Agostino Capponi, Ph.D.

Assistant Professor

Department of Applied Mathematics and Statistics

Whiting school of Engineering

Johns Hopkins University

Office: Whitehead 212B

Email: acappon1 at jhu dot edu
Phone:

 


Education

California Institute of Technology. Ph.D. in Computer Science and Applied and Computational Mathematics, June 2009.


Research Interests

Financial Mathematics:

  • Credit Risk Modeling and Valuation
  • Systemic Risk
  • Stochastic Dynamic Equilibrium
  • Continuous-time Portfolio Optimization
  • Principal Agent Theory

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. Figueroa-Lopez and A. Pascucci) Finance and Stochastics, Accepted for publication. (preprint)

Pricing Vulnerable Claims in a Lvy 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.431-482, 2014.

Will Banning naked CDS impact bond prices? (with M. Larsson) Annals of Finance, DOI 10.1007/s10436-013-0243-4, 2013. (preprint)

Optimal Contracting with Effort and Misvaluation (with J. Cvitanic and T. Yolcu) Mathematics and Financial Economics, Vol. 7, N.1, pp. 93-128, 2013.

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.

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, N.2, 250-288, 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. 605-638, 2012.

Default and Systemic Risk in Equilibrium". (With M. Larsson). Mathematical Finance, DOI: 10.1111/mafi.12009, 2012. (preprint)

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.

Stochastic Filtering for Diffusion Processes with Level Crossings (with I. Fatkullin and L. Shi) IEEE Transactions on Automatic Control, Vol. 56, N. 9, 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 (with. J. Cvitanic) International Journal of Theoretical and Applied Finance, Vol. 12, pp. 83-112, 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.