Agostino Capponi, Ph.D.

Assistant Professor

IEOR Department

Columbia University

 

Office: Mudd 316

Email: ac3827 at columbia dot edu
Phone: 212-854-4334

 


Education

California Institute of Technology. Ph.D. in Computer Science and Applied and Computational Mathematics, June 2009.


Research Interests

The primary focus of my research is on networks and systemic risk, counterparty risk, fixed income portfolio selection, and principal agent problems. Topics of very recent interest include dynamic games, high-frequency trading, and human-machine interaction systems.

 

Software

         Play and become the central player in the network: code, slides (also open sourced on Github)

         Play and spread an epidemic in the network: code, slides

 

Papers

   Human Machine Interaction Systems

 

Risk-Sensitive Cooperative Games for Human-Machine Systems (with R. Ghanadan, and M. Stern). (preprint)

 

   High Frequency Trading

 

Intraday Market Making with Overnight Inventory Costs (with T. Adrian, E. Vogt and H. Zhang). (preprint)

 

   Networks and Systemic Risk

Managing Counterparty Risk in OTC Markets (with C. Frei and C. Brunetti). (preprint)

 

Bail-Ins and Bail-Outs: Incentives, Connectivity, and Systemic Stability (with B. Bernard and J. Stiglitz). (preprint)

 

Clearinghouse Margin Requirements (with W.A. Cheng). (preprint)

 

Asset Value Dynamics under Central Clearing. (with W.A. Cheng and S. Rajan). (preprint). Press coverage: Reuters, Value walk, American Banker

 

Systemic Influences on Optimal Equity-Credit Investment. (with C. Frei). Management Science, Forthcoming. (preprint)

Systemic Risk in Interbanking Networks. (with L. Bo). SIAM Journal of Financial Mathematics, Vol. 6, No. 1, p. 386-424, 2015.

 

Price Contagion through Balance Sheet Linkages. (with M. Larsson). Review of Asset Pricing Studies, Vol. 5, No. 2, p. 227-253, 2015.

Liability Concentration and Losses in Financial Networks. (with P.C. Chen and D. Yao). Operations Research, Vol. 64, No. 5, 1121-1134, 2016.

Systemic Risk Mitigation in Financial Networks. (with P.C. Cheni). Journal of Economic Dynamics and Control, Vol. 58, p.152-166, 2015

 

Default and Systemic Risk in Equilibrium. (with M. Larsson). Mathematical Finance, Vol. 25, No.1, pp. 51-76, 2015.

 

   Counterparty Risk

 

Optimal Credit Investment with Borrowing Costs (with L. Bo) Mathematics of Operations Research, 42, No.2, 546-575, 2017.

 

Arbitrage-Free XVA (with M. Bichuch and S. Sturm) Mathematical Finance, Forthcoming.

Dynamic Investment and Counterparty Risk (with L. Bo) Applied Mathematics and Optimization, Forthcoming.

 

Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with L. Bo) Finance and Stochastics, Vol.18, N.2, pp.431-482, 2014.

 

Arbitrage-Free Bilateral Counterparty Risk Valuation under Collateralization and Application to Credit Default Swaps (with D. Brigo and A.Pallavicini ) Mathematical Finance, Vol. 14, N. 1, pp.125-146, 2014. Short version published in Risk Magazine, March, 2010.

 

Counterparty Risk for CDS: Default Clustering Effects (with L. Bo) Journal of Banking and Finance, Vol. 52, pp. 29-42, 2015.

 

Pricing Vulnerable Claims in a Lvy driven model. (with S. Pagliarani and T. Vargiolu) Finance and Stochastics, Vol. 18, No. 4, pp. 775-789, 2014.

 

Pricing and Semi-Martingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets (with J.E. Figueroa Lopez and J. Nisen) Mathematical Finance, Vol. 24, No.2, 250-288, 2014.

 

 

   Fixed Income Portfolio Selection

 

Risk Sensitive Asset Management and Cascading Defaults (with J. Birge and L. Bo). Mathematics of Operations Research, Forthcoming (preprint). Press coverage: Chicago Booth Review

 

Robust Optimization of Credit Portfolios (with L. Bo). Mathematics of Operations Research, Vol. 42, No. 1, 30-56, 2017.

 

Dynamic Credit Investment in Partially Observed Markets. (with J.E. Figueroa-Lopez and A. Pascucci) Finance and Stochastics, Vol. 19, N.4, 891-939, 2015

Optimal Investment in Credit Derivatives Portfolio under Contagion Risk. (with L. Bo) Mathematical Finance, Vol. 26, No. 4, 785-834, 2016.

Dynamic Portfolio Optimization with a Defaultable Security and Regime-Switching Markets (with J. E. Figueroa-Lopez) Mathematical Finance, Vol. 24, N.2, 207-249, 2014.

 

 

    Principal/Agent Problems

 

Dynamic Contracting: Accident leads to Nonlinear Contracts (with C. Frei). SIAM Journal of Financial Mathematics, Vol. 6, No.1, 959-983, 2015.

 

Optimal Contracting with Effort and Misvaluation (with J. Cvitanic and T. Yolcu) Mathematics and Financial Economics, Vol. 7, N.1, pp. 93-128, 2013.

A Variational Approach to Contracting under Imperfect Observations (with J. Cvitanic and T. Yolcu). SIAM Journal of Financial Mathematics, Vol. 3, No. 1, pp. 605-638, 2012.

 

    Filtering

Stochastic Filtering for Diffusion Processes with Level Crossings. (with I. Fatkullin and L. Shi). IEEE Transactions on Automatic Control, Vol. 56, pp. 2201-2206, 2011.

A Convex Optimization Approach to Filtering in Jump Systems with State Dependent Transition Probabilities. Automatica Elsevier, Vol. 46, pp. 383-389, 2010.

Credit Risk Modeling with Misreporting and Incomplete Information. International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, 2009.

 


Book Chapters, Practitioner and Policy Papers

Systemic Risk, Policy, and Data Needs. INFORMS Tutorials in Operations Research, Forthcoming. (preprint)

Capital and Resolution Policies: The US Interbank Market (with. J. Doolely, M. Oet, and S. Ong). Journal of Financial Stability, Special Issue from the Federal Reserve Bank of Cleveland-Office of Financial Research 2014 Financial Stability Conference. Forthcoming. (preprint)

Measuring Portfolio Counterparty Risk. Creditflux, May 2014.

Pricing and Mitigation of Counterparty Credit Exposures. Handbook of Systemic Risk, edited by J.-P. Fouque and J. Langsam. Cambridge University Press, 2013.

Liquidity Modeling for Credit Default Swaps: an overview (with D. Brigo and M.Pedrescu) Credit Risk Frontiers. The suprime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, edited by T. Bielecki, D. Brigo and F. Patras. Bloomberg Press, Wiley, 2012. (Preprint)

Bilateral Credit Valuation Adjustment with Application to Credit Default Swaps (with D. Brigo) Measuring and Managing Capital, edited by M. Ong, Risk Books, 2012.