← All authors Agostino Capponi Columbia University (from arXiv:2507.04663, 2025) · ORCID · OpenAlex
65 papers in scope · 63 published · 1 on the econ.EM arXiv · 1,334 citations · h-index 20 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Mehmet Caner Gabriel Vasconcelos Marcelo C. Medeiros Mehmet Caner Agostino Capponi Mihailo Stojnic Maurizio Daniele Jiafeng Chen Jonathan Roth Diego S. de Brito Rafael Alves Ruy M. Ribeiro Ali Habibnia Jalal Etesami Yutong Chao Resat Gökhan Zifeng Zhao Ricardo Masini Christis Katsouris Yuri Fonseca Jianqing Fan Stephan Smeekes Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 65)
working paper 2025 · arXiv
Maximal extractable value and allocative inefficiencies in public blockchains
published 2025 · Journal of Financial Economics · 10 citations · first circulated 2022
with Ruizhe Jia, Kanye Ye Wang, Ye Wang
working paper 2025 · arXiv
Sparse Vector and Low Rank Recovery Phase Transitions: Uncovering the Explicit Relations
published 2024 · IEEE Transactions on Information Theory · 1 citations · first circulated 2023
with Mihailo Stojnic
Stress Testing Spillover Risk in Mutual Funds
published 2024 · Management Science · 5 citations · first circulated 2022
with Paul Glasserman, Marko Weber
Are Supply Networks Efficiently Resilient?
published 2024 · Finance and Economics Discussion Series · 6 citations
with Chuan Du, Joseph E. Stiglitz, Du Chuan
A Continuous Time Framework for Sequential Goal-Based Wealth Management
published 2024 · Management Science · 6 citations
with Yuchong Zhang
Advances in Blockchain and Crypto Economics
published 2023 · Management Science · 55 citations
with Bruno Biais, Lin William Cong, Vishal Gaur, Kay Giesecke
Systemic Portfolio Diversification
published 2023 · Operations Research · 20 citations · first circulated 2019
with Marko Weber
Decentralized Finance: Protocols, Risks, and Governance
published 2023 · Foundations and Trends® in Privacy and Security · 27 citations
with Garud Iyengar, Jay Sethuraman
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
published 2023 · Management Science · 51 citations · first circulated 2021
with S. Ólafsson, Humoud Al-Sabah
Blockchain Private Pools and Price Discovery
published 2023 · AEA Papers and Proceedings · 9 citations
with Ruizhe Jia, Ye Wang
Swing Pricing: Theory and Evidence
published 2023 · Annual Review of Financial Economics · 9 citations · first circulated 2022
with Paul Glasserman, Marko Weber
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
published 2023 · Mathematics of Operations Research · 5 citations · first circulated 2018
with Lijun Bo, Chao Zhou
Disruption and Rerouting in Supply Chain Networks
published 2022 · Operations Research · 76 citations · first circulated 2020
with John R. Birge, Peng-Chu Chen
Large Sample Mean-Field Stochastic Optimization
published 2022 · 3 citations · first circulated 2019
with Lijun Bo, Huafu Liao
Optimal bailouts and the doom loop with a financial network
published 2022 · Journal of Monetary Economics · 21 citations · first circulated 2020
with Felix Corell, Joseph E. Stiglitz
Bail-Ins and Bailouts: Incentives, Connectivity, and Systemic Stability
published 2022 · Journal of Political Economy · 66 citations · first circulated 2017
with Benjamin Bernard, Joseph E. Stiglitz
A Theory of Collateral Requirements for Central Counterparties
published 2022 · Management Science · 22 citations
with Jessie Jiaxu Wang, Hongzhong Zhang
Systemic Risk-Driven Portfolio Selection
published 2022 · Operations Research · 25 citations · first circulated 2019
with Alexey Rubtsov
The collateral rule: Evidence from the credit default swap market
published 2021 · Journal of Monetary Economics · 14 citations · first circulated 2020
with Wan-Schwin Allen Cheng, Stefano Giglio, Richard W. Haynes, Du Chuan
Market Efficient Portfolios in a Systemic Economy
published 2021 · Operations Research
with Kerstin Awiszus, Stefan Weber
Personalized Robo-Advising: Enhancing Investment Through Client Interaction
published 2021 · Management Science · 22 citations · first circulated 2019
with S. Ólafsson, Thaleia Zariphopoulou
Counterparty Risk in Over-the-Counter Markets
published 2021 · Journal of Financial and Quantitative Analysis · 7 citations
with Christoph Frei, Celso Brunetti
Preface to the special issue on systemic risk and financial networks
published 2021 · Mathematics and Financial Economics · 1 citations
with Robert A. Jarrow
Multiregional Oligopoly with Capacity Constraints
published 2020 · Management Science · 13 citations · first circulated 2019
with Humoud Al-Sabah, Benjamin Bernard, Garud Iyengar, Jay Sethuraman
Call for Papers— Management Science Special Issue on Blockchains and Crypto Economics
published 2020 · Management Science · 2 citations
with Bruno Biais, Lin William Cong, Vishal Gaur, Kay Giesecke
Intraday market making with overnight inventory costs
published 2020 · Journal of Financial Markets · 9 citations · first circulated 2017
Robust XVA
published 2020 · Mathematical Finance · 4 citations · first circulated 2018
with Maxim Bichuch, Stephan Sturm
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions
published 2020 · Management Science · 51 citations · first circulated 2018
with Paul Glasserman, Marko Weber
Robo-Advising: Learning Investors’ Risk Preferences via Portfolio Choices*
published 2019 · Journal of Financial Econometrics · 61 citations
with Humoud Al-Sabah, Octavio Ruiz Lacedelli, Matt Stern
Firm capital dynamics in centrally cleared markets
published 2019 · Mathematical Finance · 2 citations
with W. Allen Cheng, Sriram Rajan
Clearinghouse Margin Requirements
published 2018 · Operations Research
with W. Allen Cheng
Credit portfolio selection with decaying contagion intensities
published 2018 · Mathematical Finance · 22 citations
with Lijun Bo, Peng-Chu Chen
Portfolio Choice with Market--Credit-Risk Dependencies
published 2018 · 11 citations
with Lijun Bo
Managing Counterparty Risk in OTC Markets
published 2017 · Finance and Economics Discussion Series · 4 citations
with Christoph Frei, Celso Brunetti
Risk-Sensitive Asset Management and Cascading Defaults
published 2017 · Mathematics of Operations Research · 17 citations
with John R. Birge, Lijun Bo
Optimal Investment Under Information Driven Contagious Distress
published 2017 · first circulated 2016
with Lijun Bo
Optimal Credit Investment with Borrowing Costs
published 2016 · Mathematics of Operations Research
with Lijun Bo
Robust Optimization of Credit Portfolios
published 2016 · Mathematics of Operations Research · 15 citations
with Lijun Bo
Systemic Influences on Optimal Equity-Credit Investment
published 2016 · Management Science · 13 citations · first circulated 2015
with Christoph Frei
Dynamic Investment and Counterparty Risk
published 2016 · 9 citations
with Lijun Bo
Capital and resolution policies: The US interbank market
published 2016 · Journal of Financial Stability
with John Dooley, Mikhail V. Oet, Stephen Ong
Liability Concentration and Systemic Losses in Financial Networks
published 2015 · Operations Research · 68 citations
with Peng-Chu Chen, David D. Yao
Dynamic credit investment in partially observed markets
published 2015 · Finance and Stochastics · 19 citations · first circulated 2013
Price Contagion through Balance Sheet Linkages
published 2015 · The Review of Asset Pricing Studies · 61 citations
with Martin Larsson
Systemic risk mitigation in financial networks
published 2015 · Journal of Economic Dynamics and Control · 93 citations · first circulated 2013
with Peng-Chu Chen
Dynamic Contracting: Accidents Lead to Nonlinear Contracts
published 2015 · SIAM Journal on Financial Mathematics · 4 citations
with Christoph Frei
Counterparty risk for CDS: Default clustering effects
published 2014 · Journal of Banking & Finance
with Lijun Bo
OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK
published 2014 · Mathematical Finance · 46 citations · first circulated 2013
with Lijun Bo
Pricing vulnerable claims in a Lévy-driven model
published 2014 · Finance and Stochastics · 16 citations · first circulated 2012
Bilateral credit valuation adjustment for large credit derivatives portfolios
published 2013 · Finance and Stochastics · 5 citations
with Lijun Bo
Will banning naked CDS impact bond prices?
published 2013 · Annals of Finance · 7 citations
with Martin Larsson
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
published 2013 · International Journal of Theoretical and Applied Finance · 21 citations
with Damiano Brigo, Andrea Pallavicini, Vasileios Papatheodorou
DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM
published 2012 · Mathematical Finance · 2 citations · first circulated 2011
with Martin Larsson
Optimal contracting with effort and misvaluation
published 2012 · Mathematics and Financial Economics · 3 citations
with Jakša Cvitanić, Türkay Yolcu
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
published 2012 · Mathematical Finance · 89 citations · first circulated 2011
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
published 2012 · Mathematical Finance · 16 citations · first circulated 2011
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
published 2012 · Mathematical Finance · 163 citations
with Damiano Brigo, Andrea Pallavicini
Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda
published 2012 · Quantitative Finance
A Variational Approach to Contracting under Imperfect Observations
published 2012 · SIAM Journal on Financial Mathematics · 5 citations
with Jakša Cvitanić, Türkay Yolcu
Stochastic Filtering for Diffusion Processes With Level Crossings
published 2011 · IEEE Transactions on Automatic Control · 7 citations
with Ibrahim Fatkullin, Ling Shi
A convex optimization approach to filtering in jump linear systems with state dependent transitions
published 2010 · Automatica · 12 citations
CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
published 2009 · International Journal of Theoretical and Applied Finance · 1 citations
with Jakša Cvitanić
A Copula Function Approach to Infer Correlation in Prediction Markets
published 2009 · Lecture notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering · 2 citations
with Umberto Cherubini
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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