Agostino
Capponi, Ph.D.
Assistant Professor Department
of Applied Mathematics and Statistics Office: Whitehead 212B Email: acappon1 at jhu dot edu 

Education
California Institute of Technology. Ph.D. in Computer
Science and Applied and Computational Mathematics, June 2009. 
Research Interests
Financial Mathematics:

Teaching
Spring 2014:
Stochastic Processes and Applications to Finance. Fall 2013. Credit and
Systemic Risk. 
Papers
Dynamic Credit Investment in Partially Observed Markets. (with J.E. FigueroaLopez and A. Pascucci) Finance and Stochastics, Accepted for publication. (preprint) Pricing Vulnerable Claims in a Lévy driven model. (with S. Pagliarani and T. Vargiolu) Finance and Stochastics, Accepted for publication. (preprint) Optimal Investment in Credit Derivatives Portfolio under
Contagion Risk. (with L. Bo) Mathematical Finance, Accepted for
publication. (preprint) Bilateral
Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with
L. Bo) Finance and Stochastics, Vol.18, N.2,
pp.431482, 2014. 
Will
Banning naked CDS impact bond prices? (with M. Larsson) Annals of
Finance, DOI 10.1007/s1043601302434, 2013. (preprint) 
Optimal Contracting with Effort and Misvaluation (with J. Cvitanic and
T. Yolcu) Mathematics and Financial Economics,
Vol. 7, N.1, pp. 93128, 2013. 
Dynamic Portfolio
Optimization with a Defaultable Security
and RegimeSwitching Markets (with J. E.
FigueroaLopez) Mathematical Finance, Vol. 24, N.2, 207249, 2014. 
Pricing
and SemiMartingale Representations of Vulnerable Contingent Claims in
RegimeSwitching Markets (with J.E. Figueroa Lopez and J. Nisen) Mathematical Finance, Vol. 24, N.2, 250288, 2014. (preprint) 
A Variational
Approach to Contracting under Imperfect Observations (with J. Cvitanic and
T. Yolcu). SIAM Journal of Financial Mathematics,
Vol. 3, No. 1, pp. 605638, 2012. 
Default and Systemic Risk in
Equilibrium". (With M. Larsson). Mathematical Finance, DOI:
10.1111/mafi.12009, 2012. (preprint) 
ArbitrageFree 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.125146, 2014. Short version published in Risk Magazine, March, 2010. 
Stochastic Filtering for Diffusion
Processes with Level Crossings (with I. Fatkullin and L. Shi) IEEE
Transactions on Automatic Control, Vol. 56, N. 9, pp. 22012206, 2011. 
A convex optimization approach to
filtering in jump systems with state dependent transition probabilities. Automatica Elsevier, Vol. 46, pp.
383389, 2010. 
Credit risk modeling with
misreporting and incomplete Information (with. J. Cvitanic) International
Journal of Theoretical and Applied Finance, Vol. 12, pp. 83112, 2009. 
Book Chapters and
Practitioner Papers
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. 