea
2 Qian, Linyi
2 Qiu, Ming
2 Ramponi, Alessandro
2 Rong, Ximin
2 Scarlatti, Sergio
2 Scherer, Matthias
2 Søjmark, Andreas
2 Su, Jianxi
2 Tanaka, Akihiro
2 Vargiolu, Tiziano
2 Wiechert, Veit
2 Xie, Jiehua
2 Xie, Lin
2 Yang, Zhixin
2 Yao, David D. W.
2 Zeng, Yan
2 Zhang, Qiang
2 Zhou, Jieming
2 Zhu, Huiming
2 Zhu, Shushang
1 Abbas-Turki, Lokman A.
...and 334 more Authors
all top 5

Cited in 85 Serials

20 SIAM Journal on Financial Mathematics
18 International Journal of Theoretical and Applied Finance
15 European Journal of Operational Research
14 Mathematical Finance
10 Finance and Stochastics
8 Insurance Mathematics & Economics
7 Mathematics and Financial Economics
6 Journal of Computational and Applied Mathematics
6 Operations Research
6 SIAM Journal on Control and Optimization
6 Operations Research Letters
6 Quantitative Finance
6 Journal of Industrial and Management Optimization
5 Automatica
5 Journal of Economic Dynamics & Control
5 Annals of Operations Research
4 Mathematics of Operations Research
4 Stochastic Processes and their Applications
3 Journal of Mathematical Analysis and Applications
3 International Journal of Adaptive Control and Signal Processing
3 The Annals of Applied Probability
3 Communications in Statistics. Theory and Methods
3 Electronic Journal of Probability
3 Probability, Uncertainty and Quantitative Risk
3 Frontiers of Mathematical Finance
2 Computers & Mathematics with Applications
2 Journal of the Franklin Institute
2 Physica A
2 Chaos, Solitons and Fractals
2 Applied Mathematics and Computation
2 Applied Mathematics and Optimization
2 Journal of Optimization Theory and Applications
2 Mathematics and Computers in Simulation
2 Optimization
2 Linear Algebra and its Applications
2 Applied Mathematical Finance
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 Scandinavian Actuarial Journal
2 Journal of Systems Science and Complexity
2 Journal of the Operations Research Society of China
1 Discrete Applied Mathematics
1 Information Processing Letters
1 Information Sciences
1 Journal of Applied Probability
1 Journal of Economic Theory
1 Theoretical Computer Science
1 Statistics & Probability Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
1 Algorithmica
1 Signal Processing
1 Japan Journal of Industrial and Applied Mathematics
1 International Journal of Foundations of Computer Science
1 Journal of Global Optimization
1 International Journal of Computer Mathematics
1 SIAM Journal on Applied Mathematics
1 SIAM Journal on Mathematical Analysis
1 International Journal of Robust and Nonlinear Control
1 Applied Mathematics. Series B (English Edition)
1 Economic Theory
1 INFORMS Journal on Computing
1 Acta Mathematica Sinica. English Series
1 Probability in the Engineering and Informational Sciences
1 Optimization and Engineering
1 Applied Stochastic Models in Business and Industry
1 Decisions in Economics and Finance
1 OR Spectrum
1 Stochastics and Dynamics
1 ASTIN Bulletin
1 North American Actuarial Journal
1 Review of Derivatives Research
1 Computational Management Science
1 Journal of Biological Dynamics
1 The B. E. Journal of Theoretical Economics
1 Nonlinear Analysis. Hybrid Systems
1 Probability Surveys
1 Science China. Mathematics
1 ISRN Signal Processing
1 Annals of Finance
1 JSIAM Letters
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 Mathematics in Engineering
1 Electronic Research Archive
1 Frontiers of Mathematics
all top 5

Cited in 20 Fields

212 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
90 Probability theory and stochastic processes (60-XX)
50 Systems theory; control (93-XX)
24 Operations research, mathematical programming (90-XX)
22 Statistics (62-XX)
19 Calculus of variations and optimal control; optimization (49-XX)
18 Partial differential equations (35-XX)
14 Computer science (68-XX)
13 Numerical analysis (65-XX)
10 Combinatorics (05-XX)
4 Number theory (11-XX)
3 Biology and other natural sciences (92-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Information and communication theory, circuits (94-XX)
1 General and overarching topics; collections (00-XX)
1 Ordinary differential equations (34-XX)
1 Integral transforms, operational calculus (44-XX)
1 Geophysics (86-XX)

Citations by Year