Agostino Capponi

According to our database, Agostino Capponi authored at least 52 papers between 2003 and 2024.

Collaborative distances:

• Dijkstra number of three.
• Erdős number of three.

2024

Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks.

Agostino Capponi, Mihailo Stojnic

CoRR, 2024

2023

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

Agostino Capponi, Sveinn Ólafsson, Humoud Alsabah

Manag. Sci., November, 2023

Advances in Blockchain and Crypto Economics.

Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke

Manag. Sci., November, 2023

Disruption and Rerouting in Supply Chain Networks.

John R. Birge, Agostino Capponi, Peng-Chu Chen

Oper. Res., March, 2023

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.

Lijun Bo, Agostino Capponi, Chao Zhou

Math. Oper. Res., February, 2023

Do Private Transaction Pools Mitigate Frontrunning Risk?

Agostino Capponi, Ruizhe Jia, Ye Wang

IACR Cryptol. ePrint Arch., 2023

Decentralized Finance: Protocols, Risks, and Governance.

Agostino Capponi, Garud Iyengar, Jay Sethuraman

Found. Trends Priv. Secur., 2023

The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity.

Agostino Capponi, Ruizhe Jia, Brian Zhu

CoRR, 2023

Causal Inference (C-inf) - asymmetric scenario of typical phase transitions.

Agostino Capponi, Mihailo Stojnic

CoRR, 2023

Causal Inference (C-inf) - closed form worst case typical phase transitions.

Agostino Capponi, Mihailo Stojnic

CoRR, 2023

Phase Transitions: Explicit relations for sparse vector and low rank recovery.

Agostino Capponi, Mihailo Stojnic

Proceedings of the IEEE International Symposium on Information Theory, 2023

Causal Inference - closed form expressions for worst case typical phase transitions.

Agostino Capponi, Mihailo Stojnic

Proceedings of the IEEE International Symposium on Information Theory, 2023

2022

Large Sample Mean-Field Stochastic Optimization.

Lijun Bo, Agostino Capponi, Huafu Liao

SIAM J. Control. Optim., August, 2022

A Theory of Collateral Requirements for Central Counterparties.

Jessie Jiaxu Wang, Agostino Capponi, Hongzhong Zhang

Manag. Sci., 2022

Personalized Robo-Advising: Enhancing Investment Through Client Interaction.

Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou

Manag. Sci., 2022

Systemic Risk-Driven Portfolio Selection.

Agostino Capponi, Alexey Rubtsov

Oper. Res., 2022

Market Efficient Portfolios in a Systemic Economy.

Kerstin Awiszus, Agostino Capponi, Stefan Weber

Oper. Res., 2022

2021

Call for Papers - <i>Management Science</i> Special Issue on Blockchains and Crypto Economics.

Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke

Manag. Sci., 2021

Multiregional Oligopoly with Capacity Constraints.

Humoud Alsabah, Benjamin Bernard, Agostino Capponi, Garud Iyengar, Jay Sethuraman

Manag. Sci., 2021

2020

A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning.

Agostino Capponi, Xu Sun, David D. Yao

Math. Oper. Res., 2020

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.

Agostino Capponi, Paul Glasserman, Marko H. Weber

Manag. Sci., 2020

2019

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices.

Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli, Matt Stern

CoRR, 2019

2018

Portfolio Choice with Market-Credit-Risk Dependencies.

Lijun Bo, Agostino Capponi

SIAM J. Control. Optim., 2018

Risk-Sensitive Asset Management and Cascading Defaults.

John R. Birge, Lijun Bo, Agostino Capponi

Math. Oper. Res., 2018

Clearinghouse Margin Requirements.

Agostino Capponi, W. Allen Cheng

Oper. Res., 2018

2017

Optimal Investment Under Information Driven Contagious Distress.

Lijun Bo, Agostino Capponi

SIAM J. Control. Optim., 2017

Optimal Credit Investment with Borrowing Costs.

Lijun Bo, Agostino Capponi

Math. Oper. Res., 2017

Robust Optimization of Credit Portfolios.

Lijun Bo, Agostino Capponi

Math. Oper. Res., 2017

Systemic Influences on Optimal Equity-Credit Investment.

Agostino Capponi, Christoph Frei

Manag. Sci., 2017

Risk-Sensitive Cooperative Games for Human-Machine Systems.

Agostino Capponi, Reza Ghanadan, Matt Stern

CoRR, 2017

2016

Liability Concentration and Systemic Losses in Financial Networks.

Agostino Capponi, Peng-Chu Chen, David D. Yao

Oper. Res., 2016

2015

Dynamic Contracting: Accidents Lead to Nonlinear Contracts.

Agostino Capponi, Christoph Frei

SIAM J. Financial Math., 2015

Systemic Risk in Interbanking Networks.

Lijun Bo, Agostino Capponi

SIAM J. Financial Math., 2015

Dynamic credit investment in partially observed markets.

Agostino Capponi, José E. Figueroa-López, Andrea Pascucci

Finance Stochastics, 2015

2014

Pricing vulnerable claims in a Lévy-driven model.

Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu

Finance Stochastics, 2014

Bilateral credit valuation adjustment for large credit derivatives portfolios.

Lijun Bo, Agostino Capponi

Finance Stochastics, 2014

2012

A Variational Approach to Contracting under Imperfect Observations.

Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu

SIAM J. Financial Math., 2012

2011

Stochastic Filtering for Diffusion Processes With Level Crossings.

Agostino Capponi, Ibrahim Fatkullin, Ling Shi

IEEE Trans. Autom. Control., 2011

2010

Expressing stochastic filters via number sequences.

Agostino Capponi, Alfonso Farina, Concetta Pilotto

Signal Process., 2010

A convex optimization approach to filtering in jump linear systems with state dependent transitions.

Agostino Capponi

Autom., 2010

2009

Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk.

Agostino Capponi

Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A calibration method for structural models of credit risk with reporting bias.

Agostino Capponi

Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A Copula Function Approach to Infer Correlation in Prediction Markets.

Agostino Capponi, Umberto Cherubini

Proceedings of the Auctions, 2009

Stochastic filtering in jump systems with state dependent mode transitions.

Agostino Capponi, Concetta Pilotto

Proceedings of the American Control Conference, 2009

2008

A New Algorithm for On-line Coloring Bipartite Graphs.

Hajo Broersma, Agostino Capponi, Daniël Paulusma

SIAM J. Discret. Math., 2008

2007

Towards a theory of events.

K. Mani Chandy, Michel Charpentier, Agostino Capponi

Proceedings of the 2007 Inaugural International Conference on Distributed Event-Based Systems, 2007

2006

Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods.

Agostino Capponi, Concetta Pilotto, Giovanni Golino, Alfonso Farina, Lance M. Kaplan

Proceedings of the 9th International Conference on Information Fusion, 2006

Connectivity for the Frisbee Architecture.

Agostino Capponi, Concetta Pilotto, Alfonso Farina, Giovanni Golino, Lance M. Kaplan

Proceedings of the 9th International Conference on Information Fusion, 2006

On-Line Coloring of H-Free Bipartite Graphs.

Hajo Broersma, Agostino Capponi, Daniël Paulusma

Proceedings of the Algorithms and Complexity, 6th Italian Conference, 2006

2005

Accuracy of fused track for radar systems.

Alfonso Farina, Annarita Di Lallo, Tiziano Volpi, Agostino Capponi

Signal Process., 2005

Bounded families for the on-line <i>t</i>-relaxed coloring.

Agostino Capponi, Concetta Pilotto

Inf. Process. Lett., 2005

2003

A tutorial on the Deterministic two-party Communication Complexity

Agostino Capponi

Electron. Colloquium Comput. Complex., 2003