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Agostino Capponi
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Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
221*2008
Arbitrage‐free bilateral counterparty risk valuation under collateralization and application to credit default swaps
D Brigo, A Capponi, A Pallavicini
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014
1842014
The adoption of blockchain-based decentralized exchanges
A Capponi, R Jia
arXiv preprint arXiv:2103.08842, 2021
130*2021
Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting
D Brigo, A Capponi, A Pallavicini, V Papatheodorou
arXiv preprint arXiv:1101.3926, 2011
110*2011
Systemic risk mitigation in financial networks
A Capponi, PC Chen
Journal of Economic Dynamics and Control 58, 152-166, 2015
1042015
Bail-ins and bailouts: Incentives, connectivity, and systemic stability
B Bernard, A Capponi, JE Stiglitz
Journal of Political Economy 130 (7), 1805-1859, 2022
962022
Proof-of-work cryptocurrencies: Does mining technology undermine decentralization?
A Capponi, S Olafsson, H Alsabah
Management Science 69 (11), 6455-6481, 2023
94*2023
Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching
A Capponi, JE Figueroa‐López
Mathematical Finance 24 (2), 207-249, 2014
852014
Liability concentration and systemic losses in financial networks
A Capponi, PC Chen, DD Yao
Operations Research 64 (5), 1121-1134, 2016
742016
Personalized robo-advising: Enhancing investment through client interaction
A Capponi, S Olafsson, T Zariphopoulou
Management Science 68 (4), 2485-2512, 2022
712022
Arbitrage‐free XVA
M Bichuch, A Capponi, S Sturm
Mathematical Finance 28 (2), 582-620, 2018
702018
Price contagion through balance sheet linkages
A Capponi, M Larsson
The Review of Asset Pricing Studies 5 (2), 227-253, 2015
592015
Towards a theory of events
KM Chandy, M Charpentier, A Capponi
Proceedings of the 2007 inaugural international conference on Distributed …, 2007
572007
Robo-advising: Learning investors’ risk preferences via portfolio choices
H Alsabah, A Capponi, O Ruiz Lacedelli, M Stern
Journal of Financial Econometrics 19 (2), 369-392, 2021
552021
Systemic risk in interbanking networks
L Bo, A Capponi
SIAM Journal on Financial Mathematics 6 (1), 386-424, 2015
542015
Swing pricing for mutual funds: Breaking the feedback loop between fire sales and fund redemptions
A Capponi, P Glasserman, M Weber
Management Science 66 (8), 3581-3602, 2020
502020
Optimal investment in credit derivatives portfolio under contagion risk
L Bo, A Capponi
Mathematical Finance 26 (4), 785-834, 2016
402016
The collateral rule: Evidence from the credit default swap market
A Capponi, WSA Cheng, S Giglio, R Haynes, A Appendix, ...
Journal of Monetary Economics 126, 58-86, 2022
38*2022
Pricing and mitigation of counterparty credit exposures
A Capponi
Handbook of Systemic Risk, edited by J.-P. Fouque and J. Langsam. Cambridge …, 2012
382012
Maximal Extractable Value and Allocative Inefficiencies in Public Blockchains
A Capponi, R Jia, Y Wang
Available at SSRN 3997796, 2023
36*2023
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Artikler 1–20