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Author ID: capponi.agostino Recent zbMATH articles by "Capponi, Agostino"
Published as: Capponi, Agostino; Capponi, A.

Publications by Year

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 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

Citations by Year