Agostino Capponi
Publications
Networks, Systemic Risk, Financial Stability
Fintech and Market Microstructure
Machine Learning and AI in Finance
Counterparty Risk and Derivatives Pricing
Portfolio Selection and Stochastic Control
Book Chapters, Practitioner and Policy Papers
Old Work
Books
Students
Teaching
Grants/Awards
Software
Old Work
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
, 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.