Agostino Capponi, Ph.D.

Assistant Professor

IEOR Department

Columbia University


Office: Mudd 316

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



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.


Grants and Awards

         NSF CAREER-1752326 : Systemic Risk and Strategic Formation in Stochastic Networks

         NSF DMS-1716145 : Mathematics and Control of Systemic and High-Frequency Trading Risks

         DARPA SIMPLEX program : A Mathematical Framework for Complex Human-Machine Interaction Systems

         Institute for New Economic Thinking : Dynamic Contagion Mechanisms in Financial Networks

         Global Risk Institute: Central Clearing House Risk

         SIFI Context : Honorable Mention

         Bar Ilan prize for General Research in Financial Mathematics



   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). (CEPR, preprint)


   Networks, Clearinghouses, and Systemic Risk

The Collateral Rule: An Empirical Analysis of the CDS Market (with W.A. Cheng, S. Giglio, and R. Haynes). (preprint)


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). (NBER, preprint). Press coverage: VoX


Clearinghouse Default Waterfalls: Risk-Sharing, Incentives, and Systemic Risk (with W.A. Cheng and J. Sethuraman). (preprint)


Enterprise Value Dynamics in Centrally Cleared Markets (with W.A. Cheng and S. Rajan). (preprint). Press coverage: Reuters, Value walk, American Banker


A Dynamic Network Model of Interbank Lending: Systemic Risk and Liquidity Provisioning (with X. Sun and D. Yao).



Clearinghouse Margin Requirements (with W.A. Cheng). Operations Research, Forthcoming. (preprint)


Systemic Influences on Optimal Equity-Credit Investment. (with C. Frei). Management Science, Vol. 63, No. 8, 2756-2771, 2017.

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


Price Contagion through Balance Sheet Linkages. (with M. Larsson). Review of Asset Pricing Studies, Vol. 5, No. 2, 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. Chen). Journal of Economic Dynamics and Control, Vol. 58, 152-166, 2015


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


   Counterparty Risk


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


Arbitrage-Free XVA (with M. Bichuch and S. Sturm) Mathematical Finance, Vol. 28, No. 2, 582-620, 2018.

Dynamic Investment and Counterparty Risk (with L. Bo) Applied Mathematics and Optimization, Vol. 77, No. 1, 1-45, 2018.


Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with L. Bo) Finance and Stochastics, Vol.18, No. 2, 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, 29-42, 2015.


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


Credit Portfolio Selection with Decaying Contagion Intensities (with. L. Bo and P.C. Chen). Mathematical Finance, Forthcoming (preprint).


Optimal Investment under Information Driven Contagious Distress (with L. Bo). SIAM Journal on Control and Optimization, Vol. 55, No. 2, 1020-1068.


Risk Sensitive Asset Management and Cascading Defaults (with J. Birge and L. Bo). Mathematics of Operations Research, Vol. 43, No. 1, 1-28, 2018. 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.



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,185-206, 2016. (preprint)

Capital and Resolution Policies: The US Interbank Market (with. J. Doolely, M. Oet, and S. Ong). Journal of Financial Stability, Vol. 30, 229-239, 2017.

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.



         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