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Agostino Capponi
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Cited by
Cited by
Year
Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps
D Brigo, A Capponi
arXiv preprint arXiv:0812.3705, 2008
213*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
1752014
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
108*2011
Systemic risk mitigation in financial networks
A Capponi, PC Chen
Journal of Economic Dynamics and Control 58, 152-166, 2015
862015
Bail-ins and bailouts: Incentives, connectivity, and systemic stability
B Bernard, A Capponi, JE Stiglitz
Journal of Political Economy 130 (7), 000-000, 2022
722022
Dynamic Portfolio Optimization with a Defaultable Security and Regime‐Switching
A Capponi, JE Figueroa‐López
Mathematical Finance 24 (2), 207-249, 2014
692014
Liability concentration and systemic losses in financial networks
A Capponi, PC Chen, DD Yao
Operations Research 64 (5), 1121-1134, 2016
652016
Arbitrage‐free XVA
M Bichuch, A Capponi, S Sturm
Mathematical Finance 28 (2), 582-620, 2018
642018
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
A Capponi, S Olafsson, H Alsabah
arXiv preprint arXiv:2106.09783, 2021
63*2021
Towards a theory of events
KM Chandy, M Charpentier, A Capponi
Proceedings of the 2007 inaugural international conference on Distributed …, 2007
572007
Price contagion through balance sheet linkages
A Capponi, M Larsson
The Review of Asset Pricing Studies 5 (2), 227-253, 2015
492015
Systemic risk in interbanking networks
L Bo, A Capponi
SIAM Journal on Financial Mathematics 6 (1), 386-424, 2015
452015
The adoption of blockchain-based decentralized exchanges
A Capponi, R Jia
arXiv preprint arXiv:2103.08842, 2021
362021
Resource optimisation in a wireless sensor network with guaranteed estimator performance
L Shi, A Capponi, KH Johansson, RM Murray
IET Control Theory & Applications 4 (5), 710-723, 2010
362010
Optimal investment in credit derivatives portfolio under contagion risk
L Bo, A Capponi
Mathematical Finance 26 (4), 785-834, 2016
352016
Pricing and mitigation of counterparty credit exposures
A Capponi
Handbook of Systemic Risk, edited by J.-P. Fouque and J. Langsam. Cambridge …, 2012
352012
Polynomial time algorithm for data association problem in multitarget tracking
A Caponi
IEEE Transactions on Aerospace and Electronic Systems 40 (4), 1398-1410, 2004
32*2004
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
28*2022
Firm capital dynamics in centrally cleared markets
A Capponi, WA Cheng, S Rajan
Mathematical Finance 30 (2), 664-701, 2020
28*2020
A Theory of Collateral Requirements for Central Counterparties
A Capponi, JJ Wang, H Zhang
28*2018
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Articles 1–20