Edit Profile (opens in new tab) Capponi, Agostino Co-Author Distance Author ID: capponi.agostino Published as: Capponi, Agostino; Capponi, A. Documents Indexed: 44 Publications since 2005, including 4 Additional arXiv Preprints 2 Contributions as Editor Co-Authors: 36 Co-Authors with 44 Joint Publications 1,124 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 Ólafsson, Sveinn 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, Stefan 1 Zariphopoulou, Thaleia all top 5 Serials 9 Mathematical Finance 5 Mathematics of Operations Research 4 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 35 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 35 Publications have been cited 345 times in 236 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 52 2014 Dynamic portfolio optimization with a defaultable security and regime-switching. Zbl 1293.91170 Capponi, Agostino; Figueroa-López, José E. 39 2014 Arbitrage-free XVA. Zbl 1390.91276 Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 28 2018 Systemic risk mitigation in financial networks. Zbl 1401.91545 Capponi, Agostino; Chen, Peng-Chu 21 2015 Liability concentration and systemic losses in financial networks. Zbl 1378.91133 Capponi, Agostino; Chen, Peng-Chu; Yao, David D. 19 2016 Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248 Bo, Lijun; Capponi, Agostino 18 2016 Systemic risk in interbanking networks. Zbl 1315.91065 Bo, Lijun; Capponi, Agostino 17 2015 Bilateral credit valuation adjustment for large credit derivatives portfolios. Zbl 1306.91145 Bo, Lijun; Capponi, Agostino 15 2014 Dynamic credit investment in partially observed markets. Zbl 1323.93073 Capponi, Agostino; Figueroa-López, José E.; Pascucci, Andrea 11 2015 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 Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485 Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu 11 2019 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 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 new algorithm for on-line coloring bipartite graphs. Zbl 1181.05035 Broersma, Hajo J.; Capponi, Agostino; Paulusma, Daniël 8 2008 Pricing vulnerable claims in a Lévy-driven model. Zbl 1326.60095 Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano 8 2014 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 Risk-sensitive asset management and cascading defaults. Zbl 1443.91256 Birge, John R.; Bo, Lijun; Capponi, Agostino 6 2018 Portfolio choice with market – credit-risk dependencies. Zbl 1415.91254 Bo, Lijun; Capponi, Agostino 6 2018 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 Expressing stochastic filters via number sequences. Zbl 1194.94060 Capponi, A.; Farina, A.; Pilotto, C. 4 2010 A variational approach to contracting under imperfect observations. Zbl 1255.91445 Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay 4 2012 On-line coloring of \(H\)-free bipartite graphs. Zbl 1183.68748 Broersma, H. J.; Capponi, A.; Paulusma, D. 3 2006 Credit risk modeling with misreporting and incomplete information. Zbl 1182.91186 Capponi, Agostino; Cvitanić, Jakša 3 2009 Dynamic contracting: accidents lead to nonlinear contracts. Zbl 1338.91086 Capponi, Agostino; Frei, Christoph 3 2015 Robust XVA. Zbl 1508.91550 Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 3 2020 Dynamic investment and counterparty risk. Zbl 1395.91477 Bo, Lijun; Capponi, Agostino 2 2018 Stochastic filtering for diffusion processes with level crossings. Zbl 1368.93705 Capponi, Agostino; Fatkullin, Ibrahim; Shi, Ling 2 2011 Systemic risk-driven portfolio selection. Zbl 1497.91229 Capponi, Agostino; Rubtsov, Alexey 2 2022 Optimal contracting with effort and misvaluation. Zbl 1275.91088 Capponi, Agostino; Cvitanić, Jakša; Yolcu, Türkay 2 2013 Accuracy of fused track for radar systems. Zbl 1148.94355 Farina, A.; Di Lallo, A.; Volpi, T.; Capponi, A. 1 2005 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 Firm capital dynamics in centrally cleared markets. Zbl 1508.91600 Capponi, Agostino; Cheng, W. Allen; Rajan, Sriram 1 2020 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 11 2019 Arbitrage-free XVA. Zbl 1390.91276 Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 28 2018 Risk-sensitive asset management and cascading defaults. Zbl 1443.91256 Birge, John R.; Bo, Lijun; Capponi, Agostino 6 2018 Portfolio choice with market – credit-risk dependencies. Zbl 1415.91254 Bo, Lijun; Capponi, Agostino 6 2018 Dynamic investment and counterparty risk. Zbl 1395.91477 Bo, Lijun; Capponi, Agostino 2 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. 19 2016 Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248 Bo, Lijun; Capponi, Agostino 18 2016 Systemic risk mitigation in financial networks. Zbl 1401.91545 Capponi, Agostino; Chen, Peng-Chu 21 2015 Systemic risk in interbanking networks. Zbl 1315.91065 Bo, Lijun; Capponi, Agostino 17 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 3 2015 Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137 Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea 52 2014 Dynamic portfolio optimization with a defaultable security and regime-switching. Zbl 1293.91170 Capponi, Agostino; Figueroa-López, José E. 39 2014 Bilateral credit valuation adjustment for large credit derivatives portfolios. Zbl 1306.91145 Bo, Lijun; Capponi, Agostino 15 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 all cited Publications top 5 cited Publications all top 5 Cited by 399 Authors 19 Bo, Lijun 19 Capponi, Agostino 9 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 Liao, Huafu 4 Meyer-Brandis, Thilo 4 Shen, Yang 4 Zhao, Hui 3 Antonelli, Fabio 3 Biagini, Francesca 3 Bormetti, Giacomo 3 Detering, Nils 3 Figueroa-López, José E. 3 Gnoatto, Alessandro 3 Jeanblanc, Monique 3 Li, Danping 3 Li, Libo 3 Li, Tongqing 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 Sirignano, Justin A. 3 Siu, Tak Kuen 3 Song, Shiqi 3 Vrins, Frédéric 3 Wang, Yongjin 3 Yang, Jingping 3 Zhou, Chao 3 Zou, Bin 2 Ahn, Dohyun 2 Albanese, Claudio 2 Amini, Hamed 2 Banerjee, Tathagata 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 Deng, Yingchun 2 Di Persio, Luca 2 Elliott, Robert James 2 Fan, Howard 2 Frey, Rüdiger 2 Gapeev, Pavel V. 2 Glasserman, Paul 2 Kim, Kyoung-Kuk 2 Kolliopoulos, Nikolaos 2 Lai, Shaoyong 2 Lee, Junbeom 2 Li, Shuanming 2 Liang, Gechun 2 Lin, Feng 2 Luo, Hezhi 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 Sturm, Stephan 2 Su, Jianxi 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 Zhu, Huiming 1 Abbas-Turki, Lokman A. 1 Ackerer, Damien 1 Adam, Maria 1 Aksamit, Anna 1 Andreoli, Alessandro 1 Aranishi, Futoshi 1 Armenti, Yannick 1 Assimakis, Nicholas D. 1 Awiszus, Kerstin 1 Ballestra, Luca Vincenzo ...and 299 more Authors all top 5 Cited in 80 Serials 19 SIAM Journal on Financial Mathematics 18 International Journal of Theoretical and Applied Finance 14 European Journal of Operational Research 9 Finance and Stochastics 8 Insurance Mathematics & Economics 8 Mathematical Finance 6 Operations Research 6 SIAM Journal on Control and Optimization 6 Operations Research Letters 6 Quantitative Finance 6 Journal of Industrial and Management Optimization 6 Mathematics and Financial Economics 5 Automatica 5 Journal of Computational and Applied Mathematics 5 Journal of Economic Dynamics & Control 4 Mathematics of Operations Research 4 Annals of Operations Research 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 Stochastic Processes and their Applications 3 Electronic Journal of Probability 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 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 Scandinavian Actuarial Journal 2 Journal of the Operations Research Society of China 2 Probability, Uncertainty and Quantitative Risk 2 Frontiers of Mathematical Finance 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 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 Mathematical Problems in Engineering 1 Acta Mathematica Sinica. English Series 1 Probability in the Engineering and Informational Sciences 1 Optimization and Engineering 1 Journal of Systems Science and Complexity 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 Nonlinear Analysis. Hybrid Systems 1 Probability Surveys 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 all top 5 Cited in 20 Fields 190 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 80 Probability theory and stochastic processes (60-XX) 48 Systems theory; control (93-XX) 24 Operations research, mathematical programming (90-XX) 19 Statistics (62-XX) 18 Calculus of variations and optimal control; optimization (49-XX) 15 Partial differential equations (35-XX) 13 Numerical analysis (65-XX) 13 Computer science (68-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