Agostino Capponi

According to our database1, Agostino Capponi authored at least 30 papers between 2003 and 2019.

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Bibliography

2019
Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices.
CoRR, 2019

2018
Portfolio Choice with Market-Credit-Risk Dependencies.
SIAM J. Control and Optimization, 2018

Risk-Sensitive Asset Management and Cascading Defaults.
Math. Oper. Res., 2018

Clearinghouse Margin Requirements.
Oper. Res., 2018

2017
Optimal Investment Under Information Driven Contagious Distress.
SIAM J. Control and Optimization, 2017

Optimal Credit Investment with Borrowing Costs.
Math. Oper. Res., 2017

Robust Optimization of Credit Portfolios.
Math. Oper. Res., 2017

Systemic Influences on Optimal Equity-Credit Investment.
Management Science, 2017

Risk-Sensitive Cooperative Games for Human-Machine Systems.
CoRR, 2017

2016
Liability Concentration and Systemic Losses in Financial Networks.
Oper. Res., 2016

2015
Dynamic Contracting: Accidents Lead to Nonlinear Contracts.
SIAM J. Financial Math., 2015

Systemic Risk in Interbanking Networks.
SIAM J. Financial Math., 2015

Dynamic credit investment in partially observed markets.
Finance and Stochastics, 2015

2014
Pricing vulnerable claims in a Lévy-driven model.
Finance and Stochastics, 2014

Bilateral credit valuation adjustment for large credit derivatives portfolios.
Finance and Stochastics, 2014

2011
Stochastic Filtering for Diffusion Processes With Level Crossings.
IEEE Trans. Autom. Control., 2011

2010
Expressing stochastic filters via number sequences.
Signal Process., 2010

A convex optimization approach to filtering in jump linear systems with state dependent transitions.
Autom., 2010

2009
Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk.
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.
Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A Copula Function Approach to Infer Correlation in Prediction Markets.
Proceedings of the Auctions, 2009

Stochastic filtering in jump systems with state dependent mode transitions.
Proceedings of the American Control Conference, 2009

2008
A New Algorithm for On-line Coloring Bipartite Graphs.
SIAM J. Discret. Math., 2008

2007
Towards a theory of events.
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.
Proceedings of the 9th International Conference on Information Fusion, 2006

Connectivity for the Frisbee Architecture.
Proceedings of the 9th International Conference on Information Fusion, 2006

On-Line Coloring of H-Free Bipartite Graphs.
Proceedings of the Algorithms and Complexity, 6th Italian Conference, 2006

2005
Accuracy of fused track for radar systems.
Signal Process., 2005

Bounded families for the on-line t-relaxed coloring.
Inf. Process. Lett., 2005

2003
A tutorial on the Deterministic two-party Communication Complexity
Electronic Colloquium on Computational Complexity (ECCC), 2003


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